XLF Options History — October 2007

In October 2007, XLF traded between $26.48 and $29.16. ATM implied volatility averaged 25.4%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.3% (HV 20d: 20.2%). Max pain ranged from $27.62 to $27.62. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.51.

Notable Days

2007-10-24: Highest Volume — 499,478 contracts
2007-10-19: Largest IV spike — 30.0% change
2007-10-30: Highest IV Rank — 73.1%
2007-10-30: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.92	$26.48	$29.16	$28.41	$27.40
Max Pain	$27.62	$27.62	$27.62	$27.62	$27.62
ATM IV	25.4%	17.8%	35.7%	21.3%	27.3%
Expected Move	7.4%	5.7%	10.2%	6.1%	7.8%
HV 20d	20.2%	17.3%	22.7%	20.2%	22.3%
HV 60d	27.4%	24.0%	28.2%	28.1%	24.1%
IV Rank	47.5%	28.4%	73.1%	37.1%	52.0%
IV Percentile	76.8%	55.4%	95.7%	70.6%	78.9%
Term Structure	0.1%	-5.0%	1.9%	0.3%	0.7%
VWIV	26.4%	20.1%	35.0%	22.3%	28.6%
Skew 25d	5.6%	4.0%	8.3%	5.1%	5.9%
Skew 10d	10.5%	9.0%	12.3%	10.1%	11.4%
Call IV 25d	23.2%	18.5%	30.0%	19.1%	25.3%
Put IV 25d	28.9%	23.3%	38.3%	24.2%	31.2%
Bid-Ask Spread %	9.70	4.08	15.16	6.72	11.00
Gamma HHI	0.14	0.12	0.23	0.13	0.14
Net GEX	-82.6M	-171.3M	-31.0M	-76.4M	-94.4M
Net DEX	1.06B	-340.1M	3.02B	576.9M	1.62B
Net VEX	-16.5M	-17.9M	-15.8M	-16.7M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	0.32	13.27	1.81	0.76
Total Volume	165,064.652	61,392	499,478	85,046	230,098
Total OI	4,165,369.565	3,795,855	4,515,734	3,928,393	4,515,734

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
2007-10-01	$28.41	$27.62	21.3%	6.1%	20.2%	37.1%	22.3%	5.1%	0.3%	-76.4M	576.9M	-16.7M	1.81	6.72	30,259	54,787	1,233,554	2,694,839
2007-10-02	$28.73	$27.62	21.1%	6.1%	20.4%	36.8%	21.1%	5.4%	1.9%	-64.7M	308.4M	-16.7M	0.32	14.97	84,576	26,764	1,238,043	2,671,675
2007-10-03	$28.67	$27.62	21.6%	6.2%	19.8%	37.8%	21.3%	4.5%	1.2%	-56.6M	188.8M	-16.8M	1.88	11.59	30,142	56,760	1,291,800	2,683,144
2007-10-04	$28.84	$27.62	22.0%	6.3%	19.4%	38.9%	23.2%	4.2%	1.8%	-57.4M	117.9M	-16.7M	2.85	9.16	19,329	55,160	1,298,096	2,714,353
2007-10-05	$29.16	$27.62	19.0%	5.7%	19.0%	31.5%	22.6%	4.7%	1.0%	-39.3M	-255.4M	-16.2M	1.90	9.46	52,311	99,136	1,304,758	2,711,149
2007-10-08	$28.76	$27.62	22.0%	6.4%	19.8%	38.9%	22.1%	5.7%	-0.1%	-46.4M	-57.7M	-16.0M	3.69	4.08	30,418	112,165	1,338,507	2,741,664
2007-10-09	$29.00	$27.62	17.8%	5.9%	19.8%	28.4%	20.1%	4.5%	-0.3%	-31.0M	-340.1M	-15.8M	0.73	9.28	48,990	35,631	1,346,606	2,751,132
2007-10-10	$28.84	$27.62	20.6%	6.3%	20.0%	35.4%	23.4%	5.0%	0.8%	-40.7M	22.5M	-16.1M	13.27	14.24	4,998	66,335	1,366,635	2,738,590
2007-10-11	$28.68	$27.62	23.0%	6.6%	19.6%	41.4%	24.8%	4.8%	0.2%	-48.4M	93.1M	-16.2M	1.73	14.84	28,723	49,656	1,346,715	2,774,347
2007-10-12	$28.87	$27.62	21.3%	6.1%	19.7%	37.2%	23.2%	4.4%	1.1%	-54.8M	169.0M	-16.1M	0.57	9.40	39,195	22,197	1,356,888	2,797,315
2007-10-15	$28.29	$27.62	23.8%	6.8%	20.9%	43.4%	24.1%	4.9%	0.1%	-84.8M	799.1M	-16.0M	0.57	11.26	109,360	62,149	1,382,050	2,808,285
2007-10-16	$27.76	$27.62	25.8%	7.4%	17.5%	48.4%	26.7%	5.3%	0.4%	-113.0M	1.36B	-16.2M	2.21	7.23	56,779	125,624	1,459,123	2,830,971
2007-10-17	$27.74	$27.62	25.5%	7.3%	17.3%	47.6%	26.1%	5.1%	1.5%	-127.0M	1.47B	-16.1M	2.87	11.23	46,380	133,040	1,461,710	2,869,297
2007-10-18	$27.39	$27.62	25.8%	7.4%	17.3%	48.4%	26.6%	5.3%	1.5%	-159.0M	1.88B	-16.0M	5.59	6.35	32,100	179,546	1,497,105	2,893,882
2007-10-19	$26.48	$27.62	33.5%	9.6%	20.8%	67.7%	33.9%	7.9%	-2.1%	-171.3M	3.02B	-16.0M	2.40	15.16	74,856	179,456	1,511,453	2,988,942
2007-10-22	$26.81	$27.62	29.4%	8.4%	21.0%	57.5%	29.2%	7.9%	0.2%	-90.1M	2.10B	-16.0M	1.70	8.68	94,825	160,934	1,276,096	2,519,759
2007-10-23	$26.95	$27.62	28.1%	8.1%	21.2%	54.2%	27.3%	7.1%	0.6%	-91.1M	1.95B	-16.2M	1.91	6.33	47,835	91,154	1,324,854	2,596,771
2007-10-24	$26.75	$27.62	29.3%	8.4%	21.3%	57.1%	30.1%	6.9%	-0.5%	-94.7M	2.17B	-16.1M	1.43	9.63	205,280	294,198	1,350,377	2,605,339
2007-10-25	$26.73	$27.62	31.5%	9.0%	20.7%	62.6%	31.6%	6.9%	-0.3%	-96.2M	2.33B	-17.0M	2.15	13.19	105,892	227,281	1,488,600	2,772,906
2007-10-26	$27.38	$27.62	28.3%	8.1%	22.7%	54.6%	29.2%	4.0%	0.5%	-87.1M	1.65B	-17.9M	1.34	6.07	70,856	94,990	1,543,223	2,844,728
2007-10-29	$27.46	$27.62	31.5%	9.0%	21.5%	62.7%	33.4%	5.9%	-2.9%	-86.7M	1.57B	-17.2M	5.05	6.25	19,344	97,772	1,566,313	2,846,653
2007-10-30	$27.03	$27.62	35.7%	10.2%	21.5%	73.1%	35.0%	8.3%	-5.0%	-89.2M	1.67B	-17.2M	0.98	6.98	55,276	53,930	1,565,644	2,883,875
2007-10-31	$27.40	$27.62	27.3%	7.8%	22.3%	52.0%	28.6%	5.9%	0.7%	-94.4M	1.62B	-17.2M	0.76	11.00	131,015	99,083	1,591,751	2,923,983