XLF Options History — April 2009

In April 2009, XLF traded between $7.36 and $9.03. ATM implied volatility averaged 74.9%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 25.6% (HV 20d: 100.4%). Max pain ranged from $6.50 to $8.12. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2009-04-17: Highest Volume — 1,568,839 contracts
  • 2009-04-20: Largest IV spike — 19.1% change
  • 2009-04-01: Highest IV Rank — 49.5%
  • 2009-04-01: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.35$7.36$9.03$7.36$8.72
Max Pain$7.66$6.50$8.12$6.50$8.12
ATM IV74.9%65.9%88.4%88.4%65.9%
Expected Move21.7%18.9%25.3%25.3%18.9%
HV 20d100.4%88.0%114.3%114.3%88.1%
HV 60d102.2%96.8%108.4%104.2%97.2%
IV Rank39.1%32.2%49.5%49.5%32.2%
IV Percentile57.3%44.8%77.4%77.4%44.8%
Term Structure-7.0%-11.1%1.6%-5.0%-4.4%
VWIV77.2%68.1%87.6%87.6%68.1%
Skew 25d12.0%8.2%18.8%8.2%11.6%
Skew 10d24.6%19.8%41.9%27.9%23.7%
Call IV 25d71.3%63.7%82.9%82.9%63.9%
Put IV 25d83.3%75.5%91.1%91.1%75.5%
Bid-Ask Spread %6.054.038.896.704.69
Gamma HHI0.160.120.290.160.17
Net GEX25.4M16.2M38.3M20.5M25.0M
Net DEX-1.45B-2.58B-819.4M-921.4M-1.20B
Net VEX-9.9M-10.4M-9.1M-9.2M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.542.790.761.87
Total Volume596,283.095222,2121,568,839552,085483,355
Total OI8,910,562.0958,264,1989,873,8038,325,5548,938,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$7.36$6.5088.4%25.3%114.3%49.5%87.6%8.2%-5.0%20.5M-921.4M-9.2M0.766.70313,094238,9914,900,6493,424,905
2009-04-02$7.56$6.5081.6%23.4%106.3%44.3%79.9%18.8%1.6%24.3M-1.13B-9.5M0.867.16324,292280,2145,045,3313,575,592
2009-04-03$7.87$7.3168.0%21.2%105.9%33.8%77.5%13.1%-6.3%29.0M-1.45B-9.9M0.637.42303,909190,6935,117,1773,676,883
2009-04-06$7.66$7.3172.8%21.9%107.4%37.5%77.3%12.3%-4.2%26.5M-1.14B-9.3M0.606.66144,57086,4595,144,1783,700,172
2009-04-07$7.43$7.3175.3%22.5%99.1%39.4%82.8%12.0%-4.8%24.6M-944.4M-9.1M1.486.01215,328318,1515,120,5983,730,963
2009-04-08$7.47$7.3172.2%22.5%99.0%37.1%80.2%9.5%-7.5%26.0M-1.11B-9.7M0.755.95127,21894,9945,230,1453,916,093
2009-04-09$8.64$7.3173.0%20.9%105.6%37.7%77.8%10.3%-6.6%32.3M-2.12B-9.8M0.768.89558,620422,2915,225,3403,943,946
2009-04-13$9.00$7.3178.6%22.5%106.0%42.0%79.8%13.8%-10.6%31.5M-2.53B-10.0M0.578.44529,213300,8695,398,3504,104,584
2009-04-14$8.41$7.3183.8%24.0%109.5%46.0%83.7%10.3%-11.1%31.6M-1.91B-9.9M1.107.15287,830316,4695,424,0114,160,936
2009-04-15$8.81$8.1276.7%22.0%108.7%40.5%77.3%11.0%-10.0%31.3M-2.35B-9.9M1.644.95202,354332,2315,459,8564,250,120
2009-04-16$8.91$7.3171.5%20.5%104.0%36.5%72.1%10.1%-7.0%32.1M-2.37B-9.8M0.597.66310,166183,0625,365,5864,342,281
2009-04-17$9.03$8.1268.0%19.5%98.4%33.8%70.2%11.7%-6.6%38.3M-2.58B-9.6M0.546.281,019,567549,2725,466,1804,407,623
2009-04-20$8.02$8.1281.0%23.2%105.8%43.8%82.7%12.1%-8.8%16.6M-819.4M-9.9M1.014.03395,390400,2884,733,8523,530,346
2009-04-21$8.61$8.1275.8%21.7%94.8%39.8%78.8%10.8%-8.9%19.7M-1.21B-10.4M1.274.85347,990441,1624,697,3613,673,064
2009-04-22$8.30$8.1276.9%22.0%94.4%40.7%77.3%11.8%-6.2%16.2M-941.3M-10.4M2.794.11147,442411,0304,732,1203,692,137
2009-04-23$8.69$8.1275.5%21.6%95.2%39.6%78.7%13.9%-8.5%19.1M-1.10B-10.4M0.775.62190,089146,3724,676,2223,781,161
2009-04-24$8.89$8.1273.1%20.9%95.3%37.7%74.7%10.6%-7.4%22.6M-1.38B-10.4M0.576.79353,362201,3414,761,3633,764,935
2009-04-27$8.74$8.1270.4%20.2%94.7%35.6%70.4%12.5%-7.0%22.6M-1.13B-10.2M0.654.57177,021114,5104,896,3553,804,338
2009-04-28$8.47$8.1276.5%21.9%88.6%40.3%74.1%14.1%-8.8%19.3M-880.1M-9.7M1.434.37171,888245,1884,826,3123,798,972
2009-04-29$8.84$8.1267.3%19.3%88.0%33.3%70.1%13.6%-8.0%23.7M-1.25B-10.0M0.794.77359,963285,6974,813,6943,869,293
2009-04-30$8.72$8.1265.9%18.9%88.1%32.2%68.1%11.6%-4.4%25.0M-1.20B-9.8M1.874.69168,505314,8504,986,2733,952,507