XLF Options History — March 2008

In March 2008, XLF traded between $19.05 and $21.66. ATM implied volatility averaged 47.4%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 5.5% (HV 20d: 41.9%). Max pain ranged from $20.31 to $22.75. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2008-03-19: Highest Volume — 1,737,796 contracts
  • 2008-03-18: Largest IV drop — 25.1% change
  • 2008-03-06: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.32$19.05$21.66$20.70$20.20
Max Pain$20.96$20.31$22.75$22.75$20.31
ATM IV47.4%40.7%61.8%44.4%48.0%
Expected Move13.6%11.7%17.7%12.7%13.8%
HV 20d41.9%27.5%54.7%31.5%53.2%
HV 60d40.4%35.5%45.0%37.2%44.9%
IV Rank80.4%59.4%100.0%87.5%73.5%
IV Percentile95.2%82.1%100.0%95.6%97.2%
Term Structure-3.9%-10.9%-0.4%-1.5%-3.4%
VWIV47.7%43.0%59.4%43.0%47.9%
Skew 25d8.4%4.2%12.1%4.2%10.3%
Skew 10d14.6%7.1%22.2%7.3%15.6%
Call IV 25d43.6%37.9%54.2%41.6%43.4%
Put IV 25d52.0%45.7%66.3%45.7%53.6%
Bid-Ask Spread %6.503.5812.595.465.60
Gamma HHI0.150.100.220.140.11
Net GEX-27.2M-60.5M23.3M-58.6M-28.6M
Net DEX2.29B-98.0M3.81B2.86B1.56B
Net VEX-22.0M-24.6M-19.8M-20.4M-22.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.382.361.231.30
Total Volume762,079.85271,5211,737,796375,399271,521
Total OI7,813,702.556,247,4319,603,7296,989,0336,802,669

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$20.70$22.7544.4%12.7%31.5%87.5%43.0%4.2%-1.5%-58.6M2.86B-20.4M1.235.46168,619206,7803,292,7493,696,284
2008-03-04$20.58$22.7545.4%13.0%30.4%90.0%44.7%5.6%-2.1%-59.8M2.94B-20.4M2.234.45243,776542,5603,380,5293,770,307
2008-03-05$20.42$22.7544.9%12.9%27.5%88.7%44.7%4.3%-2.1%-60.5M3.07B-20.7M0.555.44485,234268,6623,504,2093,995,888
2008-03-06$19.72$22.7553.8%15.4%29.5%100.0%53.3%6.1%-5.7%-51.8M3.38B-20.1M1.478.52283,765416,0133,511,3563,952,530
2008-03-07$19.76$21.9347.7%13.5%29.1%86.1%46.6%5.6%-4.1%-57.6M3.57B-20.4M0.6810.26525,350355,2323,653,2124,153,169
2008-03-10$19.20$21.1252.8%15.1%30.0%97.7%52.9%5.9%-7.0%-49.4M3.78B-19.8M1.619.93203,508327,4683,827,7324,227,336
2008-03-11$20.45$21.1244.2%12.5%38.4%78.0%44.8%8.5%-3.6%-42.5M2.71B-21.8M0.675.28489,209326,7823,888,5494,325,730
2008-03-12$20.11$20.3146.9%13.3%37.1%84.3%46.2%6.7%-3.2%-37.2M3.04B-21.7M0.9412.59335,982316,6984,098,0064,334,001
2008-03-13$20.06$20.3146.8%13.4%37.1%83.9%47.2%8.7%-4.6%-36.0M2.95B-22.1M1.333.92382,081507,4484,188,8904,496,332
2008-03-14$19.50$20.3153.4%15.3%37.2%99.1%53.3%8.2%-6.8%-38.1M3.59B-22.1M0.727.39733,635524,8924,324,0554,599,719
2008-03-17$19.05$20.3161.8%17.7%36.9%100.0%59.4%12.1%-10.9%-34.7M3.81B-21.1M0.784.10630,993493,7984,597,7704,704,919
2008-03-18$20.65$20.3146.3%13.3%48.2%70.1%46.4%9.8%-3.9%16.9M2.05B-23.3M0.553.58762,180415,9324,719,4684,789,708
2008-03-19$20.11$20.3147.5%13.6%48.6%72.5%46.4%11.5%-4.7%23.3M2.37B-22.7M0.386.251,256,500481,2964,794,9464,808,783
2008-03-20$21.38$20.3144.2%12.7%53.6%66.0%45.3%10.9%-3.3%-3.4M503.5M-24.6M0.8410.96579,142487,1074,657,6354,849,825
2008-03-24$21.66$20.3140.7%11.7%53.3%59.4%43.3%8.9%-0.7%11.2M-98.0M-23.9M0.827.45282,918231,0772,857,5353,389,896
2008-03-25$21.59$20.3140.9%11.7%53.3%59.6%46.8%10.8%-1.1%10.8M25.2M-23.8M2.364.0081,016190,9882,930,2593,402,610
2008-03-26$20.81$20.3142.5%12.2%54.6%62.7%45.0%11.2%-0.4%-6.2M816.0M-22.8M0.754.58387,106291,2832,912,6473,480,760
2008-03-27$20.49$20.3148.4%13.9%54.7%74.2%48.3%9.9%-4.2%-14.0M1.17B-23.2M2.065.18124,111255,7863,116,2483,573,412
2008-03-28$20.02$20.3148.2%13.8%54.2%73.8%48.2%9.2%-3.9%-28.3M1.65B-22.2M1.525.11148,956226,1932,997,7163,666,662
2008-03-31$20.20$20.3148.0%13.8%53.2%73.5%47.9%10.3%-3.4%-28.6M1.56B-22.0M1.305.60118,108153,4133,056,0503,746,619