XLF Options History — August 2009

In August 2009, XLF traded between $10.84 and $11.98. ATM implied volatility averaged 35.1%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.8% (HV 20d: 31.3%). Max pain ranged from $9.75 to $10.56. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-08-06: Highest Volume — 548,225 contracts
  • 2009-08-05: Largest IV spike — 17.3% change
  • 2009-08-17: Highest IV Rank — 8.4%
  • 2009-08-17: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.53$10.84$11.98$10.84$11.94
Max Pain$9.94$9.75$10.56$9.75$10.56
ATM IV35.1%30.1%40.2%32.5%31.2%
Expected Move10.1%8.6%11.5%9.3%8.9%
HV 20d31.3%25.2%33.2%32.4%32.1%
HV 60d35.5%33.1%42.0%42.0%33.1%
IV Rank4.2%0.2%8.4%2.1%1.1%
IV Percentile5.1%0.4%10.7%2.0%1.6%
Term Structure1.1%-1.2%4.7%2.4%4.7%
VWIV36.7%31.3%42.2%33.1%34.6%
Skew 25d5.7%2.8%7.8%3.5%7.0%
Skew 10d13.4%4.9%18.0%4.9%13.3%
Call IV 25d33.7%29.6%38.6%30.4%30.6%
Put IV 25d39.4%33.9%46.4%33.9%37.6%
Bid-Ask Spread %4.672.7313.894.883.07
Gamma HHI0.170.150.250.250.18
Net GEX24.3M19.0M31.6M26.3M19.0M
Net DEX-1.60B-2.01B-1.31B-1.32B-1.47B
Net VEX-9.3M-9.6M-8.9M-9.2M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.513.240.951.41
Total Volume222,898.76296,021548,225194,593131,262
Total OI7,210,909.1436,496,4647,760,4347,018,8806,809,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$10.84$9.7532.5%9.3%32.4%2.1%33.1%3.5%2.4%26.3M-1.32B-9.2M0.954.8899,93694,6573,503,7263,515,154
2009-08-04$11.06$9.7530.6%8.8%31.4%0.6%31.3%3.3%3.3%23.6M-1.40B-9.4M0.515.13225,493115,7603,487,9923,518,620
2009-08-05$11.44$9.7535.9%10.3%31.0%4.8%38.9%2.8%0.4%28.7M-1.75B-9.4M0.8013.89222,530178,4053,565,5683,548,734
2009-08-06$11.36$9.7535.9%10.3%31.7%4.8%36.9%3.3%1.3%24.9M-1.62B-9.3M1.035.14269,396278,8293,506,1273,601,007
2009-08-07$11.66$9.7537.8%10.6%30.8%6.3%38.4%5.5%-0.5%25.7M-1.88B-9.2M0.614.66296,212181,3583,575,7393,712,132
2009-08-10$11.61$9.7535.6%10.7%25.2%4.6%37.8%5.5%-0.6%27.9M-1.82B-9.4M1.034.5473,02975,3903,678,4673,764,969
2009-08-11$11.18$9.7535.7%10.6%30.0%4.7%37.4%5.7%-0.1%22.9M-1.45B-9.0M1.513.7278,183118,1673,661,4643,765,854
2009-08-12$11.41$9.7535.5%10.7%27.7%4.5%37.8%6.5%0.2%25.7M-1.64B-9.4M0.753.93106,37780,2503,678,8933,793,378
2009-08-13$11.64$9.7537.5%10.7%27.8%6.1%37.5%6.5%0.0%31.6M-1.89B-9.2M0.894.9589,03379,1203,744,7433,802,505
2009-08-14$11.57$9.7536.9%10.6%27.8%5.7%38.0%5.0%-0.4%29.7M-1.80B-9.3M2.706.2838,730104,6423,755,4933,839,813
2009-08-17$11.08$9.7540.2%11.5%33.2%8.4%42.2%7.8%-1.0%20.7M-1.31B-9.3M2.265.6565,925149,2243,734,7403,834,279
2009-08-18$11.31$9.7540.2%11.5%33.1%8.3%40.1%7.0%-0.8%23.0M-1.54B-9.6M0.732.8875,61355,3463,760,7063,948,483
2009-08-19$11.30$9.7538.5%11.0%33.1%7.0%40.2%7.2%0.6%23.3M-1.53B-9.5M1.264.4942,47653,5453,769,8603,952,010
2009-08-20$11.59$9.7538.6%11.1%32.9%7.0%37.6%4.5%-1.2%24.5M-1.78B-9.3M1.333.3275,101100,2073,771,4123,930,850
2009-08-21$11.82$9.7535.2%10.1%32.9%4.3%37.6%7.5%1.1%23.4M-2.01B-9.2M0.694.48132,25491,0563,770,6813,989,753
2009-08-24$11.73$9.7534.7%10.0%33.2%3.9%34.6%6.6%1.9%23.6M-1.40B-8.9M1.094.27134,131145,8883,175,1263,321,338
2009-08-25$11.88$10.5632.5%9.3%33.0%2.1%34.5%6.8%2.3%21.0M-1.45B-9.1M1.373.5152,07371,4713,179,5983,368,118
2009-08-26$11.84$10.5631.7%9.1%33.1%1.5%34.6%5.6%2.1%21.4M-1.44B-9.1M1.712.7371,974123,1173,196,6943,410,515
2009-08-27$11.97$10.5630.1%8.6%32.7%0.2%33.6%5.8%3.9%21.5M-1.52B-9.3M2.003.1355,204110,1793,230,2523,474,822
2009-08-28$11.98$10.5631.3%9.0%32.7%1.1%33.7%6.6%4.0%21.1M-1.50B-9.6M3.243.4132,898106,4333,251,2853,528,910
2009-08-31$11.94$10.5631.2%8.9%32.1%1.1%34.6%7.0%4.7%19.0M-1.47B-9.6M1.413.0754,45576,8073,250,7423,558,540