XLF Options History — June 2007

In June 2007, XLF traded between $29.16 and $30.89. ATM implied volatility averaged 15.9%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.8% (HV 20d: 13.1%). Max pain ranged from $30.06 to $30.87. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 10.64.

Notable Days

  • 2007-06-22: Highest Volume — 336,981 contracts
  • 2007-06-14: Largest IV spike — 41.0% change
  • 2007-06-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.12$29.16$30.89$30.89$29.39
Max Pain$30.60$30.06$30.87$30.06$30.06
ATM IV15.9%10.0%20.9%13.0%18.7%
Expected Move4.6%3.7%6.0%3.7%5.4%
HV 20d13.1%9.8%15.9%9.9%15.8%
HV 60d12.9%12.3%13.6%13.5%13.0%
Term Structure0.1%-1.2%1.1%0.7%0.3%
VWIV16.5%13.0%21.1%13.2%19.2%
Skew 25d4.3%3.0%6.2%3.0%4.2%
Skew 10d10.0%7.5%14.3%8.3%9.3%
Call IV 25d14.3%11.7%17.9%12.5%16.6%
Put IV 25d18.6%15.5%23.9%15.5%20.8%
Bid-Ask Spread %16.148.5522.7012.168.55
Gamma HHI0.200.160.250.160.24
Net GEX-125.3M-207.1M-64.8M-64.8M-207.1M
Net DEX621.6M-92.1M1.64B-92.1M1.64B
Net VEX-11.5M-14.2M-9.7M-10.0M-14.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.640.1072.4872.487.44
Total Volume106,701.5248,892336,98170,28337,542
Total OI2,348,437.811,818,9852,745,4292,216,7372,745,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$30.89$30.0613.0%3.7%9.9%0.0%13.2%3.0%0.7%-64.8M-92.1M-10.0M72.4812.1695669,327487,9661,728,771
2007-06-04$30.84$30.8714.0%4.0%9.8%0.0%14.2%3.7%0.5%-73.6M-40.3M-9.7M3.7822.494,04815,299486,0341,768,807
2007-06-05$30.66$30.8713.4%4.1%10.1%0.0%14.5%4.0%0.1%-85.1M113.0M-10.3M2.8417.133,88511,043480,4941,782,402
2007-06-06$30.40$30.8716.4%4.5%10.5%0.0%16.0%3.6%-0.2%-102.8M273.6M-10.5M3.3913.642,0246,868483,8481,781,720
2007-06-07$29.89$30.8716.9%4.5%11.8%0.0%15.9%4.3%0.4%-147.7M684.1M-11.0M4.5520.726,99831,815484,7161,786,113
2007-06-08$30.24$30.8716.2%4.6%11.6%0.0%17.7%4.4%-0.2%-127.4M442.4M-10.7M11.5916.9323,132268,040484,1361,811,597
2007-06-11$30.37$30.8718.1%4.6%11.1%0.0%16.3%3.9%0.1%-131.7M400.2M-10.9M32.1320.175,013161,050503,5902,057,380
2007-06-12$29.96$30.8711.7%4.4%12.0%0.0%16.8%4.1%-0.0%-168.9M672.4M-11.2M18.0415.3510,252184,942502,8831,972,071
2007-06-13$30.53$30.8710.0%4.1%13.8%0.0%14.7%4.7%0.2%-111.6M307.4M-11.2M3.2322.7015,16249,021510,4942,026,680
2007-06-14$30.48$30.8714.2%4.1%13.2%0.0%15.5%4.0%-0.5%-117.9M297.1M-11.0M0.1014.31200,48119,316522,0582,019,598
2007-06-15$30.42$30.8715.1%4.3%13.1%0.0%14.6%3.4%0.2%-101.5M238.6M-10.6M9.8717.733,56635,192499,4912,001,548
2007-06-18$30.41$30.8714.7%4.2%13.0%0.0%13.0%3.1%0.6%-78.8M234.4M-10.4M0.3813.3925,9259,783439,2951,379,690
2007-06-19$30.54$30.8713.1%3.7%13.1%0.0%13.2%3.9%1.1%-69.3M156.2M-10.3M2.7916.4512,92336,008461,5791,385,382
2007-06-20$30.01$30.8715.3%4.4%14.4%0.0%14.1%4.0%0.4%-80.1M429.1M-10.9M1.8520.8015,05427,798470,3071,392,071
2007-06-21$30.06$30.8716.4%4.7%14.5%0.0%17.3%4.1%0.6%-100.3M533.2M-11.4M5.6419.6732,678184,398483,7661,530,021
2007-06-22$29.68$30.0618.2%5.2%14.8%0.0%21.1%5.4%-0.7%-124.9M1.04B-12.6M4.1214.5265,798271,183505,7901,678,073
2007-06-25$29.44$30.0620.9%6.0%14.9%0.0%20.9%6.2%-1.2%-181.6M1.52B-14.1M24.2713.884,441107,781559,1562,150,412
2007-06-26$29.16$30.0620.5%5.9%15.0%0.0%20.7%5.5%-1.2%-169.8M1.49B-13.7M8.309.6411,89998,714554,4562,026,301
2007-06-27$29.60$30.0618.7%5.4%15.9%0.0%19.3%5.5%-0.7%-191.2M1.34B-13.8M4.2418.4317,10772,449555,5882,112,749
2007-06-28$29.55$30.0618.2%5.2%15.9%0.0%18.2%4.9%0.7%-195.9M1.38B-13.9M2.3710.3024,28057,541559,7002,145,032
2007-06-29$29.39$30.0618.7%5.4%15.8%0.0%19.2%4.2%0.3%-207.1M1.64B-14.2M7.448.554,45033,092578,0862,167,343