XLF Options History — May 2009

In May 2009, XLF traded between $8.65 and $10.58. ATM implied volatility averaged 57.8%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 23.4% (HV 20d: 81.2%). Max pain ranged from $8.12 to $8.12. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2009-05-06: Highest Volume — 1,348,208 contracts
  • 2009-05-14: Largest IV drop — 18.2% change
  • 2009-05-06: Highest IV Rank — 37.0%
  • 2009-05-01: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.66$8.65$10.58$8.65$9.94
Max Pain$8.12$8.12$8.12$8.12$8.12
ATM IV57.8%42.9%73.5%68.9%42.9%
Expected Move15.6%12.3%19.8%19.8%12.3%
HV 20d81.2%70.3%95.3%88.0%70.3%
HV 60d95.5%91.2%99.2%97.2%91.2%
IV Rank23.5%9.2%37.0%34.5%9.2%
IV Percentile32.3%9.9%53.6%48.0%9.9%
Term Structure-0.8%-8.2%5.9%-8.2%5.9%
VWIV56.5%45.1%70.9%70.9%45.1%
Skew 25d12.4%5.5%16.8%10.8%7.8%
Skew 10d21.4%12.0%32.6%24.6%15.1%
Call IV 25d50.1%41.0%66.3%66.3%41.0%
Put IV 25d62.4%48.8%77.2%77.2%48.8%
Bid-Ask Spread %4.433.006.245.995.05
Gamma HHI0.210.170.300.170.30
Net GEX31.0M20.6M50.9M20.6M33.3M
Net DEX-1.82B-3.09B-1.02B-1.02B-1.85B
Net VEX-10.0M-10.9M-8.9M-9.9M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.521.891.360.97
Total Volume445,900.6590,3511,348,208375,226110,289
Total OI9,413,8638,474,50110,532,1948,990,3769,105,381

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$8.65$8.1268.9%19.8%88.0%34.5%70.9%10.8%-8.2%20.6M-1.02B-9.9M1.365.99158,670216,5564,913,3944,076,982
2009-05-04$9.53$8.1270.2%17.6%93.0%35.5%66.3%12.8%-5.2%31.5M-1.85B-9.9M1.164.99220,283255,0734,937,6894,106,537
2009-05-05$9.39$8.1268.2%17.0%92.5%32.9%59.8%16.8%-3.4%31.0M-1.76B-10.1M0.554.53335,965183,7245,004,8614,191,426
2009-05-06$10.14$8.1273.5%17.7%94.0%37.0%63.1%16.2%-6.0%35.8M-2.57B-10.1M1.014.64669,153679,0555,140,5344,293,010
2009-05-07$9.85$8.1272.2%17.9%95.3%35.6%62.7%13.8%-6.7%34.7M-2.23B-10.8M0.525.34658,282343,7125,263,7124,535,672
2009-05-08$10.58$8.1262.8%15.9%85.0%28.2%59.0%13.6%-3.6%50.9M-3.09B-10.9M0.895.27345,997308,0365,540,5004,608,586
2009-05-11$9.96$8.1272.6%16.9%87.7%35.9%58.4%14.3%-3.8%39.8M-2.32B-10.1M0.873.45188,160163,9325,378,5714,700,742
2009-05-12$9.75$8.1263.5%17.3%84.0%28.7%63.5%13.2%-4.3%34.4M-2.09B-10.3M1.496.24236,247352,0645,395,5634,765,745
2009-05-13$9.25$8.1268.4%18.3%85.1%32.5%63.3%15.8%-3.7%25.9M-1.49B-10.4M1.224.19289,189353,9745,466,5734,878,191
2009-05-14$9.56$8.1255.9%16.0%85.8%22.8%57.5%12.3%0.2%34.9M-1.90B-10.3M1.244.46174,964216,4495,555,2594,939,552
2009-05-15$9.37$8.1253.1%15.2%86.1%19.9%55.6%12.3%0.1%29.3M-1.55B-10.1M1.083.67149,631161,9205,556,3734,975,821
2009-05-18$9.98$8.1250.8%14.6%76.1%18.1%51.2%9.3%2.8%29.9M-1.90B-9.7M0.883.59176,948154,9164,564,0013,910,500
2009-05-19$9.78$8.1253.0%15.2%73.4%19.9%54.0%12.3%3.2%27.8M-1.69B-9.9M1.314.09185,364243,1684,631,7423,948,775
2009-05-20$9.52$8.1250.3%14.4%72.7%17.8%52.2%11.5%3.1%23.1M-1.39B-10.0M1.063.95271,971287,6854,645,5014,113,859
2009-05-21$9.54$8.1249.1%14.1%71.2%15.4%54.3%13.1%3.3%24.9M-1.49B-10.1M1.453.00107,836156,1184,797,1534,216,149
2009-05-22$9.47$8.1245.8%13.1%71.0%12.7%48.8%12.7%4.3%23.1M-1.32B-9.9M1.894.6834,82565,7874,782,2394,216,675
2009-05-26$9.78$8.1248.1%13.8%71.3%13.4%51.0%5.5%0.5%29.7M-1.72B-9.4M1.243.8794,755117,5464,777,6034,213,965
2009-05-27$9.49$8.1242.9%12.3%71.3%9.2%45.7%13.2%1.3%27.5M-1.48B-9.1M1.044.4478,29981,1194,803,1374,235,336
2009-05-28$9.76$8.1244.4%12.7%70.5%10.4%47.1%10.0%3.3%31.1M-1.65B-9.5M1.623.1234,45655,8954,826,9604,262,991
2009-05-29$9.94$8.1242.9%12.3%70.3%9.2%45.1%7.8%5.9%33.3M-1.85B-8.9M0.975.0555,93254,3574,823,4634,281,918