XLF Options History — June 2008

In June 2008, XLF traded between $16.46 and $20.02. ATM implied volatility averaged 40.6%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 11.1% (HV 20d: 29.5%). Max pain ranged from $17.87 to $21.12. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2008-06-25: Highest Volume — 1,093,042 contracts
2008-06-06: Largest IV spike — 20.8% change
2008-06-30: Highest IV Rank — 78.2%
2008-06-30: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.43	$16.46	$20.02	$19.81	$16.46
Max Pain	$19.61	$17.87	$21.12	$21.12	$17.87
ATM IV	40.6%	34.8%	51.7%	35.7%	51.7%
Expected Move	11.5%	10.0%	14.8%	10.2%	14.8%
HV 20d	29.5%	20.9%	34.1%	23.3%	34.1%
HV 60d	34.2%	28.9%	39.3%	39.3%	29.7%
IV Rank	56.9%	47.8%	78.2%	49.6%	78.2%
IV Percentile	75.5%	54.8%	98.4%	58.3%	98.4%
Term Structure	-2.3%	-5.2%	1.5%	-2.0%	-5.2%
VWIV	39.6%	34.1%	49.3%	35.0%	49.3%
Skew 25d	5.2%	4.1%	7.2%	5.4%	5.0%
Skew 10d	9.2%	6.9%	12.0%	7.1%	7.3%
Call IV 25d	37.8%	32.0%	47.9%	32.8%	47.9%
Put IV 25d	43.0%	38.2%	52.9%	38.2%	52.9%
Bid-Ask Spread %	6.29	2.98	15.64	4.59	5.42
Gamma HHI	0.18	0.12	0.28	0.23	0.16
Net GEX	-46.6M	-91.6M	-17.1M	-51.2M	-22.6M
Net DEX	3.31B	2.30B	4.56B	2.57B	3.21B
Net VEX	-18.7M	-20.9M	-15.8M	-20.1M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.36	2.82	1.44	0.64
Total Volume	715,481	387,113	1,093,042	399,588	1,023,081
Total OI	8,598,770.381	6,662,296	10,487,786	7,999,536	8,041,145

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
2008-06-02	$19.81	$21.12	35.7%	10.2%	23.3%	49.6%	35.0%	5.4%	-2.0%	-51.2M	2.57B	-20.1M	1.44	4.59	163,792	235,796	3,819,664	4,179,872
2008-06-03	$19.75	$21.12	35.6%	10.2%	22.9%	49.5%	35.2%	5.1%	-2.0%	-60.3M	2.85B	-19.8M	1.01	4.55	192,791	194,322	3,817,730	4,210,670
2008-06-04	$19.63	$21.12	36.9%	10.6%	22.1%	52.0%	35.5%	4.6%	-1.8%	-62.2M	2.97B	-19.8M	0.80	4.19	313,525	250,822	3,878,342	4,251,198
2008-06-05	$20.02	$21.12	34.8%	10.0%	20.9%	47.8%	34.1%	7.2%	-0.8%	-46.5M	2.41B	-20.8M	2.82	2.98	151,134	426,341	3,986,605	4,274,318
2008-06-06	$18.95	$20.31	42.0%	11.5%	27.1%	61.8%	39.3%	4.6%	-3.3%	-68.1M	3.53B	-19.9M	1.03	15.64	469,716	482,833	4,055,741	4,411,268
2008-06-09	$18.69	$20.31	38.7%	11.1%	27.2%	55.4%	38.4%	5.0%	-1.9%	-91.6M	4.23B	-17.9M	1.88	9.76	303,677	569,856	4,194,034	4,493,873
2008-06-10	$18.75	$20.31	42.0%	11.3%	26.6%	61.9%	39.6%	5.0%	-2.4%	-70.3M	3.76B	-19.1M	0.79	7.82	419,842	332,467	4,282,799	4,494,925
2008-06-11	$18.20	$20.31	45.0%	11.6%	27.8%	67.6%	39.6%	4.3%	-2.4%	-58.9M	4.07B	-17.5M	1.63	5.09	324,493	528,958	4,402,521	4,358,189
2008-06-12	$18.70	$19.50	41.9%	12.0%	30.0%	61.7%	41.4%	5.6%	-3.3%	-67.0M	3.95B	-19.6M	0.47	13.10	535,534	249,481	4,542,022	4,678,388
2008-06-13	$18.99	$19.50	40.2%	11.5%	30.5%	55.7%	39.9%	6.9%	-3.3%	-40.2M	3.08B	-20.9M	0.49	8.24	480,296	236,725	4,821,639	4,640,728
2008-06-16	$19.17	$19.50	38.2%	11.0%	31.0%	51.7%	38.9%	6.6%	-3.1%	-34.7M	2.96B	-20.8M	0.61	5.42	380,791	231,774	5,062,975	4,712,827
2008-06-17	$18.61	$19.50	38.4%	11.0%	32.1%	52.0%	37.5%	5.5%	-2.3%	-48.8M	3.77B	-19.4M	0.89	5.03	229,588	204,280	5,265,834	4,808,292
2008-06-18	$18.30	$19.50	39.6%	11.4%	31.7%	54.5%	39.6%	5.5%	-4.0%	-54.4M	4.24B	-18.4M	0.55	5.22	497,144	271,511	5,275,705	4,815,917
2008-06-19	$18.50	$18.68	39.0%	11.2%	31.4%	51.0%	38.6%	6.0%	-3.5%	-31.1M	4.05B	-18.9M	0.36	6.30	670,360	242,347	5,542,645	4,842,590
2008-06-20	$18.02	$18.68	42.1%	12.1%	32.1%	57.7%	42.0%	4.3%	-4.1%	-49.8M	4.56B	-18.2M	1.32	5.02	310,810	410,717	5,613,717	4,874,069
2008-06-23	$17.45	$18.68	43.0%	12.3%	33.3%	59.5%	42.0%	4.3%	-1.8%	-28.4M	2.66B	-16.6M	0.90	4.91	271,689	243,966	3,258,474	3,403,822
2008-06-24	$17.65	$18.68	41.5%	11.9%	33.6%	56.3%	41.4%	4.6%	-2.1%	-21.2M	2.36B	-17.8M	0.59	3.86	486,486	285,736	3,395,875	3,484,225
2008-06-25	$17.61	$18.68	37.9%	10.9%	33.7%	48.6%	37.7%	5.2%	0.7%	-17.1M	2.30B	-17.9M	0.72	6.09	635,600	457,442	3,595,286	3,602,754
2008-06-26	$16.98	$18.68	44.3%	12.7%	34.0%	62.3%	44.0%	4.1%	-0.7%	-25.8M	2.89B	-17.1M	1.39	4.41	194,095	270,140	3,833,370	3,758,380
2008-06-27	$16.71	$18.68	43.5%	12.5%	34.1%	60.6%	43.6%	4.3%	1.5%	-29.0M	3.07B	-16.3M	0.43	4.43	590,108	255,035	3,833,370	3,758,380
2008-06-30	$16.46	$17.87	51.7%	14.8%	34.1%	78.2%	49.3%	5.0%	-5.2%	-22.6M	3.21B	-15.8M	0.64	5.42	624,760	398,321	4,170,829	3,870,316