XLF Options History — March 2009

In March 2009, XLF traded between $5.02 and $7.69. ATM implied volatility averaged 92.3%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded below realized volatility by 9.4% (HV 20d: 101.8%). Max pain ranged from $4.87 to $7.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2009-03-19: Highest Volume — 2,229,873 contracts
2009-03-05: Largest IV spike — 23.5% change
2009-03-05: Highest IV Rank — 65.3%
2009-03-05: Largest Expected Move — 31.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.53	$5.02	$7.69	$5.78	$7.16
Max Pain	$6.02	$4.87	$7.31	$7.31	$6.50
ATM IV	92.3%	81.3%	108.9%	96.7%	89.2%
Expected Move	26.2%	23.3%	31.2%	27.7%	25.6%
HV 20d	101.8%	84.5%	118.4%	85.9%	114.6%
HV 60d	95.4%	88.0%	104.0%	90.2%	104.0%
IV Rank	52.5%	44.1%	65.3%	55.9%	50.1%
IV Percentile	83.7%	68.3%	96.4%	91.7%	78.6%
Term Structure	-11.0%	-38.3%	8.9%	4.4%	-5.5%
VWIV	91.6%	81.1%	117.4%	96.5%	91.0%
Skew 25d	14.3%	-33.4%	22.9%	19.7%	11.9%
Skew 10d	29.7%	-18.9%	41.5%	32.7%	28.0%
Call IV 25d	85.2%	74.9%	127.5%	91.4%	86.7%
Put IV 25d	99.5%	90.9%	111.1%	111.1%	98.6%
Bid-Ask Spread %	6.48	3.97	9.48	6.00	6.48
Gamma HHI	0.16	0.12	0.22	0.12	0.16
Net GEX	16.3M	1.6M	38.0M	4.6M	17.5M
Net DEX	-445.4M	-1.56B	571.2M	140.7M	-757.6M
Net VEX	-7.3M	-9.5M	-4.1M	-6.4M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.19	1.83	0.56	0.62
Total Volume	762,075	333,969	2,229,873	551,714	400,412
Total OI	8,823,059.727	7,389,768	10,528,111	7,828,030	8,247,446

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
2009-03-02	$5.78	$7.31	96.7%	27.7%	85.9%	55.9%	96.5%	19.7%	4.4%	4.6M	140.7M	-6.4M	0.56	6.00	352,811	198,903	4,657,923	3,170,107
2009-03-03	$5.67	$7.31	86.2%	24.7%	85.8%	47.8%	88.6%	22.9%	8.9%	2.2M	426.9M	-5.4M	0.36	4.20	454,616	165,746	4,837,239	3,234,472
2009-03-04	$5.60	$7.31	88.2%	25.3%	85.8%	49.3%	90.8%	15.4%	7.1%	3.1M	398.9M	-5.3M	0.64	3.97	205,428	131,068	4,956,427	3,247,350
2009-03-05	$5.07	$6.50	108.9%	31.2%	91.0%	65.3%	117.4%	-33.4%	-38.3%	1.6M	571.2M	-4.5M	0.42	4.24	632,355	262,489	5,065,063	3,244,936
2009-03-06	$5.02	$5.69	108.2%	28.6%	90.2%	64.7%	97.3%	17.6%	-24.7%	2.6M	486.4M	-4.5M	0.56	9.37	334,311	185,914	5,310,587	3,325,415
2009-03-09	$5.09	$4.87	102.1%	27.9%	84.5%	60.0%	88.7%	15.6%	-13.2%	4.0M	412.3M	-4.1M	0.56	9.48	569,308	320,689	5,493,951	3,294,306
2009-03-10	$5.84	$4.87	105.9%	27.3%	101.6%	63.0%	90.7%	16.9%	-10.4%	10.7M	45.9M	-6.3M	0.27	6.43	554,371	151,024	5,784,591	3,353,219
2009-03-11	$6.00	$4.87	90.9%	26.4%	96.5%	51.4%	90.2%	17.3%	-16.8%	14.9M	-143.5M	-6.5M	0.41	7.59	753,033	305,649	5,854,113	3,348,683
2009-03-12	$6.61	$5.69	84.7%	24.3%	102.0%	46.7%	83.3%	14.7%	-14.5%	22.5M	-561.8M	-7.7M	0.37	8.12	577,157	215,581	6,112,500	3,518,143
2009-03-13	$6.65	$5.69	87.7%	25.1%	102.1%	49.0%	85.9%	13.2%	-19.7%	23.1M	-642.7M	-7.6M	0.19	7.34	602,593	112,731	6,188,307	3,590,125
2009-03-16	$6.52	$5.69	91.7%	26.3%	101.5%	52.1%	94.6%	16.6%	-21.4%	25.2M	-585.9M	-7.2M	0.44	8.23	691,224	301,016	6,304,100	3,574,968
2009-03-17	$6.95	$5.69	85.9%	24.6%	96.9%	47.6%	88.2%	18.1%	-13.8%	28.4M	-892.9M	-7.8M	0.38	6.60	653,794	250,643	6,394,153	3,750,212
2009-03-18	$7.64	$5.69	86.5%	24.8%	102.3%	48.0%	87.2%	14.8%	-15.5%	38.0M	-1.56B	-8.5M	0.52	5.08	783,502	408,403	6,605,978	3,800,980
2009-03-19	$7.03	$5.69	91.2%	26.1%	105.1%	51.7%	95.1%	15.2%	-18.2%	29.2M	-905.5M	-8.1M	0.22	5.33	1,830,694	399,179	6,575,225	3,952,886
2009-03-20	$6.61	$5.69	97.8%	28.0%	107.7%	56.7%	96.8%	13.9%	-14.8%	13.1M	-318.0M	-8.0M	0.73	5.15	321,961	235,622	6,141,959	4,123,237
2009-03-23	$7.69	$5.69	90.8%	26.0%	118.4%	51.4%	91.1%	18.3%	-10.4%	20.7M	-1.21B	-8.9M	0.66	7.04	502,429	332,056	4,503,713	2,886,055
2009-03-24	$7.37	$5.69	91.6%	26.2%	113.7%	51.9%	96.3%	18.7%	-9.4%	18.6M	-954.8M	-8.9M	1.18	6.65	304,170	359,754	4,588,735	3,067,252
2009-03-25	$7.57	$6.50	86.2%	24.7%	113.9%	47.8%	85.7%	18.0%	-2.9%	20.7M	-1.17B	-9.0M	0.50	8.80	442,476	222,735	4,662,861	3,046,064
2009-03-26	$7.66	$6.50	83.5%	23.9%	113.9%	45.7%	84.0%	16.3%	-3.4%	21.4M	-1.18B	-9.5M	0.67	5.36	317,843	213,506	4,749,797	3,205,330
2009-03-27	$7.42	$6.50	81.3%	23.3%	111.4%	44.1%	81.1%	15.9%	-2.9%	21.1M	-958.2M	-9.3M	0.42	5.88	264,243	110,242	4,829,534	3,304,106
2009-03-30	$6.78	$6.50	96.2%	27.6%	114.0%	55.5%	93.8%	17.2%	-5.7%	14.4M	-453.3M	-8.4M	1.83	5.13	118,151	215,818	4,864,027	3,341,239
2009-03-31	$7.16	$6.50	89.2%	25.6%	114.6%	50.1%	91.0%	11.9%	-5.5%	17.5M	-757.6M	-8.9M	0.62	6.48	246,952	153,460	4,822,548	3,424,898