XLF Options History — December 2007

In December 2007, XLF traded between $23.50 and $25.88. ATM implied volatility averaged 35.5%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 3.8% (HV 20d: 39.3%). Max pain ranged from $26.00 to $27.62. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.28.

Notable Days

2007-12-10: Highest Volume — 760,551 contracts
2007-12-11: Largest IV spike — 11.9% change
2007-12-17: Highest IV Rank — 86.5%
2007-12-17: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.28	$23.50	$25.88	$24.98	$23.50
Max Pain	$26.85	$26.00	$27.62	$26.81	$26.00
ATM IV	35.5%	30.5%	41.1%	37.1%	32.5%
Expected Move	10.1%	8.7%	11.8%	10.7%	9.3%
HV 20d	39.3%	29.0%	45.1%	43.6%	29.0%
HV 60d	33.5%	31.9%	34.7%	31.9%	33.9%
IV Rank	72.6%	60.1%	86.5%	76.8%	65.2%
IV Percentile	85.0%	72.5%	94.6%	90.9%	77.2%
Term Structure	-1.6%	-5.2%	1.2%	-1.9%	1.0%
VWIV	35.8%	31.6%	40.4%	38.9%	36.1%
Skew 25d	5.7%	3.7%	8.4%	5.9%	4.7%
Skew 10d	10.7%	7.8%	14.2%	11.0%	8.3%
Call IV 25d	33.2%	29.6%	38.4%	34.8%	31.9%
Put IV 25d	38.9%	34.5%	44.5%	40.7%	36.6%
Bid-Ask Spread %	8.08	5.15	11.27	7.10	7.21
Gamma HHI	0.13	0.10	0.17	0.13	0.12
Net GEX	-96.3M	-149.3M	-59.7M	-85.1M	-86.5M
Net DEX	3.58B	1.72B	5.47B	3.09B	2.80B
Net VEX	-20.0M	-22.0M	-17.9M	-20.9M	-17.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.39	3.42	0.59	2.78
Total Volume	370,734.5	78,384	760,551	205,686	221,036
Total OI	7,334,836.6	6,188,473	8,568,667	6,753,081	6,308,310

Daily Data (20 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
2007-12-03	$24.98	$26.81	37.1%	10.7%	43.6%	76.8%	38.9%	5.9%	-1.9%	-85.1M	3.09B	-20.9M	0.59	7.10	129,461	76,225	2,666,779	4,086,302
2007-12-04	$24.52	$26.81	38.7%	11.1%	43.7%	80.7%	37.8%	4.4%	-2.9%	-86.0M	3.57B	-20.0M	3.42	6.50	133,213	455,550	2,746,125	4,041,231
2007-12-05	$24.88	$26.81	34.8%	10.0%	43.5%	71.0%	38.9%	7.2%	-1.4%	-85.6M	3.07B	-21.2M	0.96	6.09	174,238	166,499	2,774,412	4,262,431
2007-12-06	$25.69	$26.81	33.5%	9.6%	40.0%	67.5%	35.7%	3.7%	-1.8%	-66.0M	2.15B	-22.0M	1.72	9.71	181,332	311,641	2,867,616	4,328,601
2007-12-07	$25.35	$27.62	33.0%	9.6%	40.3%	66.5%	33.0%	6.6%	-0.9%	-78.5M	2.56B	-21.9M	0.60	8.92	208,908	125,271	2,877,430	4,434,589
2007-12-10	$25.88	$27.62	33.8%	9.2%	40.7%	68.3%	32.7%	7.1%	-1.4%	-59.7M	1.72B	-22.0M	0.53	7.33	497,329	263,222	2,950,714	4,460,632
2007-12-11	$24.57	$26.81	37.8%	10.6%	45.1%	78.4%	36.2%	8.4%	-2.5%	-86.0M	3.56B	-21.5M	0.86	8.20	346,163	297,845	3,193,178	4,576,809
2007-12-12	$24.39	$27.62	40.2%	11.1%	41.8%	84.4%	39.3%	7.4%	-3.4%	-107.1M	4.16B	-21.1M	2.00	9.31	202,083	404,611	3,078,684	4,662,113
2007-12-13	$24.38	$27.62	38.7%	11.1%	41.8%	80.7%	38.8%	6.7%	-2.6%	-111.8M	4.28B	-21.1M	0.78	10.69	258,441	202,731	3,153,964	4,749,501
2007-12-14	$23.84	$26.81	39.7%	11.4%	41.5%	83.2%	38.1%	5.7%	-4.7%	-114.5M	4.64B	-20.3M	0.97	9.78	137,413	133,715	3,245,272	4,791,168
2007-12-17	$23.59	$26.81	41.1%	11.8%	41.6%	86.5%	40.4%	6.1%	-5.2%	-119.3M	4.98B	-19.4M	1.67	10.37	90,499	150,737	3,306,809	4,808,378
2007-12-18	$23.61	$26.81	38.8%	11.1%	40.6%	80.8%	39.7%	7.0%	-3.0%	-119.9M	5.10B	-18.8M	2.46	6.95	145,084	356,766	3,326,267	4,811,974
2007-12-19	$23.74	$26.81	36.1%	10.4%	39.8%	74.2%	35.1%	6.1%	-2.0%	-136.5M	5.31B	-19.2M	1.63	7.46	138,133	224,991	3,385,991	5,000,997
2007-12-20	$23.57	$26.81	35.0%	10.0%	39.5%	71.5%	33.9%	5.4%	-2.0%	-149.3M	5.47B	-18.8M	0.72	11.27	294,267	212,479	3,409,480	5,005,945
2007-12-21	$23.79	$26.81	33.1%	9.5%	38.7%	66.6%	33.0%	5.0%	-0.0%	-125.5M	4.87B	-19.0M	1.27	7.71	169,584	216,017	3,501,896	5,066,771
2007-12-24	$24.22	$26.81	30.8%	8.8%	37.0%	61.0%	32.6%	4.0%	0.8%	-69.5M	2.39B	-19.3M	1.09	6.00	94,613	103,399	2,475,900	3,712,573
2007-12-26	$24.05	$26.81	30.5%	8.7%	36.7%	60.1%	31.6%	4.9%	0.7%	-69.1M	2.33B	-18.9M	0.48	6.81	53,102	25,282	2,546,312	3,664,079
2007-12-27	$23.57	$26.00	32.4%	9.3%	30.8%	64.8%	32.3%	4.3%	0.2%	-83.3M	2.73B	-18.2M	0.68	9.06	50,760	34,370	2,558,375	3,630,231
2007-12-28	$23.51	$26.00	32.3%	9.3%	30.7%	64.7%	32.4%	4.1%	1.2%	-87.6M	2.88B	-18.0M	0.39	5.15	91,785	35,895	2,599,653	3,629,240
2007-12-31	$23.50	$26.00	32.5%	9.3%	29.0%	65.2%	36.1%	4.7%	1.0%	-86.5M	2.80B	-17.9M	2.78	7.21	58,524	162,512	2,623,761	3,684,549