XLF Options History — January 2007

Name: XLF Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, XLF traded between $29.64 and $30.29. ATM implied volatility averaged 11.3%. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.9% (HV 20d: 9.3%). Max pain ranged from $28.43 to $30.06. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.36.

Notable Days

2007-01-25: Highest Volume — 78,626 contracts
2007-01-05: Largest IV spike — 24.4% change
2007-01-05: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.95	$29.64	$30.29	$29.99	$30.12
Max Pain	$29.85	$28.43	$30.06	$28.43	$30.06
ATM IV	11.3%	9.8%	13.8%	11.7%	10.7%
Expected Move	3.3%	3.0%	3.9%	3.4%	3.1%
HV 20d	9.3%	9.1%	9.6%	9.6%	9.4%
Term Structure	0.6%	0.0%	1.2%	0.5%	0.5%
VWIV	11.3%	7.6%	13.9%	11.8%	10.9%
Skew 25d	3.4%	1.4%	5.8%	5.8%	1.4%
Skew 10d	6.4%	2.0%	9.3%	6.2%	2.0%
Call IV 25d	9.6%	7.4%	11.5%	8.0%	7.4%
Put IV 25d	12.9%	8.7%	15.0%	13.8%	8.7%
Bid-Ask Spread %	13.35	7.33	19.80	8.70	7.33
Gamma HHI	0.21	0.18	0.27	0.19	0.23
Net GEX	-27.3M	-61.1M	-15.0M	-21.4M	-31.1M
Net DEX	-165.2M	-319.3M	70.0M	-249.3M	-65.2M
Net VEX	-3.7M	-4.0M	-3.4M	-3.6M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.36	0.20	18.84	1.19	1.06
Total Volume	21,742.75	1,078	78,626	15,967	8,237
Total OI	1,218,835.45	958,387	1,401,158	1,285,409	1,103,317

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-01-03	$29.99	$28.43	11.7%	3.4%	0.0%	0.0%	11.8%	5.8%	0.5%	-21.4M	-249.3M	-3.6M	1.19	8.70	7,281	8,686	273,709	1,011,700
2007-01-04	$29.89	$28.43	11.1%	3.2%	0.0%	0.0%	11.1%	5.3%	1.0%	-19.1M	-260.0M	-3.6M	0.84	8.30	14,531	12,210	277,668	1,013,072
2007-01-05	$29.64	$29.24	13.8%	3.9%	0.0%	0.0%	12.4%	3.5%	0.6%	-28.1M	-137.7M	-3.9M	2.69	19.80	3,807	10,237	281,019	1,021,571
2007-01-08	$29.79	$30.06	12.2%	3.5%	0.0%	0.0%	13.9%	3.2%	0.3%	-27.5M	-170.7M	-3.8M	0.81	14.36	6,681	5,394	280,274	1,025,142
2007-01-09	$29.74	$30.06	11.3%	3.5%	0.0%	0.0%	10.4%	3.8%	0.4%	-24.7M	-187.0M	-3.7M	4.64	15.16	1,608	7,461	285,044	1,028,867
2007-01-10	$29.84	$30.06	9.8%	3.5%	0.0%	0.0%	13.0%	3.1%	0.6%	-21.5M	-225.5M	-3.6M	0.90	14.43	567	511	286,366	1,035,676
2007-01-11	$30.02	$30.06	11.7%	3.3%	0.0%	0.0%	12.2%	2.9%	0.5%	-15.0M	-295.4M	-3.4M	14.12	17.82	443	6,258	286,733	1,035,921
2007-01-12	$30.06	$30.06	11.7%	3.3%	0.0%	0.0%	11.7%	2.8%	0.6%	-17.0M	-313.7M	-3.4M	9.45	10.62	3,884	36,684	286,984	1,041,712
2007-01-16	$30.14	$30.06	12.4%	3.5%	0.0%	0.0%	12.4%	3.0%	0.4%	-18.6M	-319.3M	-3.6M	5.17	10.83	5,485	28,373	290,291	1,077,601
2007-01-17	$30.06	$30.06	11.5%	3.3%	0.0%	0.0%	11.6%	3.0%	0.4%	-28.6M	-304.8M	-3.6M	0.83	11.71	16,918	13,999	291,633	1,094,663
2007-01-18	$29.94	$30.06	11.4%	3.3%	0.0%	0.0%	12.3%	2.6%	0.9%	-27.6M	-261.7M	-3.8M	2.18	15.48	3,949	8,599	299,049	1,102,109
2007-01-19	$30.02	$30.06	11.0%	3.1%	0.0%	0.0%	11.3%	2.6%	0.4%	-61.1M	-306.3M	-3.5M	0.96	19.20	3,571	3,427	295,521	1,105,508
2007-01-22	$30.00	$30.06	10.9%	3.1%	0.0%	0.0%	11.0%	2.5%	0.5%	-20.3M	-72.4M	-3.7M	1.01	18.17	2,217	2,245	209,288	752,190
2007-01-23	$29.98	$30.06	10.8%	3.1%	0.0%	0.0%	12.2%	3.0%	0.0%	-18.0M	-78.2M	-3.6M	18.84	12.40	3,306	62,280	208,309	750,078
2007-01-24	$30.29	$30.06	10.9%	3.1%	0.0%	0.0%	7.6%	2.3%	0.5%	-17.7M	-159.1M	-3.4M	0.61	11.41	5,703	3,491	209,094	809,703
2007-01-25	$29.85	$30.06	10.9%	3.1%	9.6%	0.0%	10.3%	5.3%	1.2%	-34.0M	22.1M	-3.9M	18.16	9.55	4,104	74,522	206,920	811,142
2007-01-26	$29.91	$30.06	10.9%	3.1%	9.4%	0.0%	10.9%	4.0%	0.9%	-38.3M	8.8M	-3.9M	3.25	11.36	2,862	9,308	209,741	878,443
2007-01-29	$29.76	$30.06	10.9%	3.1%	9.2%	0.0%	11.0%	3.8%	0.6%	-43.0M	70.0M	-4.0M	0.29	13.38	12,384	3,569	212,336	882,878
2007-01-30	$29.88	$30.06	10.4%	3.0%	9.1%	0.0%	7.7%	4.0%	0.9%	-33.9M	1.1M	-3.9M	0.20	16.94	24,977	5,086	221,634	883,803
2007-01-31	$30.12	$30.06	10.7%	3.1%	9.4%	0.0%	10.9%	1.4%	0.5%	-31.1M	-65.2M	-3.7M	1.06	7.33	3,991	4,246	214,805	888,512