XLF Options History — August 2008

In August 2008, XLF traded between $16.20 and $18.31. ATM implied volatility averaged 45.6%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 19.6% (HV 20d: 65.2%). Max pain ranged from $17.06 to $18.68. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2008-08-28: Highest Volume — 1,388,330 contracts
2008-08-05: Largest IV drop — 13.9% change
2008-08-04: Highest IV Rank — 70.6%
2008-08-20: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.13	$16.20	$18.31	$17.57	$17.40
Max Pain	$18.07	$17.06	$18.68	$17.06	$17.87
ATM IV	45.6%	41.0%	52.3%	47.3%	42.6%
Expected Move	13.0%	12.0%	14.3%	13.5%	12.2%
HV 20d	65.2%	47.7%	81.6%	81.6%	50.2%
HV 60d	55.7%	52.1%	58.5%	52.2%	58.3%
IV Rank	56.8%	47.5%	70.6%	60.2%	50.7%
IV Percentile	80.5%	65.5%	93.7%	88.1%	70.2%
Term Structure	-2.1%	-7.2%	3.6%	-0.6%	3.6%
VWIV	45.1%	40.5%	49.7%	49.6%	42.0%
Skew 25d	7.0%	1.8%	9.8%	6.2%	1.8%
Skew 10d	14.2%	5.9%	19.4%	11.2%	5.9%
Call IV 25d	42.2%	38.0%	45.9%	45.9%	41.7%
Put IV 25d	49.2%	43.5%	53.5%	52.1%	43.5%
Bid-Ask Spread %	4.08	2.97	5.89	3.50	3.66
Gamma HHI	0.14	0.11	0.22	0.14	0.16
Net GEX	17.5M	-19.8M	63.9M	39.5M	42.6M
Net DEX	1.19B	-566.2M	2.37B	163.3M	741.8M
Net VEX	-20.6M	-24.3M	-18.2M	-24.3M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.23	1.58	0.42	0.34
Total Volume	540,979.619	198,537	1,388,330	759,408	548,679
Total OI	9,882,187.476	8,378,458	11,038,116	10,648,501	9,973,547

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
2008-08-01	$17.57	$17.06	47.3%	13.5%	81.6%	60.2%	49.6%	6.2%	-0.6%	39.5M	163.3M	-24.3M	0.42	3.50	533,121	226,287	5,099,708	5,548,793
2008-08-04	$17.42	$18.68	52.3%	14.1%	80.6%	70.6%	47.9%	8.1%	-7.2%	24.7M	676.4M	-23.1M	1.35	4.38	131,957	177,686	4,952,578	5,542,367
2008-08-05	$18.31	$18.68	45.0%	12.0%	79.4%	55.7%	43.7%	8.8%	-3.9%	45.8M	-566.2M	-23.3M	0.57	5.29	330,696	187,182	4,946,810	5,525,143
2008-08-06	$18.12	$18.68	42.9%	12.3%	76.1%	51.3%	40.5%	9.8%	-5.0%	53.9M	-356.7M	-22.6M	0.37	3.52	471,291	174,684	4,963,152	5,534,774
2008-08-07	$17.23	$18.68	47.4%	13.5%	78.7%	60.5%	46.8%	7.9%	-5.7%	26.0M	906.8M	-21.8M	1.17	4.79	322,374	376,333	5,006,820	5,525,511
2008-08-08	$17.82	$18.68	41.0%	12.6%	78.3%	47.5%	44.5%	9.4%	-4.3%	40.1M	308.4M	-22.1M	0.80	3.51	263,553	211,560	5,029,233	5,594,929
2008-08-11	$18.12	$18.68	46.4%	12.8%	75.0%	58.5%	44.9%	8.3%	-5.5%	63.9M	-472.6M	-22.2M	0.55	3.39	379,597	207,030	5,130,312	5,662,327
2008-08-12	$17.21	$17.87	51.0%	13.8%	76.8%	67.9%	46.6%	8.2%	-5.3%	29.0M	1.00B	-21.0M	1.02	4.16	322,453	328,838	5,170,587	5,669,191
2008-08-13	$16.71	$17.87	46.9%	13.6%	65.4%	59.6%	47.6%	9.3%	-4.8%	-4.7M	1.89B	-20.0M	1.08	4.76	354,337	384,455	5,162,868	5,732,364
2008-08-14	$17.23	$17.87	44.7%	12.8%	64.6%	55.1%	44.5%	7.7%	-3.7%	51.0M	1.27B	-20.0M	0.80	4.13	247,547	197,918	5,199,818	5,747,481
2008-08-15	$17.35	$17.87	43.2%	12.4%	64.3%	52.0%	42.8%	8.3%	-3.9%	31.5M	1.03B	-20.1M	0.87	3.39	278,621	241,687	5,218,658	5,819,458
2008-08-18	$16.69	$17.87	42.8%	12.3%	65.9%	51.0%	43.8%	6.0%	-1.4%	-12.4M	2.02B	-19.1M	1.58	3.71	142,222	224,233	4,038,958	4,339,500
2008-08-19	$16.20	$17.87	48.6%	13.9%	59.2%	63.0%	47.9%	7.5%	-2.6%	-19.8M	2.37B	-18.2M	1.49	3.40	240,047	357,091	4,056,104	4,358,241
2008-08-20	$16.53	$17.87	50.0%	14.3%	59.9%	65.8%	49.7%	7.9%	-2.1%	-16.0M	2.18B	-19.2M	0.56	4.85	355,196	199,935	4,147,799	4,481,436
2008-08-21	$16.23	$17.87	47.5%	13.6%	55.1%	60.7%	47.0%	5.8%	-0.1%	-14.1M	2.30B	-18.7M	0.63	5.89	221,477	139,259	4,316,974	4,508,163
2008-08-22	$16.85	$17.87	43.6%	12.5%	56.9%	52.8%	44.9%	7.4%	0.7%	-4.8M	1.86B	-19.6M	0.50	3.33	202,780	101,770	4,395,969	4,536,189
2008-08-25	$16.26	$17.87	46.0%	13.2%	55.7%	57.6%	45.7%	6.4%	-0.0%	-10.1M	2.29B	-18.3M	1.12	3.16	93,469	105,068	4,468,168	4,547,720
2008-08-26	$16.39	$17.87	43.8%	12.5%	47.7%	53.1%	43.9%	4.4%	1.6%	-10.1M	2.26B	-18.3M	0.66	2.97	180,878	120,082	4,479,780	4,555,740
2008-08-27	$16.70	$17.87	41.7%	12.0%	47.9%	48.9%	42.5%	5.0%	3.6%	-1.8M	1.99B	-19.1M	0.67	4.33	233,551	157,298	4,576,936	4,610,113
2008-08-28	$17.38	$17.87	42.8%	12.3%	50.2%	51.2%	41.3%	3.5%	3.0%	13.9M	1.07B	-20.4M	0.23	5.45	1,126,649	261,681	4,653,571	4,698,147
2008-08-29	$17.40	$17.87	42.6%	12.2%	50.2%	50.7%	42.0%	1.8%	3.6%	42.6M	741.8M	-21.7M	0.34	3.66	408,749	139,930	5,242,812	4,730,735