XLF Options History — May 2008

In May 2008, XLF traded between $20.02 and $22.51. ATM implied volatility averaged 29.7%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.9% (HV 20d: 28.8%). Max pain ranged from $21.12 to $21.93. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2008-05-21: Highest Volume — 644,823 contracts
  • 2008-05-14: Largest IV drop — 16.8% change
  • 2008-05-30: Highest IV Rank — 45.8%
  • 2008-05-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.10$20.02$22.51$22.36$20.11
Max Pain$21.62$21.12$21.93$21.12$21.12
ATM IV29.7%24.0%33.7%26.0%33.7%
Expected Move8.6%6.9%9.7%7.5%9.7%
HV 20d28.8%23.5%32.8%29.4%23.5%
HV 60d40.3%39.6%41.0%40.6%39.8%
IV Rank38.1%27.1%45.8%30.9%45.8%
IV Percentile37.8%27.0%51.6%31.7%51.6%
Term Structure0.5%-2.0%4.4%1.7%-2.0%
VWIV30.9%25.8%34.6%28.8%34.6%
Skew 25d5.3%2.7%6.9%4.8%6.5%
Skew 10d9.2%5.4%13.3%9.2%11.4%
Call IV 25d28.1%24.8%31.5%26.5%30.2%
Put IV 25d33.3%28.0%36.7%31.3%36.7%
Bid-Ask Spread %4.852.938.216.584.30
Gamma HHI0.150.110.210.110.15
Net GEX-22.1M-57.4M27.7M20.1M-19.7M
Net DEX829.5M-1.00B2.32B-821.2M1.98B
Net VEX-21.9M-23.1M-20.8M-22.2M-21.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.203.250.742.64
Total Volume367,204.571192,255644,823355,680448,388
Total OI7,447,080.8576,894,0267,881,0516,894,0267,811,617

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$22.36$21.1226.0%7.5%29.4%30.9%28.8%4.8%1.7%20.1M-821.2M-22.2M0.746.58204,766150,9143,165,8193,728,207
2008-05-02$22.51$21.1224.0%6.9%28.9%27.1%25.8%3.1%4.4%25.8M-964.6M-22.3M0.595.64247,097146,3773,199,4223,750,553
2008-05-05$22.12$21.9328.1%8.6%29.8%34.8%31.5%6.5%-0.3%16.6M-628.0M-22.5M0.335.15170,23056,2963,326,5893,783,316
2008-05-06$22.36$21.9326.1%8.0%29.5%31.0%33.6%6.7%0.7%27.7M-1.00B-23.1M3.255.7267,232218,8313,463,7673,800,971
2008-05-07$21.55$21.9330.0%8.7%32.0%38.6%32.3%6.9%-0.4%-10.0M137.5M-22.7M0.876.04225,783195,7463,469,2513,876,935
2008-05-08$21.11$21.9332.1%9.4%32.8%42.6%33.5%5.9%-1.4%-26.8M644.8M-22.9M1.736.05116,757201,4573,558,5013,947,609
2008-05-09$21.11$21.9329.6%8.9%32.0%37.9%32.2%5.5%-0.5%-45.1M904.5M-22.7M2.295.15102,904235,4473,553,6704,053,618
2008-05-12$21.36$21.9332.3%9.0%30.7%43.1%30.4%6.3%0.1%-21.1M387.1M-22.7M0.434.19147,01362,9133,581,7774,100,520
2008-05-13$21.17$21.9332.5%8.7%30.9%43.4%30.0%5.3%0.9%-41.8M878.9M-22.0M0.758.21109,56582,6903,580,8974,099,656
2008-05-14$21.32$21.9327.0%8.6%29.6%32.9%30.5%5.3%0.1%-36.4M578.6M-21.9M0.805.12114,45891,2133,604,8674,103,968
2008-05-15$21.53$21.9329.0%8.3%29.2%36.7%29.1%5.8%0.8%-9.6M90.9M-22.3M0.205.62230,15644,9563,614,4574,141,126
2008-05-16$21.44$21.9328.5%8.2%28.2%35.6%28.9%4.8%1.6%-15.8M491.5M-22.3M1.513.61138,377209,6253,744,3834,136,560
2008-05-19$21.23$21.9328.0%8.0%27.8%34.6%27.6%5.3%-0.2%-18.9M849.7M-21.6M0.933.90195,239181,8193,300,8483,599,169
2008-05-20$20.74$21.9328.0%8.0%28.7%34.6%29.3%4.5%1.1%-36.5M1.47B-21.6M2.842.9394,204267,5733,395,4403,664,792
2008-05-21$20.21$21.9330.8%8.8%30.0%40.2%31.4%4.9%0.7%-57.4M2.16B-20.8M2.853.45167,357477,4663,369,9993,764,304
2008-05-22$20.32$21.1230.0%8.6%26.9%38.7%29.6%4.8%1.5%-53.7M1.97B-21.9M1.213.49184,463223,7603,459,9633,920,431
2008-05-23$20.02$21.1232.2%9.2%26.0%42.8%32.6%2.7%1.6%-56.8M2.32B-20.8M0.603.62377,677224,8323,458,9523,895,836
2008-05-27$20.13$21.1232.3%9.2%26.1%43.0%32.2%4.3%0.2%-44.0M2.10B-21.5M1.063.81173,838184,2723,712,9694,012,250
2008-05-28$20.02$21.1232.5%9.3%25.9%43.5%33.2%4.1%0.9%-45.3M2.16B-21.3M1.814.40203,776368,1293,801,5674,079,484
2008-05-29$20.37$21.1231.7%9.1%27.0%41.8%31.0%6.6%-1.1%-16.1M1.72B-20.9M0.484.91248,183119,5173,823,3533,931,285
2008-05-30$20.11$21.1233.7%9.7%23.5%45.8%34.6%6.5%-2.0%-19.7M1.98B-21.0M2.644.30123,125325,2633,826,4223,985,195