XLF Options History — September 2008

In September 2008, XLF traded between $15.07 and $18.42. ATM implied volatility averaged 64.4%, placing in the 80.5% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 7.2% (HV 20d: 71.6%). Max pain ranged from $15.43 to $17.87. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2008-09-19: Highest Volume — 2,262,334 contracts
2008-09-29: Largest IV spike — 36.9% change
2008-09-15: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 26.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.89	$15.07	$18.42	$17.64	$16.16
Max Pain	$16.98	$15.43	$17.87	$17.87	$17.06
ATM IV	64.4%	41.9%	92.0%	43.0%	80.6%
Expected Move	18.2%	12.0%	26.4%	12.3%	23.1%
HV 20d	71.6%	47.3%	108.3%	50.3%	108.3%
HV 60d	67.2%	57.4%	82.0%	57.4%	82.0%
IV Rank	80.5%	49.3%	100.0%	51.5%	84.7%
IV Percentile	93.9%	65.5%	100.0%	71.8%	99.6%
Term Structure	-9.9%	-22.3%	2.7%	2.3%	-15.5%
VWIV	63.5%	43.2%	91.7%	46.7%	79.6%
Skew 25d	11.0%	5.2%	20.1%	6.3%	10.5%
Skew 10d	20.0%	7.4%	39.1%	14.0%	16.9%
Call IV 25d	58.5%	39.7%	88.6%	41.7%	74.9%
Put IV 25d	69.5%	46.2%	99.3%	47.9%	85.4%
Bid-Ask Spread %	17.29	4.13	77.40	4.70	13.50
Gamma HHI	0.13	0.09	0.19	0.16	0.09
Net GEX	31.4M	-10.3M	125.2M	55.2M	6.2M
Net DEX	966.9M	-1.37B	3.10B	273.6M	1.35B
Net VEX	-20.5M	-22.4M	-17.1M	-21.7M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.37	1.71	0.66	0.71
Total Volume	882,602.524	362,945	2,262,334	731,925	362,945
Total OI	10,061,746.048	7,533,134	12,337,396	10,186,497	8,754,388

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
2008-09-02	$17.64	$17.87	43.0%	12.3%	50.3%	51.5%	46.7%	6.3%	2.3%	55.2M	273.6M	-21.7M	0.66	4.70	439,676	292,249	5,416,350	4,770,147
2008-09-03	$17.92	$17.87	41.9%	12.0%	47.3%	49.3%	43.2%	6.5%	2.7%	65.5M	-40.4M	-22.4M	0.72	5.03	229,954	165,322	5,511,114	4,899,856
2008-09-04	$17.04	$17.87	48.5%	13.9%	50.4%	62.8%	49.8%	5.2%	-0.5%	38.1M	1.14B	-20.8M	0.54	4.13	486,204	263,811	5,462,769	4,844,607
2008-09-05	$17.66	$17.06	48.0%	13.2%	48.9%	61.8%	46.8%	7.3%	-3.7%	48.7M	411.4M	-21.3M	0.42	5.90	391,975	165,984	5,367,268	4,823,646
2008-09-08	$18.42	$17.06	46.3%	12.4%	49.7%	58.4%	43.6%	7.8%	-3.5%	76.5M	-834.2M	-22.0M	0.67	7.46	617,960	417,050	5,534,679	4,879,555
2008-09-09	$17.25	$17.06	57.0%	14.7%	54.8%	80.1%	50.8%	9.1%	-7.1%	37.6M	870.3M	-20.9M	0.77	9.19	302,534	232,057	5,576,788	4,925,492
2008-09-10	$17.03	$17.06	56.8%	14.6%	51.8%	79.8%	51.6%	7.3%	-5.7%	31.0M	1.28B	-20.0M	1.71	7.16	252,437	431,976	5,571,209	4,948,357
2008-09-11	$17.42	$17.06	59.2%	17.0%	51.2%	84.7%	57.0%	9.6%	-10.3%	39.1M	682.7M	-21.5M	0.82	19.13	585,049	482,625	5,662,472	5,062,323
2008-09-12	$17.18	$17.06	61.5%	17.6%	50.4%	89.4%	60.1%	12.5%	-9.9%	44.4M	602.3M	-22.1M	0.37	13.75	749,392	278,559	5,911,668	5,166,276
2008-09-15	$15.51	$17.06	72.0%	20.6%	62.0%	100.0%	69.8%	7.6%	-18.4%	-2.1M	2.73B	-18.0M	0.78	10.59	672,117	524,440	6,060,140	5,144,956
2008-09-16	$16.67	$17.06	63.6%	18.2%	66.4%	84.6%	66.8%	18.1%	-11.8%	20.3M	1.95B	-19.5M	0.73	12.45	595,493	436,097	6,166,724	5,204,626
2008-09-17	$15.07	$17.06	80.3%	23.0%	74.9%	100.0%	80.7%	19.1%	-17.4%	-10.3M	3.10B	-17.1M	0.77	55.06	833,792	638,291	6,170,384	5,235,155
2008-09-18	$16.26	$16.25	78.6%	22.5%	79.7%	97.3%	75.3%	20.1%	-22.3%	19.2M	2.07B	-19.9M	0.39	77.40	1,501,056	582,254	6,553,752	5,492,528
2008-09-19	$18.18	$15.43	64.8%	18.6%	88.8%	75.2%	63.3%	6.4%	-10.9%	125.2M	-1.37B	-20.1M	0.91	54.09	1,182,607	1,079,727	6,840,795	5,496,601
2008-09-22	$16.69	$15.43	75.2%	21.5%	93.5%	91.8%	74.7%	15.6%	-13.7%	24.7M	337.2M	-20.2M	1.03	11.71	244,384	250,548	4,012,357	3,520,777
2008-09-23	$16.65	$17.06	72.9%	20.9%	92.6%	88.1%	71.2%	14.4%	-10.9%	7.6M	1.09B	-20.9M	1.24	6.46	267,118	331,378	4,020,850	4,075,224
2008-09-24	$16.46	$17.06	75.8%	21.7%	92.7%	92.9%	71.8%	12.8%	-12.5%	6.0M	1.19B	-20.9M	0.44	7.65	348,570	151,860	4,142,732	4,249,280
2008-09-25	$16.91	$17.06	66.7%	19.1%	92.9%	78.3%	70.2%	11.3%	-9.1%	16.4M	950.2M	-21.1M	0.83	9.65	294,688	243,348	4,318,151	4,258,642
2008-09-26	$17.38	$17.06	67.2%	19.3%	92.4%	79.1%	68.5%	13.0%	-10.1%	16.7M	561.5M	-21.8M	0.85	8.43	227,523	192,936	4,207,512	4,410,887
2008-09-29	$15.09	$17.06	92.0%	26.4%	105.1%	100.0%	91.7%	10.7%	-20.0%	-6.7M	1.96B	-18.6M	1.01	19.71	392,637	396,030	4,243,680	4,381,950
2008-09-30	$16.16	$17.06	80.6%	23.1%	108.3%	84.7%	79.6%	10.5%	-15.5%	6.2M	1.35B	-20.1M	0.71	13.50	211,802	151,143	4,385,711	4,368,677