XLF Options History — August 2007

In August 2007, XLF traded between $26.04 and $28.23. ATM implied volatility averaged 35.3%, placing in the 75.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.1% (HV 20d: 35.3%). Max pain ranged from $28.43 to $29.24. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.81.

Notable Days

2007-08-10: Highest Volume — 867,214 contracts
2007-08-09: Largest IV spike — 45.9% change
2007-08-01: Highest IV Rank — 100.0%
2007-08-03: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.30	$26.04	$28.23	$27.03	$27.42
Max Pain	$28.54	$28.43	$29.24	$29.24	$28.43
ATM IV	35.3%	25.1%	46.5%	35.1%	30.2%
Expected Move	9.7%	7.2%	12.2%	10.1%	8.7%
HV 20d	35.3%	22.8%	40.7%	22.8%	34.4%
HV 60d	24.1%	17.4%	27.1%	17.4%	27.0%
IV Rank	75.8%	46.7%	100.0%	100.0%	59.4%
IV Percentile	94.5%	85.2%	100.0%	100.0%	88.6%
Term Structure	-2.5%	-9.6%	2.3%	-2.0%	0.5%
VWIV	34.3%	26.9%	42.4%	31.2%	33.1%
Skew 25d	10.4%	6.0%	14.7%	10.0%	8.6%
Skew 10d	20.8%	13.4%	30.2%	18.9%	15.1%
Call IV 25d	28.9%	22.3%	40.6%	29.0%	27.0%
Put IV 25d	39.3%	32.9%	46.6%	39.0%	35.6%
Bid-Ask Spread %	18.77	10.92	42.84	15.37	17.49
Gamma HHI	0.15	0.13	0.22	0.17	0.13
Net GEX	-194.4M	-249.9M	-157.2M	-227.0M	-180.0M
Net DEX	3.53B	1.70B	5.45B	4.45B	2.81B
Net VEX	-22.6M	-24.5M	-20.6M	-21.0M	-22.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.81	0.91	7.98	7.98	5.82
Total Volume	335,131.391	36,429	867,214	609,510	93,078
Total OI	5,470,075.609	4,822,326	6,235,936	4,822,326	5,545,788

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-08-01	$27.03	$29.24	35.1%	10.1%	22.8%	100.0%	31.2%	10.0%	-2.0%	-227.0M	4.45B	-21.0M	7.98	15.37	67,871	541,639	1,046,526	3,775,800
2007-08-02	$27.21	$29.24	32.2%	9.2%	23.2%	90.0%	31.6%	10.0%	-0.4%	-249.9M	4.59B	-22.0M	5.67	15.48	65,060	369,097	1,089,750	4,020,512
2007-08-03	$26.04	$29.24	42.5%	12.2%	26.7%	100.0%	42.4%	6.0%	-6.7%	-209.3M	5.45B	-21.7M	2.10	17.53	114,705	241,395	1,104,939	4,116,778
2007-08-06	$27.38	$28.43	36.9%	9.9%	33.5%	84.6%	36.7%	13.9%	-5.4%	-233.4M	4.30B	-23.5M	1.12	12.05	162,323	182,466	1,198,992	4,251,729
2007-08-07	$27.57	$28.43	33.7%	9.0%	33.0%	75.7%	31.5%	12.6%	-3.0%	-246.2M	3.82B	-23.7M	0.91	17.22	228,221	207,651	1,277,577	4,303,220
2007-08-08	$28.23	$28.43	31.7%	7.9%	34.3%	70.2%	29.5%	9.7%	-1.6%	-243.1M	2.73B	-24.1M	1.30	23.84	144,288	186,889	1,394,051	4,335,316
2007-08-09	$27.21	$28.43	46.3%	11.3%	35.6%	100.0%	37.1%	14.7%	-8.5%	-228.9M	4.18B	-24.2M	2.07	24.68	123,099	254,396	1,410,704	4,390,439
2007-08-10	$27.09	$28.43	46.5%	10.9%	35.4%	100.0%	38.6%	13.0%	-7.0%	-232.7M	4.73B	-24.5M	4.06	21.25	171,545	695,669	1,469,688	4,532,378
2007-08-13	$26.85	$28.43	40.9%	10.3%	35.5%	86.2%	34.3%	12.8%	-6.7%	-188.8M	4.47B	-21.8M	2.12	26.09	25,183	53,363	1,550,779	4,080,258
2007-08-14	$26.38	$28.43	43.4%	11.3%	35.6%	92.3%	40.1%	12.6%	-7.1%	-171.7M	5.11B	-20.7M	4.93	16.92	29,494	145,533	1,562,610	4,010,728
2007-08-15	$26.14	$28.43	43.7%	12.0%	35.5%	93.1%	41.5%	10.5%	-9.6%	-176.2M	5.45B	-20.6M	4.33	16.39	113,126	490,067	1,565,837	4,130,309
2007-08-16	$26.93	$28.43	37.8%	10.8%	37.7%	78.3%	40.9%	11.4%	-6.6%	-179.1M	4.37B	-23.0M	1.31	42.84	278,628	363,711	1,640,944	4,458,577
2007-08-17	$28.03	$28.43	36.9%	10.6%	40.4%	76.1%	37.7%	10.3%	-0.6%	-170.5M	2.74B	-24.2M	0.94	22.20	303,833	285,887	1,782,211	4,453,725
2007-08-20	$27.65	$28.43	32.5%	9.3%	40.7%	65.2%	37.2%	11.3%	-0.7%	-161.3M	2.34B	-23.5M	2.27	15.99	51,409	116,914	1,393,998	3,798,937
2007-08-21	$27.85	$28.43	29.9%	8.6%	39.8%	58.7%	31.1%	8.9%	0.9%	-169.4M	2.21B	-22.4M	1.14	10.92	103,206	118,081	1,349,087	3,744,451
2007-08-22	$27.92	$28.43	28.3%	8.1%	39.8%	54.6%	26.9%	9.6%	1.3%	-157.2M	1.70B	-22.0M	2.72	19.83	60,026	163,159	1,417,405	3,686,371
2007-08-23	$27.96	$28.43	29.4%	8.4%	38.8%	57.4%	30.2%	9.6%	1.3%	-165.6M	1.99B	-22.2M	2.87	16.59	81,711	234,274	1,418,732	3,694,060
2007-08-24	$28.06	$28.43	25.1%	7.2%	38.3%	46.7%	28.2%	10.7%	2.0%	-162.9M	1.84B	-22.7M	1.19	17.37	66,335	79,126	1,469,432	3,791,639
2007-08-27	$27.73	$28.43	29.1%	8.4%	38.0%	56.7%	29.4%	8.3%	0.8%	-177.9M	2.37B	-22.6M	1.57	15.07	14,157	22,272	1,484,051	3,840,491
2007-08-28	$26.90	$28.43	34.4%	9.8%	37.8%	69.8%	35.1%	8.8%	-1.1%	-178.8M	3.45B	-22.1M	2.74	13.47	47,126	129,132	1,513,193	3,838,272
2007-08-29	$27.23	$28.43	30.7%	8.8%	37.9%	60.7%	32.0%	9.3%	1.2%	-183.4M	2.90B	-22.4M	1.22	16.70	123,469	150,198	1,517,561	3,874,140
2007-08-30	$27.06	$28.43	33.7%	9.7%	37.8%	68.2%	33.7%	6.0%	2.3%	-178.0M	3.18B	-22.3M	4.16	16.36	40,579	168,631	1,592,215	3,887,539
2007-08-31	$27.42	$28.43	30.2%	8.7%	34.4%	59.4%	33.1%	8.6%	0.5%	-180.0M	2.81B	-22.3M	5.82	17.49	13,648	79,430	1,614,708	3,931,080