XLF Options History — February 2009

In February 2009, XLF traded between $5.83 and $8.04. ATM implied volatility averaged 91.1%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded below realized volatility by 13.2% (HV 20d: 104.3%). Max pain ranged from $7.31 to $8.12. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2009-02-20: Highest Volume — 1,303,617 contracts
2009-02-20: Largest IV spike — 33.4% change
2009-02-20: Highest IV Rank — 68.6%
2009-02-20: Largest Expected Move — 32.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.94	$5.83	$8.04	$7.51	$6.17
Max Pain	$7.74	$7.31	$8.12	$7.31	$7.31
ATM IV	91.1%	79.2%	113.2%	92.7%	83.0%
Expected Move	25.8%	22.7%	32.5%	26.6%	23.8%
HV 20d	104.3%	83.9%	121.2%	108.9%	83.9%
HV 60d	100.8%	91.1%	104.6%	104.1%	91.1%
IV Rank	51.6%	42.4%	68.6%	52.8%	45.4%
IV Percentile	86.0%	74.6%	97.2%	90.9%	78.6%
Term Structure	-12.0%	-28.0%	0.5%	-8.7%	0.5%
VWIV	89.3%	76.4%	110.3%	90.7%	86.0%
Skew 25d	11.8%	-10.7%	22.4%	10.4%	12.8%
Skew 10d	25.9%	7.6%	40.9%	19.2%	29.0%
Call IV 25d	84.3%	67.5%	112.6%	86.8%	82.5%
Put IV 25d	96.1%	78.9%	119.3%	97.2%	95.4%
Bid-Ask Spread %	4.68	3.40	7.82	7.82	3.94
Gamma HHI	0.17	0.12	0.24	0.18	0.13
Net GEX	10.1M	-635.9K	27.8M	10.3M	7.7M
Net DEX	-31.7M	-852.1M	472.7M	-202.1M	102.5M
Net VEX	-6.6M	-8.3M	-5.7M	-6.7M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.28	1.41	0.66	0.92
Total Volume	694,645.842	402,779	1,303,617	514,779	402,779
Total OI	7,601,490.579	5,722,270	8,840,685	5,722,270	7,714,261

Daily Data (19 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
2009-02-02	$7.51	$7.31	92.7%	26.6%	108.9%	52.8%	90.7%	10.4%	-8.7%	10.3M	-202.1M	-6.7M	0.66	7.82	310,744	204,035	3,364,056	2,358,214
2009-02-03	$7.37	$7.31	93.5%	26.8%	108.9%	53.4%	93.3%	9.7%	-8.4%	8.9M	-21.3M	-5.8M	0.56	5.13	697,115	390,749	3,505,572	2,451,625
2009-02-04	$7.29	$7.31	89.9%	25.8%	108.3%	50.7%	93.9%	5.7%	-4.1%	10.1M	-68.8M	-6.3M	0.84	6.00	293,430	246,076	3,838,477	2,677,766
2009-02-05	$7.40	$7.31	105.5%	30.2%	108.0%	62.7%	105.4%	-0.5%	-13.7%	11.3M	-188.1M	-6.9M	0.46	4.73	559,173	254,518	4,019,160	2,755,548
2009-02-06	$7.95	$8.12	95.6%	25.9%	112.2%	55.0%	90.0%	17.2%	-18.2%	24.0M	-736.1M	-8.1M	0.52	3.71	668,609	350,804	4,715,647	2,872,263
2009-02-09	$8.04	$8.12	94.6%	25.0%	112.1%	54.3%	88.0%	13.3%	-17.8%	27.8M	-852.1M	-8.3M	0.32	4.27	403,088	129,253	4,987,687	3,013,460
2009-02-10	$7.22	$8.12	95.5%	24.3%	116.5%	55.0%	82.8%	21.1%	-9.6%	16.5M	-210.7M	-7.1M	0.39	5.43	723,970	285,463	5,024,184	3,044,016
2009-02-11	$7.57	$8.12	80.3%	23.0%	118.1%	43.3%	76.4%	22.4%	-10.9%	17.9M	-344.5M	-8.3M	0.81	4.14	248,470	202,194	4,785,447	3,133,236
2009-02-12	$7.47	$8.12	79.8%	22.9%	116.5%	42.9%	81.9%	16.6%	-9.6%	16.2M	-178.8M	-7.1M	0.53	4.65	437,236	230,585	4,733,615	3,153,113
2009-02-13	$7.19	$8.12	79.2%	22.7%	116.2%	42.4%	77.4%	12.6%	-9.8%	9.9M	43.6M	-6.9M	0.29	4.39	478,172	140,733	4,908,552	3,234,754
2009-02-17	$6.47	$8.12	90.2%	25.9%	121.2%	50.9%	85.4%	17.1%	-19.6%	509.2K	367.0M	-5.9M	0.53	4.06	455,149	240,582	5,082,255	3,228,107
2009-02-18	$6.47	$8.12	90.0%	25.8%	103.0%	50.8%	87.7%	14.8%	-12.7%	-635.9K	411.7M	-5.8M	0.42	4.08	448,589	189,143	5,267,970	3,277,674
2009-02-19	$6.13	$8.12	84.9%	24.3%	90.6%	46.8%	89.0%	19.7%	-9.3%	220.6K	468.3M	-5.7M	1.41	4.88	194,387	273,236	5,443,147	3,301,039
2009-02-20	$6.04	$8.12	113.2%	32.5%	88.4%	68.6%	109.8%	18.7%	-25.3%	741.1K	472.7M	-5.7M	0.71	5.77	761,454	542,163	5,482,311	3,358,374
2009-02-23	$5.83	$7.31	107.8%	30.9%	87.6%	64.4%	110.3%	-10.7%	-28.0%	3.1M	287.3M	-5.7M	0.37	3.78	409,655	149,857	4,092,184	2,970,004
2009-02-24	$6.54	$7.31	90.8%	26.0%	98.2%	51.4%	88.4%	14.6%	-5.7%	8.8M	9.2M	-6.5M	0.28	3.40	549,346	152,427	4,289,476	3,040,161
2009-02-25	$6.50	$7.31	84.0%	24.1%	97.1%	46.1%	80.0%	15.0%	-1.3%	9.7M	19.8M	-6.5M	0.48	4.78	485,790	232,364	4,515,338	3,083,950
2009-02-26	$6.60	$7.31	80.5%	23.1%	85.3%	43.5%	80.8%	-6.1%	-15.2%	9.7M	18.9M	-6.8M	0.45	3.88	315,843	141,090	4,537,219	3,168,459
2009-02-27	$6.17	$7.31	83.0%	23.8%	83.9%	45.4%	86.0%	12.8%	0.5%	7.7M	102.5M	-6.3M	0.92	3.94	210,123	192,656	4,577,870	3,136,391