XLF Options History — July 2009 In July 2009, XLF traded between $9.02 and $10.57. ATM implied volatility averaged 39.6%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.5% (HV 20d: 36.1%). Max pain ranged from $9.75 to $9.75. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.05.
Notable Days 2009-07-10 : Highest Volume — 753,263 contracts2009-07-13 : Largest IV spike — 28.8% change2009-07-13 : Highest IV Rank — 17.4%2009-07-08 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $9.78 $9.02 $10.57 $9.65 $10.57 Max Pain $9.75 $9.75 $9.75 $9.75 $9.75 ATM IV 39.6% 29.9% 56.2% 35.7% 30.8% Expected Move 11.2% 8.6% 14.0% 10.2% 8.8% HV 20d 36.1% 31.7% 43.0% 34.5% 31.7% HV 60d 53.9% 42.2% 66.7% 66.5% 42.2% IV Rank 4.7% 0.0% 17.4% 0.0% 0.7% IV Percentile 7.5% 0.0% 29.8% 0.0% 0.4% Term Structure 1.5% -1.5% 4.4% 4.4% 4.0% VWIV 39.5% 31.1% 49.3% 37.0% 31.1% Skew 25d 5.6% 3.2% 7.4% 3.8% 4.4% Skew 10d 11.3% 3.6% 14.9% 9.5% 12.7% Call IV 25d 37.3% 29.9% 46.4% 36.5% 30.9% Put IV 25d 42.9% 35.3% 52.8% 40.3% 35.3% Bid-Ask Spread % 5.80 4.28 7.59 5.06 7.54 Gamma HHI 0.23 0.17 0.44 0.19 0.20 Net GEX 15.3M -205.7K 52.4M 5.6M 24.2M Net DEX -482.1M -1.09B 178.4M -354.0M -1.09B Net VEX -9.8M -10.6M -9.4M -9.6M -9.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.26 3.71 0.43 0.73 Total Volume 339,626.136 159,536 753,263 310,062 324,801 Total OI 6,920,843.091 6,240,928 7,826,290 6,240,928 7,055,473
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 2009-07-01 $9.65 $9.75 35.7% 10.2% 34.5% 0.0% 37.0% 3.8% 4.4% 5.6M -354.0M -9.6M 0.43 5.06 216,730 93,332 3,272,578 2,968,350 2009-07-02 $9.32 $9.75 41.0% 11.7% 33.9% 4.5% 39.4% 3.2% 2.5% 1.5M -132.7M -9.6M 1.43 4.28 71,999 102,914 3,445,370 2,983,128 2009-07-06 $9.33 $9.75 43.8% 12.7% 33.9% 6.9% 43.9% 5.5% 1.2% 1.4M -145.0M -9.6M 1.53 5.02 93,444 143,227 3,479,852 3,034,384 2009-07-07 $9.18 $9.75 48.2% 13.4% 33.9% 10.6% 46.0% 5.4% -0.4% 1.4M -52.7M -9.6M 0.36 6.95 183,295 66,321 3,534,557 3,062,868 2009-07-08 $9.03 $9.75 50.3% 14.0% 33.8% 12.4% 49.3% 6.4% 1.4% 778.3K 83.9M -9.7M 1.41 5.37 213,468 300,161 3,644,181 3,082,252 2009-07-09 $9.14 $9.75 48.1% 13.9% 34.3% 10.5% 47.9% 6.6% -0.4% 1.4M 44.3M -9.7M 0.86 6.24 224,646 193,554 3,660,015 3,245,208 2009-07-10 $9.02 $9.75 43.6% 13.9% 34.1% 6.7% 47.9% 5.2% 0.3% -205.7K 178.4M -9.5M 1.72 5.98 276,632 476,631 3,795,520 3,264,835 2009-07-13 $9.59 $9.75 56.2% 13.5% 41.5% 17.4% 48.6% 6.7% -1.5% 19.0M -415.5M -10.6M 0.30 6.14 443,549 134,679 3,916,812 3,591,721 2009-07-14 $9.55 $9.75 46.6% 12.7% 40.6% 9.2% 45.8% 6.7% -0.7% 30.1M -408.8M -10.4M 1.11 4.83 90,144 100,482 4,049,267 3,632,908 2009-07-15 $9.96 $9.75 48.1% 12.6% 43.0% 10.5% 44.4% 7.1% -1.2% 46.2M -926.9M -10.5M 0.58 6.98 303,187 175,376 3,998,614 3,689,535 2009-07-16 $9.93 $9.75 41.8% 12.0% 41.4% 5.2% 43.3% 6.8% -0.3% 52.4M -890.2M -10.3M 1.23 6.76 208,536 257,022 4,063,591 3,762,699 2009-07-17 $9.86 $9.75 37.9% 10.9% 40.8% 1.9% 37.4% 6.7% 1.1% 50.2M -960.8M -9.8M 0.53 4.68 249,780 131,321 3,989,217 3,819,405 2009-07-20 $9.94 $9.75 34.4% 9.8% 40.6% 0.0% 33.7% 7.4% 3.7% 4.6M -441.6M -9.4M 1.02 5.72 160,195 164,073 3,127,874 3,220,478 2009-07-21 $9.85 $9.75 35.4% 10.2% 34.0% 0.9% 35.6% 7.1% 0.9% 2.6M -347.2M -9.6M 1.28 5.24 86,680 111,372 3,170,761 3,329,653 2009-07-22 $9.86 $9.75 32.4% 9.3% 33.9% 0.0% 32.4% 4.7% 2.1% 4.0M -365.9M -9.5M 0.64 7.59 137,866 87,721 3,214,859 3,299,304 2009-07-23 $10.15 $9.75 35.7% 10.2% 35.0% 2.7% 34.9% 4.9% 2.9% 9.4M -633.3M -9.5M 0.49 6.40 329,498 160,373 3,232,196 3,308,429 2009-07-24 $10.09 $9.75 35.6% 10.2% 34.5% 2.7% 34.7% 5.3% 1.6% 12.1M -626.8M -10.2M 3.71 6.58 51,716 191,913 3,455,568 3,410,909 2009-07-27 $10.25 $9.75 33.6% 9.6% 34.8% 1.0% 35.7% 3.6% 1.7% 16.4M -779.8M -9.5M 0.55 4.68 163,734 89,438 3,404,252 3,305,241 2009-07-28 $10.23 $9.75 31.8% 9.1% 34.7% 0.0% 32.7% 4.0% 2.3% 14.8M -695.2M -10.0M 0.35 4.54 117,888 41,648 3,501,282 3,466,826 2009-07-29 $10.23 $9.75 31.2% 8.9% 34.4% 0.0% 33.9% 6.0% 3.3% 17.0M -710.6M -9.7M 2.56 4.99 67,035 171,355 3,477,870 3,361,796 2009-07-30 $10.46 $9.75 29.9% 8.6% 34.9% 0.0% 33.3% 5.3% 3.9% 20.7M -939.3M -9.5M 0.26 6.11 209,565 54,474 3,444,651 3,484,259 2009-07-31 $10.57 $9.75 30.8% 8.8% 31.7% 0.7% 31.1% 4.4% 4.0% 24.2M -1.09B -9.7M 0.73 7.54 187,460 137,341 3,575,672 3,479,801
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