XLF Options History — March 2007

In March 2007, XLF traded between $28.27 and $29.55. ATM implied volatility averaged 18.2%. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 5.0% (HV 20d: 23.2%). Max pain ranged from $29.24 to $30.87. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 11.27.

Notable Days

  • 2007-03-08: Highest Volume — 400,043 contracts
  • 2007-03-13: Largest IV spike — 33.1% change
  • 2007-03-02: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.91$28.27$29.55$29.17$28.94
Max Pain$29.54$29.24$30.87$30.06$29.24
ATM IV18.2%14.6%25.8%19.6%15.9%
Expected Move4.9%4.2%6.6%5.6%4.6%
HV 20d23.2%19.5%26.8%20.4%19.5%
HV 60d17.2%16.3%17.7%16.4%17.0%
Term Structure-0.5%-4.0%1.2%-2.0%0.3%
VWIV18.1%14.7%22.0%21.1%18.9%
Skew 25d5.1%3.9%6.9%6.9%4.7%
Skew 10d12.3%8.4%15.9%14.8%11.9%
Call IV 25d15.0%12.2%18.7%17.0%15.1%
Put IV 25d20.2%16.7%25.6%23.9%19.8%
Bid-Ask Spread %14.1210.1720.5615.5020.56
Gamma HHI0.370.250.590.280.38
Net GEX-153.3M-251.2M-100.7M-100.7M-167.5M
Net DEX1.09B488.2M1.97B848.9M1.17B
Net VEX-9.0M-11.0M-7.2M-7.2M-11.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.270.3555.192.301.13
Total Volume108,097.09112,881400,04366,67574,110
Total OI1,895,702.6361,508,1942,318,5741,508,1942,053,321

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$29.17$30.0619.6%5.6%20.4%0.0%21.1%6.9%-2.0%-100.7M848.9M-7.2M2.3015.5020,19046,485308,4211,199,773
2007-03-02$28.84$30.0623.0%6.6%20.4%0.0%20.8%6.9%-4.0%-111.5M1.07B-7.3M6.7513.597,37449,768323,9441,220,944
2007-03-05$28.38$30.8725.8%5.6%20.9%0.0%20.6%6.5%-2.1%-118.4M1.30B-7.2M4.5313.7418,33782,979332,1921,239,719
2007-03-06$28.98$30.8718.2%4.5%22.6%0.0%17.6%5.1%-0.0%-119.0M948.0M-7.4M2.6014.1836,91695,837354,0091,294,321
2007-03-07$28.81$30.0621.5%5.0%22.4%0.0%17.4%4.3%-0.9%-132.9M1.07B-7.5M1.7013.1913,59423,130382,3941,317,773
2007-03-08$29.07$30.0617.2%4.4%22.7%0.0%16.7%4.6%0.1%-126.4M881.7M-7.3M54.5610.177,200392,843380,5371,310,750
2007-03-09$29.14$29.2415.6%4.4%22.8%0.0%17.4%5.0%-0.4%-160.7M983.7M-8.1M3.4315.4511,08138,013413,0951,696,382
2007-03-12$29.14$29.2418.1%4.3%22.6%0.0%16.9%4.0%-0.1%-163.7M1.00B-8.0M13.4612.3012,460167,719420,6231,540,334
2007-03-13$28.27$29.2424.1%5.4%24.8%0.0%20.1%5.4%-1.1%-214.2M1.97B-8.5M6.7418.3131,516212,325425,0341,656,655
2007-03-14$28.33$29.2420.9%5.7%24.5%0.0%22.0%6.1%-1.7%-225.8M1.81B-9.1M3.1113.7144,560138,558452,4891,784,935
2007-03-15$28.68$29.2419.1%5.5%24.7%0.0%19.6%6.1%-1.0%-219.3M1.51B-9.4M0.3513.19116,17240,815488,6001,829,974
2007-03-16$28.45$29.2419.7%5.7%24.7%0.0%19.9%5.8%-1.0%-251.2M1.73B-9.4M8.5311.8910,31787,961466,2221,827,373
2007-03-19$28.64$29.2418.3%5.2%25.0%0.0%18.6%5.6%-0.2%-127.8M1.03B-9.2M9.8518.045,41053,301306,2511,348,505
2007-03-20$28.90$29.2414.6%4.2%25.2%0.0%16.9%4.8%1.1%-140.5M937.9M-9.2M1.9313.6727,16452,306308,9391,387,186
2007-03-21$29.55$29.2415.1%4.3%26.8%0.0%14.7%4.5%0.0%-115.1M488.2M-8.9M3.4314.5938,706132,856329,5081,415,686
2007-03-22$29.37$29.2415.4%4.4%26.8%0.0%16.7%4.4%0.5%-124.7M596.5M-9.6M8.9212.0712,234109,174349,7301,498,293
2007-03-23$29.41$29.2414.8%4.2%26.7%0.0%17.2%3.9%0.7%-132.0M601.8M-10.2M52.5112.401,39873,427357,6331,589,457
2007-03-26$29.26$29.2415.0%4.3%26.6%0.0%16.7%4.2%0.3%-142.5M771.8M-10.6M1.1110.866,1066,775358,0131,655,391
2007-03-27$29.08$29.2414.8%4.2%20.3%0.0%15.2%4.4%1.2%-155.8M920.5M-10.8M3.3215.505,50318,273360,3571,655,566
2007-03-28$28.72$29.2417.8%5.1%19.8%0.0%16.2%5.0%0.1%-164.3M1.20B-11.0M2.4114.337,27017,536361,5351,659,974
2007-03-29$28.86$29.2416.1%4.6%19.9%0.0%17.8%4.9%-0.0%-159.4M1.10B-11.0M55.1913.3154229,895364,9071,678,713
2007-03-30$28.94$29.2415.9%4.6%19.5%0.0%18.9%4.7%0.3%-167.5M1.17B-11.0M1.1320.5634,74939,361364,6161,688,705