XLF Options History — May 2007

In May 2007, XLF traded between $30.12 and $30.88. ATM implied volatility averaged 14.2%. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.9% (HV 20d: 11.3%). Max pain ranged from $30.06 to $30.06. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.33.

Notable Days

  • 2007-05-14: Highest Volume — 367,097 contracts
  • 2007-05-03: Largest IV drop — 14.8% change
  • 2007-05-10: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.61$30.12$30.88$30.12$30.79
Max Pain$30.06$30.06$30.06$30.06$30.06
ATM IV14.2%13.0%16.3%15.8%14.0%
Expected Move4.1%3.7%4.7%4.5%4.0%
HV 20d11.3%9.9%13.2%12.3%10.3%
HV 60d17.1%13.6%18.2%17.9%13.6%
Term Structure-0.1%-2.4%1.4%-0.8%-0.7%
VWIV15.1%10.9%18.3%16.2%10.9%
Skew 25d4.4%3.3%6.5%3.6%3.9%
Skew 10d9.3%6.5%12.6%10.5%6.9%
Call IV 25d12.5%10.6%13.8%13.8%13.4%
Put IV 25d16.9%15.2%18.0%17.4%17.3%
Bid-Ask Spread %13.698.0422.4512.258.04
Gamma HHI0.170.160.200.200.16
Net GEX-59.6M-91.5M-17.0M-82.5M-71.4M
Net DEX-133.1M-444.2M162.5M162.5M-72.4M
Net VEX-10.4M-11.3M-9.9M-11.3M-10.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.5411.184.750.54
Total Volume43,335.6364,028367,09738,11465,814
Total OI2,281,903.8182,082,6372,616,4612,243,7882,215,798

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$30.12$30.0615.8%4.5%12.3%0.0%16.2%3.6%-0.8%-82.5M162.5M-11.3M4.7512.256,63031,484538,1331,705,655
2007-05-02$30.25$30.0615.6%4.5%11.8%0.0%15.4%4.4%-0.2%-71.0M-18.7M-10.8M2.8312.512,5217,126539,3491,723,127
2007-05-03$30.54$30.0613.3%3.8%12.0%0.0%13.8%5.7%-0.1%-60.0M-125.5M-10.6M3.7811.3314,42554,542538,5261,723,420
2007-05-04$30.64$30.0613.9%4.1%12.0%0.0%15.1%4.5%-0.3%-56.8M-211.0M-10.6M0.7610.553,9683,017544,4911,763,672
2007-05-07$30.68$30.0614.2%4.1%12.0%0.0%15.2%4.6%0.0%-50.1M-263.9M-10.1M1.0013.212,0102,018547,1111,728,846
2007-05-08$30.62$30.0615.1%4.1%12.1%0.0%13.9%4.7%0.1%-53.0M-228.1M-10.2M2.0810.148,00316,635547,6571,732,194
2007-05-09$30.78$30.0614.4%4.1%11.4%0.0%14.4%3.8%-0.0%-46.0M-346.1M-10.0M1.4914.8223,92135,731553,4491,745,574
2007-05-10$30.34$30.0616.3%4.7%12.9%0.0%15.8%4.2%-2.4%-60.7M-103.2M-10.6M1.0018.418,2178,224573,7901,775,374
2007-05-11$30.67$30.0613.9%4.0%13.2%0.0%18.3%4.9%0.3%-42.1M-301.5M-10.3M5.3710.881,92910,363580,5301,777,350
2007-05-14$30.52$30.0614.5%4.1%10.8%0.0%17.7%3.9%-0.1%-40.0M-159.7M-10.4M4.7117.0764,323302,774577,4681,779,641
2007-05-15$30.45$30.0616.2%4.7%10.9%0.0%15.7%4.5%-2.1%-43.4M-125.2M-10.9M0.6212.344,1412,551624,7241,991,737
2007-05-16$30.80$30.0614.4%4.1%10.9%0.0%16.2%4.6%0.0%-17.0M-444.2M-10.3M8.2412.852,53820,909623,9581,847,264
2007-05-17$30.62$30.0614.2%4.1%11.1%0.0%16.1%4.0%-0.2%-35.6M-350.3M-10.0M2.8313.823,71510,510599,5911,821,738
2007-05-18$30.72$30.0613.5%3.9%11.1%0.0%14.5%3.4%1.0%-35.9M-366.6M-9.9M11.1814.054,90754,869600,6491,826,586
2007-05-21$30.76$30.0613.0%3.7%11.0%0.0%12.6%5.2%0.4%-72.2M-40.1M-10.0M1.1315.0016,91519,106451,6171,631,020
2007-05-22$30.78$30.0613.0%3.7%10.9%0.0%14.8%3.8%0.3%-68.2M-97.0M-10.0M5.9421.235,40032,085467,6381,648,505
2007-05-23$30.76$30.0613.3%3.8%9.9%0.0%13.5%3.3%0.5%-74.3M-50.8M-10.1M1.7922.455,0199,000470,5871,674,615
2007-05-24$30.48$30.0613.1%3.7%10.5%0.0%15.6%6.5%1.4%-91.5M157.4M-10.7M4.7510.442,46711,723473,0351,676,643
2007-05-25$30.54$30.0613.4%3.8%10.5%0.0%14.4%6.1%0.2%-88.9M125.7M-10.7M0.8714.3425,01821,800474,8891,681,708
2007-05-29$30.67$30.0614.3%4.1%10.1%0.0%16.6%3.5%-0.1%-79.4M11.1M-10.4M1.2314.563,9174,816497,9061,702,629
2007-05-30$30.88$30.0613.4%3.8%10.3%0.0%14.7%3.5%0.3%-70.4M-79.6M-10.2M6.3010.842,50815,795499,0461,704,644
2007-05-31$30.79$30.0614.0%4.0%10.3%0.0%10.9%3.9%-0.7%-71.4M-72.4M-10.2M0.548.0442,66023,154499,1451,716,653