XLF Options History — November 2008

In November 2008, XLF traded between $7.63 and $13.40. ATM implied volatility averaged 88.9%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded below realized volatility by 16.2% (HV 20d: 105.1%). Max pain ranged from $12.19 to $16.25. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-11-21: Highest Volume — 747,600 contracts
  • 2008-11-06: Largest IV spike — 22.9% change
  • 2008-11-20: Highest IV Rank — 81.4%
  • 2008-11-20: Largest Expected Move — 37.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.36$7.63$13.40$12.69$10.28
Max Pain$14.96$12.19$16.25$12.19$13.81
ATM IV88.9%60.0%129.8%64.9%72.1%
Expected Move25.3%17.2%37.2%18.6%20.7%
HV 20d105.1%92.5%120.5%115.6%108.6%
HV 60d101.0%94.8%109.5%94.8%109.4%
IV Rank49.9%27.6%81.4%31.4%37.0%
IV Percentile92.8%83.3%99.2%86.9%83.3%
Term Structure-4.3%-12.2%5.4%-0.3%5.4%
VWIV87.0%61.7%123.2%72.5%80.3%
Skew 25d18.3%10.0%33.0%19.1%22.2%
Skew 10d33.2%18.7%54.7%35.5%38.9%
Call IV 25d78.1%49.9%118.1%59.3%62.9%
Put IV 25d96.3%67.3%136.2%78.4%85.1%
Bid-Ask Spread %5.612.509.974.385.99
Gamma HHI0.100.070.120.110.12
Net GEX-7.2M-11.3M-522.4K-9.1M-522.4K
Net DEX2.56B2.18B2.84B2.32B2.30B
Net VEX-6.3M-10.0M-3.9M-9.6M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.501.650.840.83
Total Volume313,064.474110,541747,600110,541118,223
Total OI8,107,7477,661,6428,817,7047,903,1908,025,812

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$12.69$12.1964.9%18.6%115.6%31.4%72.5%19.1%-0.3%-9.1M2.32B-9.6M0.844.3859,96350,5784,039,6183,863,572
2008-11-04$13.40$12.1960.0%17.2%110.5%27.6%61.7%17.3%1.8%-8.8M2.19B-10.0M0.685.49182,710123,6864,057,2503,847,061
2008-11-05$12.18$12.1968.5%19.6%114.9%34.2%70.8%12.7%-0.7%-9.7M2.50B-8.5M1.658.7370,539116,0494,093,3313,851,112
2008-11-06$11.34$12.1984.1%24.1%110.8%46.2%82.1%10.0%-7.9%-9.5M2.65B-7.4M0.746.12149,756111,0614,068,7233,831,223
2008-11-07$11.55$16.2572.1%20.5%105.0%37.0%67.4%15.8%-3.2%-11.2M2.68B-7.3M1.252.6875,04394,0004,066,4423,870,990
2008-11-10$11.21$16.2578.6%21.5%101.2%42.0%74.8%14.7%-4.3%-11.3M2.82B-6.7M1.284.6772,75293,4074,079,3833,897,992
2008-11-11$10.82$16.2582.9%23.0%98.1%45.3%78.7%18.0%-3.3%-11.2M2.82B-6.2M0.932.59127,295118,3804,088,7253,915,859
2008-11-12$10.15$16.2596.3%25.7%92.5%55.6%83.9%17.5%-8.2%-9.7M2.84B-5.5M0.972.64131,891128,5614,142,1513,932,450
2008-11-13$10.89$16.2578.5%22.5%96.3%41.9%76.5%16.2%-4.4%-10.8M2.83B-6.3M1.063.08210,518223,4384,174,8773,957,576
2008-11-14$10.34$16.2585.3%24.4%97.3%47.1%81.9%17.6%-4.6%-9.4M2.80B-6.1M0.643.21132,98684,7944,221,6924,015,705
2008-11-17$9.68$16.2596.8%27.7%96.7%56.0%93.4%15.5%-7.5%-8.9M2.78B-5.4M0.692.50181,801125,4714,258,6144,032,336
2008-11-18$9.55$16.2597.7%28.0%96.6%56.7%95.7%16.8%-4.4%-7.9M2.76B-5.4M0.716.13171,839122,4544,333,0934,054,603
2008-11-19$8.55$16.25108.9%31.2%101.0%65.3%104.3%11.7%-7.2%-6.7M2.67B-4.4M0.927.71188,776173,0324,353,3864,066,144
2008-11-20$7.63$16.25129.8%37.2%106.7%81.4%122.2%16.5%-12.2%-4.5M2.48B-3.9M0.787.64354,842278,5084,447,7164,081,112
2008-11-21$7.86$16.25126.4%36.2%106.8%78.7%123.2%18.4%-12.1%-2.6M2.49B-4.2M0.509.97497,372250,2284,646,9914,170,713
2008-11-24$9.06$14.62111.7%32.0%120.5%67.4%108.4%26.9%-8.1%-3.2M2.18B-5.3M0.509.73385,064193,8593,868,5593,793,083
2008-11-25$9.59$14.6291.8%26.3%108.9%52.1%95.1%33.0%-1.1%-1.6M2.29B-5.4M0.897.24171,909152,9384,055,9513,856,196
2008-11-26$10.03$13.8182.9%23.8%109.1%45.3%79.2%27.2%-0.0%-1.1M2.30B-5.7M0.786.01126,12598,3774,095,8613,891,291
2008-11-28$10.28$13.8172.1%20.7%108.6%37.0%80.3%22.2%5.4%-522.4K2.30B-5.6M0.835.9964,58653,6374,111,7233,914,089