XLF Options History — April 2007

In April 2007, XLF traded between $28.68 and $30.39. ATM implied volatility averaged 14.7%. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 14.9%). Max pain ranged from $29.24 to $30.06. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 6.54.

Notable Days

  • 2007-04-16: Highest Volume — 353,037 contracts
  • 2007-04-03: Largest IV drop — 13.6% change
  • 2007-04-02: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.58$28.68$30.39$28.68$30.06
Max Pain$29.29$29.24$30.06$29.24$30.06
ATM IV14.7%13.4%17.4%17.4%16.2%
Expected Move4.3%3.9%5.0%5.0%4.6%
HV 20d14.9%12.5%18.9%18.9%13.0%
HV 60d17.6%17.1%18.1%17.1%17.9%
Term Structure0.0%-1.2%1.5%0.3%-1.2%
VWIV15.0%11.8%18.8%18.8%16.4%
Skew 25d4.0%2.4%6.5%6.3%3.0%
Skew 10d9.1%0.7%13.9%13.5%11.5%
Call IV 25d13.1%10.0%14.7%13.4%14.7%
Put IV 25d17.1%15.8%19.7%19.7%17.7%
Bid-Ask Spread %11.588.3216.119.5116.11
Gamma HHI0.290.180.440.390.20
Net GEX-130.2M-226.9M-44.2M-182.1M-81.1M
Net DEX468.9M-285.4M1.26B1.26B153.0M
Net VEX-11.0M-11.6M-10.2M-11.3M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.540.4120.949.2513.25
Total Volume60,111.556,974353,03719,31731,432
Total OI2,298,066.052,109,9492,722,1682,109,9492,234,022

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$28.68$29.2417.4%5.0%18.9%0.0%18.8%6.3%0.3%-182.1M1.26B-11.3M9.259.511,88517,432394,6451,715,304
2007-04-03$29.03$29.2415.0%4.3%17.9%0.0%16.5%3.8%1.1%-172.1M923.1M-11.0M9.028.505,61150,631395,6211,714,827
2007-04-04$29.03$29.2413.8%4.0%17.8%0.0%15.6%3.5%1.5%-185.5M992.2M-11.2M5.738.3215,71590,101399,2631,749,336
2007-04-05$29.05$29.2413.4%3.9%17.5%0.0%14.2%6.5%1.0%-188.5M937.7M-11.6M3.159.101,6825,292414,1911,825,862
2007-04-09$29.04$29.2413.5%4.3%17.4%0.0%11.8%5.0%-0.5%-197.3M921.9M-11.2M9.2711.732,30021,325415,3141,831,751
2007-04-10$29.17$29.2413.4%4.3%17.5%0.0%15.2%4.1%0.0%-198.2M886.7M-11.2M1.1210.9014,64516,474417,0151,832,580
2007-04-11$28.93$29.2413.9%4.4%13.8%0.0%15.5%4.5%-0.5%-216.2M1.10B-11.4M1.0914.487,3818,070429,4491,847,992
2007-04-12$28.88$29.2414.4%4.1%13.9%0.0%14.4%4.5%-0.1%-226.9M1.05B-11.3M1.9810.445,58611,043433,8871,851,481
2007-04-13$29.00$29.2413.9%4.0%13.3%0.0%13.0%4.2%0.4%-204.3M880.6M-11.0M16.1415.712,51740,627437,7631,853,353
2007-04-16$29.71$29.2413.7%3.9%15.3%0.0%15.2%3.5%-0.4%-120.3M288.1M-10.2M1.6713.70132,288220,749448,8241,859,082
2007-04-17$29.70$29.2413.9%4.0%15.2%0.0%14.1%4.1%-0.6%-113.9M252.5M-10.9M1.7110.4811,89520,307543,0162,025,772
2007-04-18$30.04$29.2415.3%4.4%15.4%0.0%15.2%2.9%-0.2%-74.1M-26.3M-10.4M0.4113.37121,34549,159538,9692,027,866
2007-04-19$30.00$29.2415.8%4.5%13.4%0.0%15.9%3.8%-1.1%-54.3M-102.5M-11.2M1.6711.8611,59619,415638,9732,064,638
2007-04-20$30.15$29.2414.8%4.3%13.2%0.0%14.9%2.7%0.2%-44.2M-285.4M-10.9M1.1312.1133,83638,195641,1742,080,994
2007-04-23$30.07$29.2415.0%4.3%13.3%0.0%14.2%3.5%0.0%-74.7M104.2M-11.0M0.499.624,9632,424524,8681,622,016
2007-04-24$29.98$29.2415.5%4.4%13.2%0.0%15.2%3.8%-0.4%-79.3M193.4M-11.1M20.9411.122,33348,836527,4541,613,176
2007-04-25$30.39$29.2414.6%4.2%13.5%0.0%14.6%2.4%1.0%-60.8M-91.1M-10.6M20.2612.102,75155,750528,1481,659,871
2007-04-26$30.34$29.2415.1%4.3%12.5%0.0%14.7%4.4%-0.1%-65.5M-10.7M-11.1M3.4410.545,66319,493533,6361,682,283
2007-04-27$30.30$29.2414.8%4.2%12.5%0.0%14.9%4.3%0.3%-65.3M-44.1M-10.8M9.0811.975,11046,374534,6521,672,253
2007-04-30$30.06$30.0616.2%4.6%13.0%0.0%16.4%3.0%-1.2%-81.1M153.0M-11.3M13.2516.112,20629,226537,4661,696,556