XLF Options History — April 2008

In April 2008, XLF traded between $19.94 and $21.95. ATM implied volatility averaged 36.1%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 9.2% (HV 20d: 45.2%). Max pain ranged from $20.31 to $21.12. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.15.

Notable Days

2008-04-01: Highest Volume — 938,546 contracts
2008-04-17: Largest IV drop — 10.2% change
2008-04-14: Highest IV Rank — 64.4%
2008-04-14: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.19	$19.94	$21.95	$21.62	$21.62
Max Pain	$20.90	$20.31	$21.12	$20.31	$21.12
ATM IV	36.1%	27.1%	43.3%	40.8%	27.1%
Expected Move	10.3%	7.8%	12.4%	11.7%	7.8%
HV 20d	45.2%	26.9%	58.5%	58.5%	26.9%
HV 60d	44.2%	40.8%	47.2%	47.2%	40.8%
IV Rank	50.3%	33.0%	64.4%	59.6%	33.0%
IV Percentile	62.0%	33.3%	87.7%	80.2%	33.3%
Term Structure	0.1%	-2.7%	2.5%	-0.4%	2.5%
VWIV	37.1%	29.3%	45.8%	45.8%	29.3%
Skew 25d	5.9%	2.3%	11.4%	11.4%	2.3%
Skew 10d	11.2%	5.1%	22.4%	22.4%	5.1%
Call IV 25d	33.9%	28.2%	41.1%	36.7%	28.2%
Put IV 25d	39.8%	30.5%	48.1%	48.1%	30.5%
Bid-Ask Spread %	6.18	3.70	11.60	4.73	7.80
Gamma HHI	0.13	0.10	0.17	0.10	0.13
Net GEX	-7.6M	-56.0M	21.1M	14.4M	-8.2M
Net DEX	487.5M	-479.5M	2.11B	-263.0M	328.5M
Net VEX	-21.9M	-24.0M	-20.1M	-23.7M	-21.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.36	3.06	0.90	0.55
Total Volume	443,863.818	142,485	938,546	938,546	525,123
Total OI	7,008,514.727	5,866,611	7,850,758	6,859,855	6,696,791

Daily Data (22 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
2008-04-01	$21.62	$20.31	40.8%	11.7%	58.5%	59.6%	45.8%	11.4%	-0.4%	14.4M	-263.0M	-23.7M	0.90	4.73	494,279	444,267	3,112,179	3,747,676
2008-04-02	$21.61	$20.31	40.0%	11.5%	58.4%	57.9%	43.8%	9.3%	-1.2%	20.7M	-296.7M	-24.0M	1.06	3.74	200,818	212,464	3,296,899	3,810,192
2008-04-03	$21.71	$20.31	40.9%	11.7%	58.3%	59.6%	44.9%	8.8%	-0.7%	21.1M	-404.9M	-23.9M	2.31	4.66	207,579	479,854	3,249,493	3,757,122
2008-04-04	$21.41	$21.12	39.3%	11.8%	56.9%	56.6%	39.5%	7.7%	0.5%	7.8M	149.0M	-23.5M	0.84	11.60	202,988	170,089	3,272,185	3,879,904
2008-04-07	$21.54	$21.12	40.6%	11.0%	56.9%	59.1%	38.7%	6.8%	-0.2%	16.8M	-84.3M	-23.8M	0.36	6.44	269,460	97,572	3,359,559	3,912,518
2008-04-08	$21.30	$21.12	38.4%	10.9%	55.9%	54.9%	37.9%	6.2%	0.2%	12.2M	185.4M	-23.1M	1.23	6.70	64,117	78,793	3,422,149	3,928,263
2008-04-09	$20.94	$21.12	37.6%	11.1%	51.9%	53.3%	38.6%	5.2%	-1.2%	-8.8M	771.7M	-22.5M	0.74	5.16	174,868	130,202	3,421,771	3,944,333
2008-04-10	$20.81	$21.12	37.8%	10.8%	51.5%	53.6%	38.8%	5.4%	-0.5%	-20.3M	1.01B	-22.1M	0.80	3.70	150,317	120,361	3,425,733	3,972,007
2008-04-11	$20.41	$21.12	40.0%	11.5%	52.0%	57.9%	40.2%	4.5%	-0.9%	-34.6M	1.45B	-21.6M	3.06	6.95	116,285	355,945	3,472,207	4,014,482
2008-04-14	$19.94	$21.12	43.3%	12.4%	51.7%	64.4%	43.3%	4.7%	-2.7%	-56.0M	2.11B	-20.1M	0.93	5.23	267,969	249,797	3,519,729	4,008,104
2008-04-15	$20.14	$21.12	39.7%	11.4%	51.0%	57.4%	40.4%	7.0%	-1.2%	-52.7M	1.89B	-20.2M	1.81	4.59	164,718	298,471	3,607,682	4,033,977
2008-04-16	$20.68	$20.31	37.7%	10.8%	43.0%	53.5%	37.7%	6.6%	-0.1%	-19.3M	933.0M	-20.7M	1.33	8.47	294,866	391,502	3,626,011	4,105,124
2008-04-17	$21.04	$20.31	33.9%	9.7%	42.2%	46.1%	34.9%	6.7%	0.3%	7.5M	316.4M	-20.9M	0.50	7.60	287,133	143,450	3,569,323	4,253,852
2008-04-18	$21.50	$20.31	34.3%	9.8%	36.8%	46.9%	35.0%	7.0%	0.1%	4.9M	-479.5M	-21.2M	0.90	6.80	288,145	258,910	3,637,811	4,212,947
2008-04-21	$21.17	$21.12	35.0%	10.0%	36.9%	48.2%	36.0%	4.8%	-0.6%	-18.8M	789.8M	-20.8M	1.23	4.66	144,647	178,235	2,715,294	3,167,017
2008-04-22	$20.88	$21.12	33.0%	9.5%	37.2%	44.4%	34.1%	5.3%	1.3%	-21.2M	937.1M	-20.4M	1.41	4.91	161,877	227,726	2,713,386	3,153,225
2008-04-23	$20.74	$21.12	32.8%	9.4%	34.9%	44.0%	33.8%	4.6%	1.0%	-26.9M	1.19B	-20.5M	2.08	5.10	121,673	253,473	2,819,026	3,295,311
2008-04-24	$21.49	$21.12	31.7%	9.1%	36.5%	41.9%	31.4%	4.0%	1.2%	-13.9M	414.4M	-21.6M	0.39	6.00	413,988	163,460	2,868,780	3,427,503
2008-04-25	$21.89	$21.12	29.3%	8.4%	35.7%	37.3%	30.2%	4.0%	1.4%	7.5M	-126.0M	-22.4M	1.58	6.34	158,640	251,251	3,058,539	3,463,295
2008-04-28	$21.95	$21.12	30.1%	8.6%	35.7%	38.9%	31.7%	3.4%	1.4%	3.0M	-102.2M	-21.9M	0.79	6.68	227,801	179,406	3,031,225	3,553,968
2008-04-29	$21.68	$21.12	29.9%	8.6%	26.9%	38.4%	30.4%	3.9%	2.0%	-2.2M	8.9M	-21.7M	0.50	8.02	95,158	47,327	3,027,462	3,623,270
2008-04-30	$21.62	$21.12	27.1%	7.8%	26.9%	33.0%	29.3%	2.3%	2.5%	-8.2M	328.5M	-21.1M	0.55	7.80	338,851	186,272	3,067,137	3,629,654