XLF Options History — January 2008

In January 2008, XLF traded between $20.71 and $23.67. ATM implied volatility averaged 39.8%, placing in the 81.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 5.6% (HV 20d: 34.2%). Max pain ranged from $21.12 to $26.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2008-01-17: Highest Volume — 969,386 contracts
2008-01-23: Largest IV drop — 15.4% change
2008-01-18: Highest IV Rank — 100.0%
2008-01-22: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.27	$20.71	$23.67	$23.04	$23.67
Max Pain	$22.20	$21.12	$26.00	$26.00	$21.93
ATM IV	39.8%	33.7%	49.3%	36.0%	40.2%
Expected Move	11.4%	9.7%	14.1%	10.3%	11.5%
HV 20d	34.2%	24.3%	47.9%	29.6%	47.9%
HV 60d	37.0%	33.8%	40.8%	33.9%	40.6%
IV Rank	81.0%	68.2%	100.0%	73.9%	78.8%
IV Percentile	91.0%	81.3%	100.0%	86.1%	91.7%
Term Structure	-3.0%	-8.3%	1.3%	-0.4%	-3.4%
VWIV	39.6%	34.4%	49.6%	34.4%	40.7%
Skew 25d	5.7%	2.0%	9.3%	4.6%	6.7%
Skew 10d	10.0%	4.2%	14.2%	11.3%	11.0%
Call IV 25d	36.6%	32.0%	45.3%	33.0%	37.3%
Put IV 25d	42.3%	35.3%	53.3%	37.6%	44.0%
Bid-Ask Spread %	10.81	5.47	15.84	7.29	8.71
Gamma HHI	0.13	0.08	0.22	0.14	0.09
Net GEX	-45.6M	-121.0M	19.7M	-96.0M	17.6M
Net DEX	2.17B	-559.2M	4.32B	3.08B	-559.2M
Net VEX	-17.1M	-21.1M	-14.8M	-17.2M	-21.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.33	1.67	1.11	0.89
Total Volume	593,856.905	241,874	969,386	241,874	649,597
Total OI	6,241,497.714	4,669,011	7,722,578	6,244,084	5,667,442

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
2008-01-02	$23.04	$26.00	36.0%	10.3%	29.6%	73.9%	34.4%	4.6%	-0.4%	-96.0M	3.08B	-17.2M	1.11	7.29	114,655	127,219	2,647,341	3,596,743
2008-01-03	$22.89	$26.00	33.7%	9.7%	29.1%	68.2%	34.5%	2.2%	1.3%	-101.6M	3.16B	-16.7M	1.67	8.62	194,736	325,012	2,710,039	3,612,931
2008-01-04	$22.24	$22.75	36.8%	10.4%	29.6%	75.9%	35.4%	5.8%	-2.1%	-121.0M	3.79B	-16.1M	1.33	13.60	240,067	319,846	2,799,412	3,749,897
2008-01-07	$22.30	$22.75	37.2%	10.3%	26.3%	77.0%	35.4%	6.3%	-2.8%	-104.6M	3.61B	-15.9M	1.08	15.84	149,102	160,474	2,890,933	3,678,777
2008-01-08	$21.49	$22.75	37.4%	10.9%	28.3%	77.4%	37.9%	6.3%	0.2%	-101.5M	4.03B	-14.9M	1.26	14.72	300,962	379,475	2,990,291	3,646,248
2008-01-09	$21.89	$22.75	39.2%	10.8%	28.0%	81.8%	37.5%	4.7%	-1.3%	-82.0M	3.45B	-15.6M	0.88	7.79	286,894	251,618	3,157,386	3,557,328
2008-01-10	$22.27	$21.93	38.8%	11.1%	24.3%	80.8%	37.6%	4.8%	-3.4%	-62.6M	2.70B	-16.3M	1.02	7.64	380,391	386,914	3,311,251	3,580,597
2008-01-11	$22.34	$21.93	39.3%	11.3%	24.4%	82.1%	38.7%	5.7%	-3.1%	-56.4M	2.74B	-16.6M	0.90	5.71	397,686	357,191	3,410,814	3,624,463
2008-01-14	$22.65	$21.93	38.0%	10.9%	25.2%	78.9%	37.9%	4.0%	-1.5%	-50.5M	2.45B	-16.6M	0.33	10.12	438,646	144,054	3,498,429	3,661,321
2008-01-15	$21.71	$21.93	36.1%	10.4%	28.0%	74.2%	36.1%	2.5%	-1.8%	-59.9M	3.33B	-14.8M	1.04	13.49	228,353	237,935	3,647,234	3,588,002
2008-01-16	$22.08	$21.93	39.7%	11.4%	28.9%	83.1%	38.4%	2.0%	-8.3%	-47.3M	2.96B	-15.7M	1.65	13.80	294,785	485,101	3,670,412	3,607,119
2008-01-17	$20.96	$21.93	42.0%	12.0%	33.6%	88.9%	40.2%	6.0%	-3.2%	-78.5M	3.86B	-14.9M	1.36	15.54	410,398	558,988	3,763,462	3,602,354
2008-01-18	$20.71	$21.93	46.7%	13.4%	33.4%	100.0%	45.5%	4.8%	-3.6%	-69.7M	4.32B	-15.1M	1.28	15.59	293,782	377,231	3,928,963	3,793,615
2008-01-22	$21.16	$21.12	49.3%	14.1%	34.8%	100.0%	49.6%	7.9%	-7.5%	-19.0M	1.55B	-15.9M	1.15	5.47	354,807	409,034	2,234,126	2,434,885
2008-01-23	$22.66	$21.12	41.7%	12.0%	43.4%	82.3%	42.9%	9.3%	-4.7%	2.8M	452.5M	-18.6M	0.81	9.04	454,835	369,194	2,400,717	2,461,665
2008-01-24	$22.67	$21.12	41.2%	11.8%	42.8%	81.2%	42.7%	9.1%	-4.5%	14.6M	276.8M	-19.1M	0.79	11.42	350,903	277,668	2,584,156	2,490,594
2008-01-25	$22.08	$21.12	43.1%	12.4%	43.6%	85.7%	42.2%	7.3%	-3.6%	9.8M	518.3M	-19.0M	0.86	12.52	214,396	185,139	2,677,331	2,525,170
2008-01-28	$22.87	$21.12	40.0%	11.5%	45.3%	78.2%	41.2%	6.6%	-1.6%	12.2M	112.8M	-19.2M	0.49	8.53	173,805	84,687	2,630,539	2,572,418
2008-01-29	$23.22	$21.12	38.8%	11.1%	45.6%	75.6%	41.8%	7.4%	-4.8%	19.7M	-263.2M	-19.5M	0.73	7.94	191,008	138,579	2,693,291	2,571,172
2008-01-30	$22.75	$21.12	39.8%	11.4%	46.2%	77.9%	40.8%	5.9%	-4.1%	17.4M	-49.3M	-19.6M	1.36	13.71	328,081	447,747	2,774,486	2,628,098
2008-01-31	$23.67	$21.93	40.2%	11.5%	47.9%	78.8%	40.7%	6.7%	-3.4%	17.6M	-559.2M	-21.1M	0.89	8.71	343,399	306,198	2,824,477	2,842,965