XLF Options History — July 2007

In July 2007, XLF traded between $26.73 and $29.90. ATM implied volatility averaged 22.2%, placing in the 76.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.1% (HV 20d: 17.1%). Max pain ranged from $29.24 to $30.06. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 6.65.

Notable Days

  • 2007-07-25: Highest Volume — 794,162 contracts
  • 2007-07-10: Largest IV spike — 26.0% change
  • 2007-07-23: Highest IV Rank — 100.0%
  • 2007-07-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.92$26.73$29.90$29.64$26.73
Max Pain$29.79$29.24$30.06$30.06$29.24
ATM IV22.2%15.4%33.3%18.2%32.7%
Expected Move6.4%4.5%9.5%5.2%9.4%
HV 20d17.1%15.1%22.6%16.3%22.6%
HV 60d14.1%13.1%17.2%13.1%17.2%
IV Rank76.3%46.3%100.0%61.6%97.9%
IV Percentile91.3%68.5%100.0%88.9%99.3%
Term Structure-0.6%-3.8%1.2%0.9%0.8%
VWIV22.5%16.3%31.8%16.8%31.5%
Skew 25d6.0%3.4%8.6%3.4%8.1%
Skew 10d13.1%6.6%22.3%9.7%15.6%
Call IV 25d19.5%14.8%29.7%16.7%29.2%
Put IV 25d25.5%19.0%37.3%20.0%37.3%
Bid-Ask Spread %15.189.6723.4711.5123.47
Gamma HHI0.250.180.420.230.18
Net GEX-230.9M-383.3M-186.5M-188.8M-229.4M
Net DEX2.18B971.5M4.53B1.19B4.53B
Net VEX-14.8M-20.1M-8.3M-13.7M-20.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.651.1958.391.193.69
Total Volume289,765.9529,036794,16220,437409,306
Total OI3,251,701.0952,480,8874,704,9732,723,8944,704,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$29.64$30.0618.2%5.2%16.3%0.0%16.8%3.4%0.9%-188.8M1.19B-13.7M1.1911.519,35211,085581,8972,141,997
2007-07-03$29.90$30.0615.9%4.5%16.6%0.0%16.3%4.3%1.2%-186.5M1.02B-13.4M5.2813.471,4387,598587,4342,147,473
2007-07-05$29.65$30.0618.4%5.3%16.6%61.6%16.8%4.3%0.9%-187.9M1.13B-13.2M1.389.6710,08713,945588,0812,089,378
2007-07-06$29.80$30.0615.4%4.9%15.7%46.3%20.4%5.3%0.1%-187.3M1.04B-13.0M3.5315.0724,64187,014594,4942,089,119
2007-07-09$29.68$30.0616.0%4.8%15.1%49.4%18.2%4.3%-0.1%-211.6M1.15B-13.0M1.2612.2616,83621,177609,9202,145,835
2007-07-10$29.05$30.0620.2%5.6%16.6%70.8%21.2%5.1%-0.5%-228.4M1.90B-12.8M5.9213.4321,860129,320626,3022,157,289
2007-07-11$29.15$30.0620.9%5.6%16.1%74.6%19.8%6.2%-0.1%-233.2M1.74B-13.7M2.2612.6549,945113,072641,7872,234,461
2007-07-12$29.68$30.0617.8%5.1%16.0%58.7%18.2%5.9%0.2%-214.3M1.03B-13.4M2.4817.4339,26097,354680,8772,275,142
2007-07-13$29.80$30.0617.9%5.1%16.1%59.2%20.1%4.9%-0.0%-212.8M971.5M-13.6M5.9918.9164,077383,575710,4982,336,140
2007-07-16$29.69$30.0618.6%5.3%16.1%62.9%20.3%4.8%-0.3%-253.6M1.18B-8.3M5.7010.2548,308275,559464,7702,016,117
2007-07-17$29.79$30.0617.9%5.1%16.2%59.2%19.6%4.2%0.7%-237.4M1.15B-13.9M2.3011.0825,04857,493763,9082,529,732
2007-07-18$29.41$30.0621.2%6.1%16.6%76.2%21.3%5.3%-0.2%-307.6M1.77B-14.3M3.1615.3750,786160,318785,6282,553,796
2007-07-19$29.31$30.0619.8%5.7%15.5%69.2%19.7%5.7%0.2%-383.3M1.98B-14.6M58.3912.337,848458,236815,0602,637,536
2007-07-20$28.80$30.0624.2%6.9%16.5%91.6%23.9%8.0%-1.0%-282.9M3.38B-16.1M4.5418.4985,813389,392812,7832,969,179
2007-07-23$28.78$29.2427.1%7.8%16.1%100.0%26.2%8.3%-3.3%-188.9M2.22B-16.4M2.4418.4361,999151,183702,9152,467,436
2007-07-24$28.06$29.2426.8%7.7%18.1%98.6%27.5%7.0%-3.6%-198.5M3.12B-16.1M5.2014.7254,695284,187722,5232,553,556
2007-07-25$28.19$29.2424.3%7.0%18.0%86.7%24.6%7.1%-2.0%-216.1M2.93B-16.4M7.1618.6797,345696,817734,4852,613,514
2007-07-26$27.52$29.2429.3%8.4%18.5%100.0%27.9%8.6%-2.4%-225.8M3.89B-17.4M9.7121.1055,076534,654772,5093,018,229
2007-07-27$27.09$29.2433.3%9.5%19.0%100.0%31.8%7.6%-3.8%-224.6M4.24B-18.3M5.8013.8253,553310,850811,2073,294,310
2007-07-30$27.60$29.2429.5%8.5%20.7%85.9%29.5%6.7%-1.0%-249.3M4.23B-19.2M2.3916.68211,094503,889838,7633,464,670
2007-07-31$26.73$29.2432.7%9.4%22.6%97.9%31.5%8.1%0.8%-229.4M4.53B-20.1M3.6923.4787,301322,0051,008,1003,696,873