XLF Options History — September 2009

In September 2009, XLF traded between $11.20 and $12.46. ATM implied volatility averaged 34.5%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.1% (HV 20d: 31.4%). Max pain ranged from $10.56 to $12.19. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.52.

Notable Days

2009-09-17: Highest Volume — 1,693,558 contracts
2009-09-03: Largest IV drop — 12.1% change
2009-09-01: Highest IV Rank — 7.0%
2009-09-04: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.94	$11.20	$12.46	$11.30	$12.14
Max Pain	$11.30	$10.56	$12.19	$10.56	$12.19
ATM IV	34.5%	31.6%	38.6%	38.6%	35.0%
Expected Move	10.1%	9.1%	11.4%	11.1%	10.0%
HV 20d	31.4%	24.9%	37.9%	37.9%	24.9%
HV 60d	33.2%	31.6%	35.2%	35.2%	31.8%
IV Rank	3.7%	1.4%	7.0%	7.0%	4.1%
IV Percentile	7.9%	2.8%	13.9%	13.9%	10.7%
Term Structure	1.6%	-1.2%	4.8%	3.0%	2.0%
VWIV	35.9%	31.1%	39.5%	38.2%	34.7%
Skew 25d	6.1%	4.6%	7.5%	7.4%	5.6%
Skew 10d	13.3%	7.7%	21.1%	13.1%	11.8%
Call IV 25d	33.5%	29.5%	37.5%	37.5%	33.6%
Put IV 25d	39.6%	34.3%	44.9%	44.9%	39.2%
Bid-Ask Spread %	4.81	3.84	5.79	3.87	5.06
Gamma HHI	0.23	0.15	0.41	0.17	0.15
Net GEX	17.0M	8.0M	32.4M	13.5M	13.9M
Net DEX	-1.24B	-2.02B	-774.2M	-977.5M	-1.01B
Net VEX	-9.4M	-10.0M	-8.8M	-9.7M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.06	3.27	1.88	0.72
Total Volume	301,892.333	100,295	1,693,558	366,056	327,943
Total OI	6,581,991.048	5,199,670	7,608,368	6,842,020	5,965,957

Daily Data (21 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
2009-09-01	$11.30	$10.56	38.6%	11.1%	37.9%	7.0%	38.2%	7.4%	3.0%	13.5M	-977.5M	-9.7M	1.88	3.87	126,903	239,153	3,261,648	3,580,372
2009-09-02	$11.20	$10.56	37.1%	10.6%	36.0%	5.8%	37.2%	5.8%	4.1%	10.8M	-834.1M	-9.8M	1.32	3.91	80,358	106,379	3,327,723	3,693,698
2009-09-03	$11.42	$10.56	32.6%	9.4%	36.6%	2.2%	34.0%	6.2%	4.8%	14.5M	-1.04B	-9.8M	2.24	4.20	69,421	155,778	3,339,067	3,700,041
2009-09-04	$11.55	$11.37	33.3%	11.4%	35.6%	2.8%	39.5%	7.5%	1.2%	17.1M	-1.18B	-9.7M	0.75	4.80	81,599	61,264	3,352,736	3,707,691
2009-09-08	$11.60	$11.37	35.6%	11.3%	35.6%	4.6%	38.1%	7.5%	0.9%	18.1M	-1.22B	-9.5M	1.07	5.40	81,092	86,797	3,362,653	3,707,016
2009-09-09	$11.78	$11.37	32.4%	11.3%	33.1%	2.0%	38.4%	7.2%	0.5%	21.5M	-1.43B	-9.4M	0.60	5.68	112,150	67,816	3,415,317	3,757,683
2009-09-10	$11.88	$11.37	35.5%	10.2%	32.5%	4.5%	39.1%	7.4%	1.6%	24.9M	-1.53B	-9.4M	2.08	4.51	136,152	283,253	3,455,966	3,767,234
2009-09-11	$11.80	$11.37	36.5%	10.5%	31.9%	5.3%	38.4%	7.0%	0.5%	13.9M	-1.42B	-9.5M	3.27	4.41	43,606	142,790	3,509,995	3,936,862
2009-09-14	$11.96	$11.37	35.2%	10.1%	32.0%	4.3%	36.9%	6.5%	0.5%	15.2M	-1.57B	-8.9M	1.33	5.75	108,903	144,777	3,466,257	4,012,459
2009-09-15	$11.98	$11.37	34.5%	9.9%	27.3%	3.8%	37.0%	6.2%	-0.2%	18.6M	-1.62B	-9.0M	1.26	5.64	127,341	160,274	3,520,081	4,045,421
2009-09-16	$12.40	$11.37	35.9%	10.3%	28.8%	4.9%	36.9%	6.6%	-1.2%	30.8M	-2.02B	-8.9M	0.90	5.79	135,998	122,758	3,541,694	4,066,674
2009-09-17	$12.36	$11.37	36.4%	10.4%	28.9%	5.3%	36.2%	5.1%	-1.1%	32.4M	-1.94B	-8.9M	0.06	3.84	1,596,374	97,184	3,532,586	4,063,401
2009-09-18	$12.30	$11.37	34.3%	9.8%	27.9%	3.5%	35.6%	4.8%	1.0%	26.4M	-1.33B	-8.9M	1.33	4.71	105,276	140,141	2,970,030	4,071,390
2009-09-21	$12.19	$11.37	33.8%	9.7%	27.6%	3.2%	34.6%	4.6%	2.0%	13.7M	-1.05B	-9.0M	2.37	4.96	39,082	92,720	2,694,094	2,505,576
2009-09-22	$12.46	$11.37	32.0%	9.2%	28.3%	1.8%	31.1%	4.8%	2.1%	15.2M	-1.20B	-9.1M	0.76	4.71	93,933	70,935	2,713,320	2,559,164
2009-09-23	$12.21	$11.37	31.6%	9.1%	29.2%	1.4%	31.7%	4.8%	2.8%	14.6M	-1.07B	-8.8M	2.50	5.69	28,642	71,653	2,763,244	2,587,286
2009-09-24	$11.97	$11.37	34.2%	9.8%	30.2%	3.5%	35.4%	4.7%	1.2%	10.5M	-877.2M	-9.3M	2.54	4.90	80,586	204,339	2,774,102	2,635,975
2009-09-25	$11.85	$11.37	32.5%	9.3%	30.2%	2.1%	34.4%	5.8%	2.9%	8.0M	-774.2M	-9.7M	2.10	4.15	56,672	118,810	2,824,195	2,732,691
2009-09-28	$12.25	$11.37	33.0%	9.4%	32.4%	2.5%	33.4%	6.7%	2.6%	12.2M	-1.04B	-9.6M	2.29	4.23	34,334	78,782	2,846,939	2,781,377
2009-09-29	$12.19	$11.37	33.8%	9.7%	32.5%	3.2%	34.0%	5.2%	2.8%	11.3M	-996.4M	-9.7M	0.48	4.86	288,263	139,508	2,860,587	2,811,610
2009-09-30	$12.14	$12.19	35.0%	10.0%	24.9%	4.1%	34.7%	5.6%	2.0%	13.9M	-1.01B	-10.0M	0.72	5.06	190,950	136,993	3,091,680	2,874,277