XLF Options History — December 2008

In December 2008, XLF traded between $8.57 and $11.10. ATM implied volatility averaged 78.0%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 38.3% (HV 20d: 116.3%). Max pain ranged from $13.81 to $17.87. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2008-12-18: Highest Volume — 1,968,284 contracts
2008-12-05: Largest IV drop — 12.0% change
2008-12-01: Highest IV Rank — 63.9%
2008-12-01: Largest Expected Move — 30.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.88	$8.57	$11.10	$8.57	$10.17
Max Pain	$15.99	$13.81	$17.87	$13.81	$14.62
ATM IV	78.0%	58.3%	107.0%	107.0%	59.0%
Expected Move	22.4%	16.7%	30.7%	30.7%	16.9%
HV 20d	116.3%	72.9%	129.1%	122.8%	72.9%
HV 60d	112.4%	106.9%	117.8%	114.7%	106.9%
IV Rank	41.5%	26.4%	63.9%	63.9%	26.9%
IV Percentile	82.2%	66.7%	96.8%	96.8%	67.1%
Term Structure	0.3%	-9.2%	9.3%	-8.2%	1.4%
VWIV	79.3%	56.8%	102.9%	100.9%	60.1%
Skew 25d	14.7%	6.5%	25.4%	21.8%	10.7%
Skew 10d	28.1%	12.8%	45.4%	41.9%	20.8%
Call IV 25d	71.6%	55.0%	100.2%	100.2%	57.3%
Put IV 25d	86.3%	61.5%	122.0%	122.0%	68.0%
Bid-Ask Spread %	5.57	1.62	15.70	6.44	1.62
Gamma HHI	0.14	0.12	0.19	0.12	0.14
Net GEX	1.5M	-3.3M	6.4M	-1.1M	2.8M
Net DEX	1.92B	1.13B	2.42B	2.27B	1.13B
Net VEX	-5.1M	-6.9M	-3.9M	-4.4M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.08	1.94	0.91	1.12
Total Volume	327,881.182	35,956	1,968,284	334,144	152,298
Total OI	7,839,604.409	5,769,071	9,229,790	8,011,325	5,783,782

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
2008-12-01	$8.57	$13.81	107.0%	30.7%	122.8%	63.9%	100.9%	21.8%	-8.2%	-1.1M	2.27B	-4.4M	0.91	6.44	175,345	158,799	4,122,559	3,888,766
2008-12-02	$9.27	$13.81	105.5%	30.2%	127.4%	62.6%	102.9%	22.1%	-9.2%	-657.1K	2.28B	-5.0M	0.44	6.47	183,425	81,571	4,160,001	3,913,859
2008-12-03	$9.75	$13.81	92.8%	26.6%	127.1%	52.9%	96.5%	25.4%	-3.2%	392.1K	2.21B	-5.4M	1.11	6.31	260,593	290,494	4,245,149	3,928,192
2008-12-04	$9.64	$13.81	97.0%	27.8%	123.5%	56.2%	99.3%	22.7%	-4.2%	838.8K	2.19B	-5.7M	0.86	6.50	127,459	110,002	4,363,875	4,111,265
2008-12-05	$10.41	$17.87	85.4%	24.5%	125.2%	47.2%	90.0%	20.2%	-6.5%	1.6M	2.04B	-6.4M	0.48	6.70	271,728	130,333	4,411,207	4,144,127
2008-12-08	$11.10	$17.87	83.9%	23.5%	127.4%	46.0%	95.6%	20.0%	-4.5%	1.5M	1.88B	-6.9M	1.94	6.94	146,845	284,682	4,454,418	4,167,564
2008-12-09	$10.66	$17.87	81.6%	24.0%	127.8%	44.3%	85.5%	20.2%	-3.3%	832.9K	2.03B	-6.5M	0.79	5.38	164,812	130,214	4,442,137	4,325,338
2008-12-10	$10.47	$17.87	79.7%	23.5%	127.3%	42.9%	79.6%	14.7%	-2.3%	2.3M	2.06B	-6.1M	0.40	6.42	241,067	95,436	4,474,609	4,226,576
2008-12-11	$9.67	$16.25	83.5%	23.9%	128.5%	45.7%	82.3%	15.9%	-0.4%	2.6M	2.29B	-5.5M	1.28	6.41	134,764	173,119	4,601,602	4,274,266
2008-12-12	$9.85	$16.25	80.7%	23.1%	125.9%	43.6%	82.1%	15.0%	3.2%	3.4M	2.26B	-5.6M	1.22	5.94	92,996	113,635	4,645,519	4,341,499
2008-12-15	$9.45	$17.06	81.7%	23.4%	125.5%	44.4%	84.7%	14.7%	2.2%	1.5M	2.38B	-4.9M	1.23	3.58	85,257	104,962	4,628,332	4,340,440
2008-12-16	$10.50	$16.25	73.8%	21.2%	129.1%	38.3%	77.9%	13.1%	2.9%	6.4M	2.11B	-5.6M	0.89	5.50	204,065	181,142	4,642,627	4,369,956
2008-12-17	$10.41	$16.25	74.2%	21.3%	129.0%	38.6%	75.2%	10.5%	2.8%	6.3M	2.13B	-5.6M	0.79	4.24	175,688	137,980	4,708,789	4,438,489
2008-12-18	$10.11	$16.25	78.7%	22.6%	122.5%	42.0%	75.3%	8.3%	3.1%	3.0M	2.31B	-5.4M	0.08	5.01	1,830,688	137,596	4,748,110	4,481,680
2008-12-19	$9.94	$16.25	72.1%	20.7%	114.2%	37.0%	71.4%	11.6%	1.8%	-3.3M	2.42B	-5.0M	0.77	3.33	174,318	133,672	4,675,214	4,490,375
2008-12-22	$9.59	$16.25	68.2%	19.5%	115.3%	33.9%	67.6%	12.6%	2.2%	599.4K	1.49B	-4.6M	0.62	4.04	63,822	39,625	3,176,770	2,948,364
2008-12-23	$9.36	$16.25	64.6%	18.5%	104.8%	31.2%	66.6%	8.3%	5.6%	-418.0K	1.44B	-4.2M	0.63	6.58	35,980	22,693	3,178,430	2,853,064
2008-12-24	$9.56	$16.25	63.4%	18.2%	103.1%	30.3%	65.7%	10.9%	6.6%	698.2K	1.40B	-4.3M	0.92	15.70	18,715	17,241	3,183,754	2,841,392
2008-12-26	$9.57	$16.25	63.1%	18.1%	101.6%	30.1%	64.8%	8.6%	3.3%	458.7K	1.42B	-4.1M	0.89	4.04	19,814	17,718	3,181,329	2,815,793
2008-12-29	$9.49	$16.25	62.6%	17.9%	101.1%	29.7%	64.5%	9.0%	4.8%	-286.1K	1.42B	-3.9M	0.54	2.57	33,099	17,896	3,184,260	2,788,748
2008-12-30	$9.85	$14.62	58.3%	16.7%	77.0%	26.4%	56.8%	6.5%	9.3%	2.6M	1.14B	-4.0M	0.32	2.92	183,127	58,671	3,183,287	2,585,784
2008-12-31	$10.17	$14.62	59.0%	16.9%	72.9%	26.9%	60.1%	10.7%	1.4%	2.8M	1.13B	-4.1M	1.12	1.62	72,004	80,294	3,185,972	2,597,810