XLF Options History — November 2007

In November 2007, XLF traded between $22.98 and $26.00. ATM implied volatility averaged 39.3%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.6% (HV 20d: 36.7%). Max pain ranged from $26.81 to $28.43. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2007-11-28: Highest Volume — 899,422 contracts
2007-11-07: Largest IV spike — 33.2% change
2007-11-26: Highest IV Rank — 99.7%
2007-11-26: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.67	$22.98	$26.00	$26.00	$25.18
Max Pain	$27.58	$26.81	$28.43	$27.62	$26.81
ATM IV	39.3%	31.8%	46.3%	36.2%	33.4%
Expected Move	11.1%	9.2%	13.3%	10.4%	9.6%
HV 20d	36.7%	27.6%	46.4%	28.3%	43.6%
HV 60d	27.8%	24.9%	31.9%	25.9%	31.9%
IV Rank	82.2%	63.5%	99.7%	74.4%	67.5%
IV Percentile	94.3%	83.5%	99.6%	95.7%	83.5%
Term Structure	-1.2%	-5.5%	1.4%	-5.5%	1.4%
VWIV	38.1%	33.3%	45.9%	34.2%	35.1%
Skew 25d	8.5%	5.1%	12.8%	5.9%	8.2%
Skew 10d	15.1%	8.4%	21.8%	11.4%	13.8%
Call IV 25d	34.5%	28.6%	42.4%	32.7%	30.2%
Put IV 25d	43.1%	38.1%	47.9%	38.6%	38.4%
Bid-Ask Spread %	10.16	7.00	12.86	9.25	11.17
Gamma HHI	0.14	0.13	0.17	0.16	0.13
Net GEX	-102.7M	-136.2M	-74.5M	-107.2M	-74.5M
Net DEX	3.74B	2.55B	4.57B	2.92B	2.55B
Net VEX	-17.6M	-20.2M	-15.3M	-16.0M	-20.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.69	4.77	1.03	1.52
Total Volume	448,384.905	209,809	899,422	438,999	474,534
Total OI	5,728,115.238	4,539,474	6,463,705	4,539,474	6,463,705

Daily Data (21 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
2007-11-01	$26.00	$27.62	36.2%	10.4%	28.3%	74.4%	34.2%	5.9%	-5.5%	-107.2M	2.92B	-16.0M	1.03	9.25	216,445	222,554	1,610,088	2,929,386
2007-11-02	$25.87	$27.62	36.2%	10.4%	27.6%	74.3%	35.9%	7.6%	-0.8%	-110.0M	3.31B	-16.4M	1.40	12.56	326,645	456,777	1,655,254	3,012,716
2007-11-05	$25.40	$28.43	40.0%	10.6%	27.8%	83.7%	37.8%	9.5%	-1.4%	-113.8M	3.83B	-16.3M	2.94	8.94	91,659	269,239	1,836,619	3,196,518
2007-11-06	$25.83	$28.43	31.8%	9.2%	28.6%	63.5%	33.3%	9.5%	-0.5%	-136.2M	3.69B	-16.8M	1.69	8.05	149,341	251,961	1,838,513	3,327,557
2007-11-07	$24.42	$28.43	42.4%	11.4%	33.7%	89.9%	35.6%	9.9%	-1.1%	-109.2M	4.36B	-15.3M	2.44	12.86	210,857	515,450	1,908,705	3,310,699
2007-11-08	$24.67	$28.43	44.0%	11.9%	34.4%	93.9%	42.0%	10.3%	-2.9%	-124.0M	4.57B	-17.0M	2.55	10.80	128,029	326,978	2,020,759	3,582,128
2007-11-09	$24.48	$28.43	44.6%	11.9%	34.0%	95.3%	35.8%	12.7%	-1.1%	-113.9M	4.28B	-17.3M	1.17	9.92	300,709	351,201	2,086,751	3,563,590
2007-11-12	$24.57	$27.62	44.4%	12.0%	33.9%	94.9%	38.9%	12.8%	-1.9%	-112.8M	4.18B	-17.6M	1.35	9.29	191,603	258,941	2,251,669	3,602,467
2007-11-13	$25.73	$27.62	39.8%	10.3%	38.4%	83.3%	37.3%	11.9%	-1.7%	-109.8M	2.97B	-19.6M	1.71	10.22	180,700	308,530	2,343,465	3,679,505
2007-11-14	$25.63	$27.62	34.5%	10.6%	38.4%	70.1%	36.6%	11.0%	-1.8%	-112.6M	2.86B	-20.0M	0.87	10.58	138,678	120,970	2,430,868	3,810,234
2007-11-15	$24.98	$27.62	41.8%	12.0%	39.0%	88.5%	40.8%	11.2%	-3.2%	-119.1M	3.83B	-19.1M	1.79	11.63	159,359	285,889	2,478,942	3,756,696
2007-11-16	$24.78	$27.62	37.5%	10.7%	37.5%	77.5%	39.0%	8.2%	-0.0%	-123.9M	4.16B	-18.9M	4.77	10.75	49,286	234,936	2,539,812	3,872,314
2007-11-19	$24.12	$27.62	38.1%	10.9%	38.0%	79.1%	39.4%	6.2%	0.8%	-85.6M	3.72B	-17.3M	1.31	7.00	157,132	206,195	2,104,907	3,343,301
2007-11-20	$23.59	$27.62	39.9%	11.4%	38.2%	83.6%	37.4%	8.4%	-0.6%	-91.9M	3.99B	-16.6M	1.47	11.08	113,965	167,256	2,165,003	3,485,563
2007-11-21	$23.23	$27.62	42.1%	12.1%	38.3%	89.1%	42.6%	5.1%	-1.2%	-82.1M	4.25B	-16.2M	1.58	12.23	218,863	346,229	2,166,562	3,438,755
2007-11-23	$23.78	$26.81	41.6%	11.9%	39.8%	87.9%	41.1%	6.7%	-1.5%	-84.5M	3.79B	-17.6M	2.87	8.48	54,234	155,575	2,284,054	3,618,277
2007-11-26	$22.98	$26.81	46.3%	13.3%	39.4%	99.7%	45.9%	5.3%	-2.5%	-79.1M	4.33B	-16.2M	1.60	8.88	129,782	207,828	2,316,737	3,593,323
2007-11-27	$23.40	$26.81	38.9%	11.2%	40.3%	81.2%	39.3%	5.8%	1.3%	-88.3M	4.25B	-16.9M	1.22	8.68	117,692	143,671	2,390,437	3,720,611
2007-11-28	$24.79	$26.81	35.8%	10.3%	46.4%	73.4%	36.8%	6.3%	-0.7%	-87.3M	3.26B	-18.6M	1.54	8.44	354,527	544,895	2,385,288	3,740,119
2007-11-29	$24.57	$26.81	36.9%	10.6%	46.0%	76.1%	36.0%	6.9%	-0.6%	-90.0M	3.51B	-19.2M	0.69	12.48	163,593	113,375	2,539,206	3,889,317
2007-11-30	$25.18	$26.81	33.4%	9.6%	43.6%	67.5%	35.1%	8.2%	1.4%	-74.5M	2.55B	-20.2M	1.52	11.17	188,029	286,505	2,585,937	3,877,768