XLF Options History — July 2008

In July 2008, XLF traded between $13.95 and $18.27. ATM implied volatility averaged 54.6%, placing in the 78.4% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 2.9% (HV 20d: 57.5%). Max pain ranged from $15.43 to $17.87. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.92.

Notable Days

2008-07-17: Highest Volume — 2,070,569 contracts
2008-07-09: Largest IV spike — 24.1% change
2008-07-14: Highest IV Rank — 100.0%
2008-07-14: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.43	$13.95	$18.27	$16.51	$17.57
Max Pain	$16.76	$15.43	$17.87	$17.87	$17.06
ATM IV	54.6%	42.5%	66.7%	48.1%	50.4%
Expected Move	15.5%	12.2%	19.1%	13.8%	14.4%
HV 20d	57.5%	29.7%	81.8%	34.3%	81.7%
HV 60d	41.3%	29.6%	52.7%	29.7%	52.6%
IV Rank	78.4%	50.6%	100.0%	70.5%	66.6%
IV Percentile	96.0%	78.2%	100.0%	96.8%	91.7%
Term Structure	-5.4%	-11.3%	1.1%	-1.9%	-2.5%
VWIV	54.5%	43.5%	71.5%	47.3%	52.1%
Skew 25d	8.3%	4.0%	15.9%	4.5%	4.0%
Skew 10d	16.3%	7.1%	27.0%	9.3%	11.8%
Call IV 25d	50.8%	41.1%	63.1%	45.6%	51.1%
Put IV 25d	59.0%	48.6%	76.8%	50.2%	55.1%
Bid-Ask Spread %	5.75	3.02	13.29	4.08	3.95
Gamma HHI	0.13	0.11	0.22	0.17	0.13
Net GEX	5.0M	-26.4M	32.1M	-14.8M	23.8M
Net DEX	2.12B	-487.4M	4.49B	3.00B	482.1M
Net VEX	-19.3M	-24.7M	-8.6M	-16.6M	-24.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.24	2.07	0.88	0.85
Total Volume	1,035,747.455	203,390	2,070,569	1,136,386	437,289
Total OI	9,997,092.136	8,183,881	12,244,415	8,494,592	10,608,216

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
2008-07-01	$16.51	$17.87	48.1%	13.8%	34.3%	70.5%	47.3%	4.5%	-1.9%	-14.8M	3.00B	-16.6M	0.88	4.08	605,466	530,920	4,422,295	4,072,297
2008-07-02	$16.26	$17.87	52.1%	15.0%	34.4%	79.3%	51.5%	4.3%	-3.2%	-13.6M	3.13B	-17.3M	0.24	4.58	480,059	116,379	4,641,050	4,316,369
2008-07-03	$16.20	$17.87	47.1%	13.5%	32.7%	68.5%	47.7%	4.7%	1.1%	-8.9M	3.38B	-17.1M	0.38	4.43	147,458	55,932	4,911,403	4,409,827
2008-07-07	$15.66	$17.06	52.4%	14.3%	29.7%	79.9%	45.3%	8.9%	-5.3%	-19.2M	3.72B	-14.7M	0.75	5.31	524,525	392,394	4,921,106	4,272,437
2008-07-08	$16.68	$17.06	47.2%	12.5%	39.2%	68.2%	43.7%	8.3%	-3.5%	3.4M	2.82B	-17.6M	0.66	5.02	575,036	377,634	5,100,614	4,393,633
2008-07-09	$15.73	$17.06	58.6%	14.7%	43.3%	92.8%	48.6%	7.8%	-2.4%	-3.8M	3.40B	-16.5M	1.25	5.58	457,076	569,227	5,416,916	4,515,946
2008-07-10	$15.61	$17.06	54.8%	15.7%	42.6%	84.2%	52.9%	8.4%	-5.8%	-6.4M	3.70B	-17.8M	0.51	5.55	632,142	323,311	5,558,961	4,822,563
2008-07-11	$15.17	$17.06	59.9%	17.2%	41.1%	95.8%	58.7%	12.2%	-9.9%	-3.6M	3.66B	-15.8M	0.58	5.72	607,814	352,707	5,715,727	4,708,969
2008-07-14	$14.39	$17.06	66.7%	19.1%	42.5%	100.0%	71.5%	15.9%	-11.3%	-8.1M	2.73B	-8.6M	1.56	5.55	558,506	871,702	4,877,159	3,306,722
2008-07-15	$13.95	$16.25	65.4%	18.7%	42.0%	97.3%	65.8%	5.7%	-9.9%	-26.4M	4.49B	-14.0M	0.74	4.35	1,081,624	801,556	6,110,675	5,337,911
2008-07-16	$15.78	$15.43	58.0%	16.6%	64.4%	82.1%	59.1%	9.6%	-7.5%	-598.0K	2.98B	-18.3M	0.74	8.12	862,935	639,596	6,241,901	5,594,230
2008-07-17	$16.46	$15.43	58.1%	16.7%	66.8%	82.4%	58.3%	11.4%	-8.7%	26.3M	1.78B	-20.4M	0.67	13.29	1,242,635	827,934	6,428,456	5,693,524
2008-07-18	$16.79	$15.43	50.7%	14.5%	67.1%	67.2%	53.3%	10.3%	-8.2%	31.9M	1.32B	-21.1M	0.64	8.46	686,950	437,207	6,441,199	5,803,216
2008-07-21	$16.86	$15.43	47.6%	13.7%	66.7%	61.0%	49.6%	7.6%	-3.5%	5.2M	1.29B	-20.9M	0.62	5.22	305,841	189,604	4,237,810	4,677,284
2008-07-22	$18.27	$16.25	42.5%	12.2%	72.0%	50.6%	43.5%	6.3%	0.0%	26.0M	151.6M	-21.1M	0.60	7.59	787,077	471,725	4,190,773	4,667,565
2008-07-23	$18.25	$16.25	50.8%	14.6%	72.0%	67.5%	51.6%	8.3%	-4.5%	32.1M	-487.4M	-23.9M	0.83	6.90	841,509	699,478	4,485,242	4,704,070
2008-07-24	$17.02	$17.06	60.3%	17.3%	76.3%	86.8%	61.1%	10.6%	-8.8%	15.1M	911.9M	-23.8M	2.07	5.15	261,494	541,059	4,707,092	4,961,797
2008-07-25	$16.95	$17.06	59.1%	16.9%	75.2%	84.4%	64.3%	11.5%	-6.4%	11.5M	1.25B	-23.7M	1.71	3.02	461,927	789,510	4,682,704	5,057,028
2008-07-28	$16.16	$17.06	63.1%	18.1%	76.9%	92.7%	64.0%	8.6%	-6.2%	-4.6M	2.03B	-22.3M	1.95	6.19	249,220	486,707	4,817,720	5,363,332
2008-07-29	$17.47	$17.06	55.2%	15.8%	81.7%	76.5%	55.9%	7.4%	-4.8%	14.5M	754.5M	-23.7M	0.96	5.09	452,103	432,859	4,799,374	5,459,826
2008-07-30	$17.73	$17.06	52.3%	15.0%	81.8%	70.5%	53.7%	5.9%	-6.0%	29.5M	97.0M	-24.7M	1.00	3.38	310,632	309,685	4,985,623	5,495,465
2008-07-31	$17.57	$17.06	50.4%	14.4%	81.7%	66.6%	52.1%	4.0%	-2.5%	23.8M	482.1M	-24.6M	0.85	3.95	235,963	201,326	4,999,926	5,608,290