XLF Options History — February 2007 In February 2007, XLF traded between $28.68 and $30.84. ATM implied volatility averaged 11.4%. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.9% (HV 20d: 10.6%). Max pain ranged from $29.24 to $30.06. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 9.78.
Notable Days 2007-02-26 : Highest Volume — 313,282 contracts2007-02-27 : Largest IV spike — 72.0% change2007-02-27 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $30.30 $28.68 $30.84 $30.32 $29.20 Max Pain $29.89 $29.24 $30.06 $30.06 $30.06 ATM IV 11.4% 6.4% 22.2% 10.2% 20.2% Expected Move 3.3% 2.1% 6.4% 2.9% 5.8% HV 20d 10.6% 8.6% 20.7% 9.4% 20.7% Term Structure 0.4% -3.3% 1.7% 0.9% -3.0% VWIV 11.7% 5.9% 20.9% 10.4% 20.9% Skew 25d 4.5% 0.7% 6.3% 0.7% 6.3% Skew 10d 9.1% 0.1% 16.3% 0.1% 16.3% Call IV 25d 9.6% 6.9% 19.0% 9.2% 17.4% Put IV 25d 14.1% 9.9% 24.8% 9.9% 23.7% Bid-Ask Spread % 11.18 6.88 17.51 8.39 9.88 Gamma HHI 0.24 0.19 0.29 0.23 0.26 Net GEX -33.6M -105.9M -8.6M -28.0M -98.2M Net DEX -50.6M -263.2M 890.2M -133.3M 787.5M Net VEX -4.6M -7.2M -3.3M -3.4M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 9.78 0.77 68.78 1.27 4.33 Total Volume 58,295.053 6,789 313,282 40,693 88,410 Total OI 1,263,348.842 1,096,888 1,662,742 1,096,888 1,588,765
Daily Data (19 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 2007-02-01 $30.32 $30.06 10.2% 2.9% 9.4% 0.0% 10.4% 0.7% 0.9% -28.0M -133.3M -3.4M 1.27 8.39 17,931 22,762 205,366 891,522 2007-02-02 $30.37 $29.24 9.7% 3.1% 9.3% 0.0% 11.0% 5.1% 0.9% -19.8M -202.1M -3.3M 0.85 11.40 51,807 43,879 222,764 896,061 2007-02-05 $30.37 $29.24 10.7% 3.1% 8.6% 0.0% 6.0% 4.5% 1.4% -8.6M -263.2M -3.7M 1.03 13.33 21,671 22,398 269,873 909,012 2007-02-06 $30.50 $29.24 8.9% 2.1% 8.6% 0.0% 12.2% 3.2% 1.6% -12.8M -253.0M -3.9M 1.33 11.63 28,880 38,375 252,727 881,474 2007-02-07 $30.62 $29.24 6.4% 2.6% 8.6% 0.0% 10.2% 3.8% 1.2% -17.0M -255.7M -3.9M 17.01 8.21 1,397 23,767 249,050 901,922 2007-02-08 $30.52 $30.06 9.3% 2.7% 8.7% 0.0% 11.3% 5.1% 1.7% -26.3M -172.1M -4.1M 4.07 13.13 3,474 14,139 249,861 921,732 2007-02-09 $30.19 $30.06 12.1% 3.5% 9.4% 0.0% 11.7% 4.3% 0.1% -32.1M -48.5M -4.4M 0.77 11.28 11,205 8,655 252,653 934,984 2007-02-12 $30.12 $30.06 12.8% 3.7% 9.5% 0.0% 12.5% 4.1% 0.2% -36.4M -7.4M -4.6M 8.60 10.37 4,691 40,352 263,408 939,466 2007-02-13 $30.34 $30.06 12.2% 3.5% 9.8% 0.0% 9.4% 5.7% 0.8% -33.6M -112.3M -4.5M 5.08 11.41 6,366 32,326 267,538 989,618 2007-02-14 $30.63 $30.06 10.0% 2.9% 10.2% 0.0% 11.2% 4.6% 1.4% -29.0M -196.2M -4.5M 5.65 14.75 4,987 28,180 272,898 1,000,469 2007-02-15 $30.68 $30.06 10.1% 2.9% 10.1% 0.0% 11.5% 5.1% 1.0% -25.2M -235.5M -4.4M 1.50 13.77 2,718 4,071 274,556 1,006,487 2007-02-16 $30.67 $30.06 9.9% 2.8% 10.0% 0.0% 12.3% 5.1% 1.5% -26.6M -206.8M -4.5M 68.78 13.09 196 13,462 276,622 1,001,604 2007-02-20 $30.84 $30.06 10.0% 2.9% 10.1% 0.0% 10.7% 2.6% 0.7% -18.7M -241.4M -4.2M 2.29 10.65 2,941 6,721 257,375 983,880 2007-02-21 $30.71 $30.06 9.9% 2.8% 10.3% 0.0% 11.4% 5.2% 0.3% -21.2M -195.8M -4.3M 2.25 7.84 4,833 10,897 258,570 989,558 2007-02-22 $30.58 $30.06 7.5% 2.1% 9.9% 0.0% 5.9% 4.4% 1.1% -20.3M -204.5M -4.3M 1.61 8.36 17,506 28,107 262,757 997,676 2007-02-23 $30.30 $30.06 12.6% 3.6% 8.9% 0.0% 12.7% 4.4% -0.4% -31.0M -46.0M -5.0M 16.53 10.48 6,002 99,236 279,732 1,018,074 2007-02-26 $30.08 $30.06 12.9% 3.7% 9.4% 0.0% 13.5% 4.7% 0.0% -48.4M 134.4M -5.5M 39.17 6.88 7,800 305,482 285,436 1,087,396 2007-02-27 $28.68 $30.06 22.2% 6.4% 19.5% 0.0% 17.0% 5.9% -3.3% -105.9M 890.2M -7.2M 3.66 17.51 17,581 64,401 290,598 1,372,144 2007-02-28 $29.20 $30.06 20.2% 5.8% 20.7% 0.0% 20.9% 6.3% -3.0% -98.2M 787.5M -7.1M 4.33 9.88 16,582 71,828 297,352 1,291,413
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