XLF Options History — January 2009

In January 2009, XLF traded between $6.56 and $10.28. ATM implied volatility averaged 78.1%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 0.5% (HV 20d: 77.6%). Max pain ranged from $7.31 to $14.62. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2009-01-28: Highest Volume — 1,226,279 contracts
  • 2009-01-20: Largest IV spike — 46.7% change
  • 2009-01-20: Highest IV Rank — 73.3%
  • 2009-01-20: Largest Expected Move — 34.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.43$6.56$10.28$10.28$7.51
Max Pain$9.10$7.31$14.62$14.62$8.12
ATM IV78.1%53.0%119.3%55.0%93.3%
Expected Move22.7%15.8%34.2%15.8%26.7%
HV 20d77.6%46.3%110.3%70.9%109.2%
HV 60d101.4%96.0%106.4%104.6%104.9%
IV Rank41.6%22.3%73.3%23.8%53.3%
IV Percentile80.2%60.7%98.4%63.9%91.7%
Term Structure-1.8%-9.7%6.4%6.4%-8.8%
VWIV78.7%58.8%115.4%58.8%90.8%
Skew 25d14.2%3.6%28.3%8.0%10.0%
Skew 10d30.5%11.9%62.5%16.6%27.7%
Call IV 25d73.1%55.4%104.4%55.4%86.4%
Put IV 25d87.4%63.4%132.7%63.4%96.4%
Bid-Ask Spread %6.933.1310.783.136.76
Gamma HHI0.210.100.370.140.19
Net GEX2.8M-7.7M14.5M4.5M8.9M
Net DEX660.2M-310.1M1.27B1.02B-28.2M
Net VEX-3.7M-5.0M-2.1M-4.3M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.191.930.660.91
Total Volume459,786.9105,7581,226,279110,7501,130,141
Total OI5,039,745.92,572,1876,310,9165,819,8065,002,082

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$10.28$14.6255.0%15.8%70.9%23.8%58.8%8.0%6.4%4.5M1.02B-4.3M0.663.1366,81943,9313,204,8762,614,930
2009-01-05$10.11$9.7563.9%18.6%71.1%30.6%65.2%15.3%2.7%3.3M1.04B-4.0M1.0810.7872,64778,2673,215,6872,612,781
2009-01-06$10.28$9.7557.1%18.6%65.8%25.4%61.0%16.3%-3.7%5.5M954.7M-4.2M0.648.1577,69849,4283,253,6242,584,914
2009-01-07$9.74$9.7561.8%19.4%63.6%29.0%67.7%16.3%-1.3%2.7M1.04B-3.9M0.318.1280,77624,9823,286,8112,604,307
2009-01-08$9.70$9.7557.1%18.8%62.3%25.5%65.4%15.8%0.2%3.8M1.06B-3.8M0.426.1884,81035,7863,336,1852,595,032
2009-01-09$9.39$9.7553.0%18.3%62.9%22.3%67.0%14.0%0.9%1.3M1.03B-4.4M0.836.4060,21650,2563,317,6092,582,579
2009-01-12$8.90$9.7563.5%20.6%59.4%30.3%72.0%12.7%0.9%-3.0M1.21B-3.2M1.935.3178,197150,6193,339,0832,585,696
2009-01-13$9.02$9.7571.5%20.1%59.2%36.5%69.7%15.4%-0.4%-2.1M1.19B-3.3M0.556.60134,32874,4113,354,8252,635,187
2009-01-14$8.50$9.7595.9%22.5%60.9%55.3%74.9%13.5%1.2%-5.0M1.22B-3.2M0.796.01187,769147,6343,407,7492,626,692
2009-01-15$8.11$9.7584.8%24.3%46.3%46.7%80.8%17.2%-4.5%-7.7M1.26B-3.0M0.868.06364,461313,7093,479,9502,614,525
2009-01-16$7.86$8.9481.3%23.3%46.7%44.1%80.8%16.3%-0.5%-3.7M1.27B-2.9M0.967.64167,150161,1133,658,3402,652,576
2009-01-20$6.56$8.94119.3%34.2%75.4%73.3%115.4%28.3%-7.9%519359.7M-2.1M0.938.37492,217459,7021,487,3671,084,820
2009-01-21$7.53$8.1290.2%25.9%94.2%50.9%91.2%20.3%-1.7%2.3M253.9M-3.0M0.998.03215,286213,2021,811,2501,400,415
2009-01-22$7.07$8.1288.8%25.4%95.5%49.8%88.3%18.6%-2.3%1.7M299.8M-2.7M0.346.21241,13983,0641,871,8361,452,808
2009-01-23$7.30$8.1298.2%28.2%97.0%57.1%96.8%15.8%-9.7%2.6M239.1M-3.1M0.198.36817,352153,2611,961,4191,492,536
2009-01-26$7.17$7.3191.3%26.2%96.1%51.8%89.8%11.8%-6.5%6.2M124.2M-3.6M0.306.81483,234145,6912,458,6851,577,727
2009-01-27$7.42$7.3183.7%24.0%97.6%45.9%84.1%9.6%-4.2%8.5M60.6M-3.9M0.385.92342,206131,3482,626,9291,632,571
2009-01-28$8.38$7.3173.4%21.0%108.4%37.9%74.2%5.5%3.1%14.5M-310.1M-4.8M0.516.38810,259416,0202,736,9231,722,339
2009-01-29$7.72$7.3180.0%22.9%110.3%43.1%79.4%3.6%-0.1%11.0M-84.0M-4.8M0.575.30354,133202,4762,976,0941,935,159
2009-01-30$7.51$8.1293.3%26.7%109.2%53.3%90.8%10.0%-8.8%8.9M-28.2M-5.0M0.916.76591,940538,2012,980,8322,021,250