XLF Options History — September 2007

In September 2007, XLF traded between $26.73 and $28.55. ATM implied volatility averaged 28.5%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.7% (HV 20d: 23.7%). Max pain ranged from $27.62 to $28.43. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.58.

Notable Days

  • 2007-09-20: Highest Volume — 822,415 contracts
  • 2007-09-18: Largest IV drop — 20.5% change
  • 2007-09-17: Highest IV Rank — 68.5%
  • 2007-09-10: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.59$26.73$28.55$27.63$27.88
Max Pain$27.75$27.62$28.43$28.43$27.62
ATM IV28.5%22.9%33.8%29.4%23.2%
Expected Move8.2%6.6%9.8%8.4%6.7%
HV 20d23.7%18.2%29.9%29.7%19.7%
HV 60d27.3%26.6%27.9%27.0%27.8%
IV Rank55.0%41.1%68.5%57.5%42.0%
IV Percentile83.2%72.4%93.8%86.9%73.7%
Term Structure-1.6%-5.7%1.7%1.0%-0.3%
VWIV29.4%21.9%36.7%30.5%22.9%
Skew 25d7.4%4.0%9.6%8.6%5.6%
Skew 10d17.1%11.9%24.1%14.9%11.9%
Call IV 25d25.2%20.1%30.3%25.5%20.1%
Put IV 25d32.6%25.1%39.6%34.1%25.7%
Bid-Ask Spread %17.6011.4024.0215.8711.40
Gamma HHI0.140.130.190.140.13
Net GEX-165.0M-215.7M-92.5M-181.2M-98.0M
Net DEX2.25B352.3M3.82B2.24B1.25B
Net VEX-19.2M-21.3M-17.0M-21.3M-17.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.286.532.302.15
Total Volume217,875.15821,441822,415185,523120,958
Total OI5,333,757.6323,779,3926,282,6205,536,0043,831,748

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$27.63$28.4329.4%8.4%29.7%57.5%30.5%8.6%1.0%-181.2M2.24B-21.3M2.3015.8756,182129,3411,604,2243,931,780
2007-09-05$27.29$28.4330.9%8.9%29.9%61.1%35.1%7.4%1.7%-193.7M3.13B-21.3M6.5316.0153,886352,0351,643,6393,939,601
2007-09-06$27.09$28.4332.3%9.3%28.6%64.6%32.8%9.2%0.7%-206.8M3.28B-21.3M0.9314.1937,13334,5851,652,1634,071,697
2007-09-07$26.82$27.6233.7%9.7%25.7%68.1%34.1%8.1%-3.3%-208.1M3.82B-20.7M0.6815.31170,928116,8281,664,9284,037,213
2007-09-10$26.73$27.6233.7%9.8%25.7%68.2%34.9%8.5%-3.5%-207.3M3.82B-20.5M1.0817.2746,36850,3061,736,5644,076,666
2007-09-11$27.00$27.6232.8%9.4%25.8%65.8%32.9%9.3%-3.1%-212.7M3.41B-20.1M0.9416.00109,440102,8971,741,7874,069,994
2007-09-12$27.06$27.6233.6%9.3%24.9%67.8%29.4%9.6%-3.7%-215.7M3.49B-20.4M1.6115.9827,18943,7091,766,7144,138,173
2007-09-13$27.51$27.6229.7%8.5%25.1%58.2%32.5%8.4%-3.0%-208.0M2.81B-20.1M1.9317.4846,20888,9841,760,4254,099,278
2007-09-14$27.60$27.6230.5%8.8%23.0%60.2%33.5%8.2%-3.3%-207.6M2.86B-20.0M0.5421.0349,00426,5501,775,7844,102,518
2007-09-17$27.34$27.6233.8%9.7%18.2%68.5%36.7%9.3%-5.7%-204.0M3.12B-19.5M0.9016.78145,888131,8511,792,3434,100,392
2007-09-18$28.38$27.6226.9%7.7%22.1%51.2%29.3%7.4%-3.3%-139.9M503.1M-18.5M0.8122.87294,836238,8091,899,1244,152,561
2007-09-19$28.55$27.6224.8%7.1%22.1%45.8%24.8%5.5%-1.6%-122.1M352.3M-18.4M1.0619.73175,938187,0221,976,7484,212,461
2007-09-20$28.20$27.6225.9%7.4%22.6%48.6%27.4%7.5%-2.3%-132.2M1.38B-18.7M0.2818.47641,836180,5792,032,6524,249,968
2007-09-21$28.11$27.6224.5%7.0%22.6%45.1%25.8%5.3%-1.2%-206.6M2.05B-18.5M1.5522.0859,69992,2911,693,1644,275,535
2007-09-24$27.72$27.6224.1%6.9%23.1%44.1%24.8%6.5%-0.1%-95.5M1.36B-17.7M2.4617.2616,74941,2131,212,5692,634,984
2007-09-25$27.66$27.6225.0%7.2%22.8%46.4%26.0%6.8%-0.7%-100.1M1.50B-17.3M1.8624.0243,39380,7311,186,9402,592,452
2007-09-26$27.67$27.6223.0%6.6%19.8%41.5%22.8%4.8%0.2%-102.3M1.30B-17.0M1.1017.7559,40365,4181,192,5092,643,627
2007-09-27$27.99$27.6222.9%6.6%19.8%41.1%21.9%4.0%0.4%-92.5M1.08B-17.0M1.2814.859,38512,0561,207,3402,641,130
2007-09-28$27.88$27.6223.2%6.7%19.7%42.0%22.9%5.6%-0.3%-98.0M1.25B-17.0M2.1511.4038,38482,5741,203,0822,628,666