XLF Options History — June 2009

In June 2009, XLF traded between $9.21 and $10.15. ATM implied volatility averaged 43.2%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.3% (HV 20d: 42.9%). Max pain ranged from $8.12 to $9.75. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2009-06-18: Highest Volume — 3,066,931 contracts
  • 2009-06-04: Largest IV spike — 18.8% change
  • 2009-06-04: Highest IV Rank — 11.9%
  • 2009-06-04: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.80$9.21$10.15$10.04$9.71
Max Pain$9.45$8.12$9.75$8.12$9.75
ATM IV43.2%36.9%49.0%47.4%37.4%
Expected Move12.5%10.6%14.0%13.6%10.7%
HV 20d42.9%31.6%70.1%70.1%34.8%
HV 60d76.7%66.8%88.6%88.4%66.8%
IV Rank5.3%0.0%11.9%11.4%0.4%
IV Percentile9.1%0.0%21.4%18.7%0.8%
Term Structure-1.1%-13.5%5.2%5.2%3.4%
VWIV43.9%37.7%52.1%47.7%37.7%
Skew 25d5.1%-9.9%10.9%9.0%5.2%
Skew 10d10.0%-2.1%17.0%14.2%7.2%
Call IV 25d41.8%35.5%55.2%44.0%35.5%
Put IV 25d46.9%39.8%53.0%53.0%40.7%
Bid-Ask Spread %5.163.076.914.285.85
Gamma HHI0.240.140.400.280.20
Net GEX19.0M-1.6M36.7M36.5M5.6M
Net DEX-1.14B-2.02B61.8M-1.94B-367.8M
Net VEX-8.2M-9.4M-7.3M-8.7M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.033.981.120.75
Total Volume428,659.636127,7793,066,931131,074214,199
Total OI8,197,1695,028,7819,591,0979,130,7286,175,039

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$10.04$8.1247.4%13.6%70.1%11.4%47.7%9.0%5.2%36.5M-1.94B-8.7M1.124.2861,78669,2884,841,0814,289,647
2009-06-02$9.88$8.1248.9%14.0%62.0%11.9%49.2%-9.9%-13.5%31.1M-1.80B-8.3M1.674.0147,82879,9514,832,2934,299,210
2009-06-03$9.75$8.1241.2%11.8%62.0%5.4%43.6%8.8%1.9%31.0M-1.58B-8.2M3.984.0084,988338,1224,841,9974,335,022
2009-06-04$10.10$8.1249.0%14.0%56.9%11.9%52.1%-4.2%-11.4%35.3M-2.00B-8.7M0.523.07152,90780,1604,893,6294,566,218
2009-06-05$10.01$9.7542.8%13.1%56.0%6.7%45.1%9.0%1.1%34.7M-1.77B-7.7M0.396.64236,12390,9564,960,9264,622,181
2009-06-08$10.08$9.7544.9%13.0%49.5%6.0%46.6%7.6%-0.1%35.9M-2.02B-8.1M0.766.2279,60160,6404,897,6784,642,054
2009-06-09$10.15$9.7540.6%12.4%44.6%2.3%43.3%7.5%0.6%36.7M-2.01B-8.3M0.274.80266,71673,2384,893,7944,632,241
2009-06-10$10.00$9.7543.2%12.9%44.2%4.6%43.1%8.5%-3.4%35.0M-1.82B-7.9M0.254.66373,56493,4564,927,3454,663,752
2009-06-11$10.08$9.7545.9%13.2%39.5%6.9%44.2%4.6%-4.8%28.2M-1.71B-8.0M1.136.42121,871138,0704,825,6104,669,365
2009-06-12$10.15$9.7544.4%12.7%38.0%5.6%40.0%7.7%-1.3%19.8M-1.75B-8.3M1.466.0194,008136,8374,739,0094,814,275
2009-06-15$9.89$9.7547.0%13.5%38.5%7.9%47.3%3.4%-10.2%19.1M-1.62B-7.7M1.634.8493,352151,7024,774,1794,744,882
2009-06-16$9.72$9.7546.2%13.2%31.6%7.1%47.8%8.6%-6.8%14.8M-1.28B-7.9M1.325.04114,862151,8224,766,0774,773,540
2009-06-17$9.43$9.7541.5%11.9%32.5%3.1%44.9%10.9%-2.7%7.4M-901.3M-7.3M1.405.44132,741185,9914,774,3674,810,153
2009-06-18$9.66$9.7542.5%12.2%32.2%4.0%42.8%10.0%-4.1%7.9M-1.13B-7.7M0.035.112,965,046101,8854,680,6514,868,969
2009-06-19$9.78$9.7543.4%12.5%32.5%4.8%43.1%6.3%0.9%33.3M-477.7M-7.9M1.325.26283,258374,3683,715,3574,845,575
2009-06-22$9.21$9.7546.9%13.4%39.1%7.7%46.3%3.8%1.8%-1.6M61.8M-7.6M1.046.91211,812220,8272,523,9162,504,865
2009-06-23$9.32$9.7544.4%12.7%37.4%5.5%43.2%3.5%3.3%-887.9K-18.4M-8.2M1.104.42146,075161,3722,681,8222,627,411
2009-06-24$9.43$9.7540.7%11.7%36.2%2.4%41.4%3.0%3.3%-539.3K-93.0M-8.5M1.264.74143,309180,9242,765,9302,729,186
2009-06-25$9.63$9.7538.1%10.9%35.6%0.2%39.2%4.0%4.2%1.2M-201.4M-8.9M0.624.60182,703112,7512,848,4112,810,524
2009-06-26$9.68$9.7536.9%10.6%35.0%0.0%38.4%2.1%4.8%3.4M-294.6M-9.0M1.865.7074,756139,2652,974,2132,844,209
2009-06-29$9.81$9.7537.1%10.6%35.1%0.1%38.0%3.4%3.4%4.7M-351.7M-9.0M0.495.58273,443133,9392,977,4862,933,629
2009-06-30$9.71$9.7537.4%10.7%34.8%0.4%37.7%5.2%3.4%5.6M-367.8M-9.4M0.755.85122,63291,5673,196,8412,978,198