XLF Options History — February 2008

In February 2008, XLF traded between $20.98 and $24.11. ATM implied volatility averaged 39.7%, placing in the 76.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 3.7% (HV 20d: 43.4%). Max pain ranged from $21.93 to $23.56. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.50.

Notable Days

2008-02-29: Highest Volume — 919,412 contracts
2008-02-29: Largest IV spike — 15.6% change
2008-02-11: Highest IV Rank — 94.3%
2008-02-06: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.13	$20.98	$24.11	$24.11	$20.98
Max Pain	$23.19	$21.93	$23.56	$21.93	$22.75
ATM IV	39.7%	33.4%	46.9%	36.7%	42.6%
Expected Move	11.1%	9.6%	12.6%	10.5%	12.2%
HV 20d	43.4%	32.7%	50.7%	48.2%	32.7%
HV 60d	39.1%	36.7%	40.9%	40.6%	37.3%
IV Rank	76.7%	59.4%	94.3%	70.6%	82.8%
IV Percentile	84.7%	64.3%	99.6%	80.2%	93.3%
Term Structure	-1.8%	-5.5%	1.2%	-1.1%	0.3%
VWIV	39.1%	33.9%	44.5%	39.4%	42.5%
Skew 25d	6.7%	4.1%	9.5%	7.0%	7.3%
Skew 10d	11.1%	8.1%	14.3%	12.5%	8.1%
Call IV 25d	35.8%	31.2%	40.5%	33.1%	39.5%
Put IV 25d	42.5%	35.5%	47.0%	40.1%	46.9%
Bid-Ask Spread %	9.84	3.38	39.75	8.92	7.11
Gamma HHI	0.11	0.09	0.17	0.09	0.11
Net GEX	-21.4M	-51.0M	27.8M	27.8M	-35.5M
Net DEX	1.12B	-1.18B	2.15B	-1.18B	2.15B
Net VEX	-20.1M	-22.0M	-18.5M	-22.0M	-19.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.29	2.86	0.91	2.86
Total Volume	440,385.3	189,683	919,412	498,750	919,412
Total OI	6,112,362.45	5,508,393	6,672,292	5,858,964	6,441,961

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
2008-02-01	$24.11	$21.93	36.7%	10.5%	48.2%	70.6%	39.4%	7.0%	-1.1%	27.8M	-1.18B	-22.0M	0.91	8.92	260,537	238,213	2,937,513	2,921,451
2008-02-04	$23.41	$23.56	41.6%	10.9%	48.2%	82.0%	39.2%	8.1%	-4.1%	10.5M	-444.6M	-21.6M	1.49	7.26	157,718	234,551	2,923,615	2,957,985
2008-02-05	$22.46	$23.56	44.6%	12.0%	50.7%	89.0%	41.4%	6.1%	-4.6%	-7.5M	616.7M	-20.9M	1.17	10.76	299,297	350,849	2,950,994	2,930,098
2008-02-06	$22.20	$23.56	45.8%	12.6%	49.0%	91.8%	44.5%	6.3%	-5.5%	-15.8M	1.01B	-20.6M	2.07	5.05	145,882	302,060	3,021,679	3,011,770
2008-02-07	$22.40	$23.56	41.9%	11.8%	48.6%	82.7%	40.5%	7.0%	-3.9%	-6.1M	616.3M	-21.2M	0.85	11.78	150,777	128,887	3,074,281	3,054,781
2008-02-08	$22.03	$23.56	41.1%	12.0%	48.7%	80.5%	41.0%	5.5%	-3.9%	-20.8M	1.23B	-20.2M	1.52	10.60	231,061	350,546	3,094,383	3,048,788
2008-02-11	$21.54	$23.56	46.9%	12.3%	49.2%	94.3%	43.1%	7.0%	-4.4%	-37.8M	1.80B	-19.3M	1.32	7.90	218,314	287,095	3,137,746	3,177,359
2008-02-12	$22.14	$23.56	45.2%	11.9%	50.0%	90.1%	42.4%	7.0%	-3.6%	-34.1M	1.40B	-20.2M	1.46	10.88	258,016	377,564	3,205,951	3,241,025
2008-02-13	$22.06	$23.56	43.2%	11.5%	47.7%	85.4%	39.1%	6.4%	-2.6%	-33.9M	1.31B	-20.0M	1.83	9.07	70,216	128,716	3,261,233	3,290,670
2008-02-14	$21.45	$23.56	42.6%	12.2%	48.3%	84.1%	41.0%	7.3%	-4.3%	-44.0M	1.69B	-19.1M	2.57	8.59	113,112	290,978	3,269,823	3,277,544
2008-02-15	$21.80	$23.56	38.9%	11.2%	44.7%	75.1%	39.6%	7.2%	-1.6%	-51.0M	1.73B	-19.3M	1.56	3.38	216,306	338,322	3,286,852	3,385,440
2008-02-19	$21.76	$23.56	36.6%	10.5%	44.5%	69.6%	37.1%	5.9%	0.6%	-33.9M	1.69B	-18.5M	0.87	9.47	101,271	88,412	2,682,418	2,825,975
2008-02-20	$22.01	$23.56	36.3%	10.4%	44.0%	68.8%	37.5%	7.8%	-1.1%	-29.1M	1.45B	-18.9M	1.15	4.04	184,117	211,485	2,709,606	2,853,627
2008-02-21	$21.62	$22.75	35.5%	10.2%	36.8%	66.9%	35.8%	6.5%	-0.4%	-37.9M	1.67B	-18.8M	1.11	9.81	95,885	106,866	2,758,174	2,983,162
2008-02-22	$22.10	$22.75	35.2%	10.1%	37.8%	66.2%	36.4%	9.5%	0.5%	-22.4M	1.39B	-19.1M	1.61	39.75	196,023	314,994	2,799,381	2,873,891
2008-02-25	$22.10	$22.75	36.1%	10.3%	36.6%	66.3%	34.8%	6.2%	0.5%	-18.3M	1.09B	-20.3M	0.29	6.62	266,040	76,646	2,923,232	3,069,462
2008-02-26	$22.29	$22.75	34.0%	9.7%	34.3%	61.0%	33.9%	4.1%	1.2%	-7.9M	973.9M	-20.6M	1.06	11.91	174,146	185,348	3,079,497	3,078,125
2008-02-27	$22.39	$22.75	33.4%	9.6%	33.9%	59.4%	35.3%	6.2%	0.8%	-5.2M	780.0M	-21.3M	2.00	6.95	151,537	303,499	3,121,599	3,161,176
2008-02-28	$21.69	$22.75	36.8%	10.6%	34.9%	68.2%	37.8%	5.1%	0.5%	-25.0M	1.49B	-20.7M	2.31	6.97	85,458	197,550	3,162,221	3,262,761
2008-02-29	$20.98	$22.75	42.6%	12.2%	32.7%	82.8%	42.5%	7.3%	0.3%	-35.5M	2.15B	-19.9M	2.86	7.11	238,306	681,106	3,175,768	3,266,193