XLF Options History — October 2008

In October 2008, XLF traded between $10.71 and $16.79. ATM implied volatility averaged 92.7%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 22.0% (HV 20d: 114.7%). Max pain ranged from $12.19 to $17.06. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.81.

Notable Days

2008-10-10: Highest Volume — 1,020,973 contracts
2008-10-09: Largest IV spike — 33.4% change
2008-10-03: Highest IV Rank — 100.0%
2008-10-09: Largest Expected Move — 32.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.88	$10.71	$16.79	$16.79	$12.62
Max Pain	$13.85	$12.19	$17.06	$17.06	$12.19
ATM IV	92.7%	60.4%	154.0%	82.0%	72.1%
Expected Move	24.0%	17.3%	32.1%	23.5%	20.7%
HV 20d	114.7%	103.4%	125.0%	109.2%	116.7%
HV 60d	87.8%	81.1%	95.1%	81.4%	95.1%
IV Rank	63.5%	28.0%	100.0%	86.5%	37.0%
IV Percentile	96.1%	87.7%	100.0%	99.6%	89.3%
Term Structure	-8.7%	-20.8%	2.6%	-18.0%	-1.8%
VWIV	82.2%	60.8%	109.5%	81.8%	75.2%
Skew 25d	18.7%	12.6%	29.8%	15.3%	21.3%
Skew 10d	35.5%	20.9%	61.7%	25.9%	43.4%
Call IV 25d	74.3%	53.2%	102.8%	73.2%	65.2%
Put IV 25d	93.0%	69.6%	124.4%	88.5%	86.5%
Bid-Ask Spread %	12.09	6.50	31.70	8.38	6.93
Gamma HHI	0.10	0.07	0.13	0.10	0.10
Net GEX	-9.1M	-17.1M	15.6M	15.6M	-8.3M
Net DEX	2.47B	777.7M	3.12B	777.7M	2.33B
Net VEX	-12.0M	-20.9M	-7.3M	-20.9M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.38	1.49	0.76	0.53
Total Volume	442,961.13	205,472	1,020,973	441,235	239,459
Total OI	8,568,897.609	7,250,973	9,886,623	8,743,528	7,856,506

Daily Data (23 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
2008-10-01	$16.79	$17.06	82.0%	23.5%	109.2%	86.5%	81.8%	15.3%	-18.0%	15.6M	777.7M	-20.9M	0.76	8.38	250,713	190,522	4,412,487	4,331,041
2008-10-02	$15.95	$17.06	91.2%	26.2%	109.2%	99.0%	89.8%	13.5%	-20.8%	8.0M	1.25B	-20.0M	1.17	8.98	239,263	279,527	4,503,268	4,372,828
2008-10-03	$15.26	$17.06	92.2%	26.4%	109.1%	100.0%	89.9%	12.6%	-20.1%	-4.1M	1.91B	-18.8M	0.38	6.50	306,157	117,734	4,490,349	4,526,918
2008-10-06	$14.46	$15.43	99.5%	23.2%	108.7%	100.0%	78.5%	18.0%	-10.4%	-6.6M	2.22B	-16.2M	0.94	31.70	328,960	309,034	4,613,774	4,290,713
2008-10-07	$12.93	$14.62	106.2%	26.4%	112.8%	100.0%	86.8%	17.9%	-15.0%	-12.8M	2.78B	-13.5M	0.68	18.43	341,940	233,586	4,673,560	4,301,061
2008-10-08	$12.41	$14.62	115.5%	27.0%	113.2%	100.0%	91.1%	18.9%	-10.6%	-14.8M	3.02B	-11.9M	0.99	12.60	298,098	294,775	4,754,917	4,275,696
2008-10-09	$11.12	$14.62	154.0%	32.1%	116.9%	100.0%	109.5%	21.6%	-15.9%	-10.1M	2.93B	-10.9M	1.39	17.37	371,130	514,736	4,864,998	4,345,000
2008-10-10	$12.27	$14.62	141.5%	30.4%	124.5%	90.6%	106.0%	18.3%	-20.6%	-11.1M	2.95B	-12.5M	0.81	16.10	563,954	457,019	4,938,746	4,422,694
2008-10-13	$13.23	$13.00	104.3%	23.9%	124.3%	62.5%	83.2%	18.1%	-10.1%	-16.5M	2.87B	-12.9M	0.66	16.27	238,032	155,966	5,228,050	4,554,157
2008-10-14	$14.08	$13.00	95.2%	20.9%	123.5%	54.8%	73.7%	14.4%	-7.1%	-16.7M	2.49B	-13.8M	0.79	13.77	364,323	288,395	5,258,184	4,498,320
2008-10-15	$12.55	$13.00	117.1%	23.8%	125.0%	71.6%	79.0%	14.9%	-8.4%	-15.3M	3.01B	-11.5M	0.79	9.85	249,777	196,738	5,349,403	4,529,621
2008-10-16	$12.84	$13.81	79.0%	22.6%	121.5%	42.3%	81.2%	17.1%	-6.0%	-17.1M	3.02B	-11.7M	0.87	10.14	220,097	190,622	5,354,390	4,532,233
2008-10-17	$12.47	$13.00	74.9%	21.5%	112.5%	39.1%	66.3%	13.2%	-5.6%	-13.9M	3.12B	-10.1M	0.49	18.00	280,142	137,738	5,420,614	4,386,437
2008-10-20	$13.09	$13.00	61.0%	17.5%	112.0%	28.4%	60.8%	17.6%	2.6%	-10.1M	2.32B	-10.4M	0.38	9.86	228,989	87,900	3,740,038	3,510,935
2008-10-21	$12.69	$13.00	60.4%	17.3%	112.1%	28.0%	62.7%	15.0%	0.1%	-10.3M	2.35B	-9.8M	1.17	7.29	132,553	155,627	3,758,979	3,518,271
2008-10-22	$11.89	$13.00	79.3%	22.7%	113.6%	42.6%	80.8%	19.4%	-0.8%	-8.7M	2.33B	-9.8M	1.21	10.00	171,097	207,278	3,786,150	3,603,797
2008-10-23	$11.77	$13.00	81.2%	23.3%	112.5%	44.0%	78.7%	20.0%	-0.6%	-11.2M	2.55B	-8.9M	0.79	9.62	154,408	122,441	3,813,472	3,710,742
2008-10-24	$11.01	$13.00	89.1%	25.5%	112.4%	50.1%	90.4%	25.8%	-6.7%	-9.0M	2.54B	-8.0M	1.49	8.52	144,242	214,422	3,860,951	3,686,243
2008-10-27	$10.71	$13.00	91.5%	26.2%	103.4%	51.9%	84.7%	22.9%	-7.7%	-9.0M	2.62B	-7.3M	0.61	9.16	127,807	77,665	3,906,363	3,760,695
2008-10-28	$12.39	$13.00	81.5%	23.4%	114.9%	44.2%	81.5%	29.8%	-7.3%	-9.6M	2.37B	-9.8M	0.53	11.34	191,157	100,431	3,910,067	3,762,837
2008-10-29	$11.62	$12.19	83.4%	23.9%	114.5%	45.6%	79.7%	22.6%	-6.5%	-9.3M	2.58B	-8.3M	0.62	9.50	127,576	79,020	3,991,076	3,804,103
2008-10-30	$12.03	$12.19	79.7%	22.8%	115.3%	42.8%	79.9%	21.0%	-3.1%	-8.9M	2.46B	-9.4M	0.62	7.85	128,038	79,018	4,014,051	3,859,910
2008-10-31	$12.62	$12.19	72.1%	20.7%	116.7%	37.0%	75.2%	21.3%	-1.8%	-8.3M	2.33B	-9.9M	0.53	6.93	156,149	83,310	4,027,885	3,828,621