XLF Options History — October 2009

In October 2009, XLF traded between $11.41 and $12.78. ATM implied volatility averaged 34.9%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.2% (HV 20d: 31.7%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2009-10-14: Highest Volume — 872,846 contracts
2009-10-30: Largest IV spike — 28.6% change
2009-10-13: Highest IV Rank — 15.8%
2009-10-01: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.14	$11.41	$12.78	$11.60	$11.41
Max Pain	$12.19	$12.19	$12.19	$12.19	$12.19
ATM IV	34.9%	28.2%	45.7%	42.3%	41.2%
Expected Move	9.9%	8.1%	12.1%	12.1%	11.8%
HV 20d	31.7%	29.4%	37.2%	30.1%	37.2%
HV 60d	31.5%	30.1%	34.0%	33.1%	34.0%
IV Rank	5.2%	0.0%	15.8%	10.0%	12.8%
IV Percentile	13.0%	0.0%	33.3%	25.4%	31.7%
Term Structure	1.1%	-1.3%	3.5%	-1.1%	-1.3%
VWIV	34.9%	28.7%	41.8%	41.4%	41.8%
Skew 25d	4.0%	1.5%	7.8%	5.8%	7.8%
Skew 10d	7.5%	1.9%	14.4%	9.0%	14.4%
Call IV 25d	33.4%	27.9%	39.7%	39.7%	38.3%
Put IV 25d	37.4%	30.2%	46.1%	45.5%	46.1%
Bid-Ask Spread %	4.95	3.57	6.09	4.74	4.54
Gamma HHI	0.24	0.15	0.36	0.15	0.20
Net GEX	29.4M	2.0M	87.3M	8.6M	4.1M
Net DEX	-1.07B	-2.05B	-207.1M	-601.0M	-207.1M
Net VEX	-10.4M	-11.3M	-9.9M	-10.3M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.24	2.75	1.51	2.14
Total Volume	335,254.273	104,162	872,846	266,586	475,148
Total OI	6,991,303.318	6,108,001	7,867,450	6,108,001	7,429,095

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
2009-10-01	$11.60	$12.19	42.3%	12.1%	30.1%	10.0%	41.4%	5.8%	-1.1%	8.6M	-601.0M	-10.3M	1.51	4.74	106,157	160,429	3,198,786	2,909,215
2009-10-02	$11.61	$12.19	39.0%	11.2%	29.4%	7.3%	38.7%	6.4%	1.3%	5.7M	-560.5M	-10.2M	1.43	4.88	114,671	163,835	3,211,821	2,962,255
2009-10-05	$11.97	$12.19	33.3%	10.6%	31.1%	2.7%	38.2%	6.5%	1.5%	12.6M	-894.8M	-10.3M	1.64	5.69	92,793	151,736	3,248,450	2,987,896
2009-10-06	$12.13	$12.19	36.0%	10.7%	31.3%	4.9%	38.4%	5.5%	1.0%	16.4M	-1.01B	-10.3M	0.84	6.09	150,932	126,333	3,253,065	3,004,937
2009-10-07	$12.26	$12.19	35.8%	10.4%	31.1%	4.8%	36.2%	5.4%	1.7%	21.8M	-1.14B	-9.9M	0.46	5.07	273,058	124,495	3,312,942	3,053,733
2009-10-08	$12.27	$12.19	35.6%	10.4%	31.0%	4.6%	36.9%	4.9%	1.7%	32.9M	-1.23B	-10.3M	0.91	4.59	163,836	149,555	3,477,928	3,093,812
2009-10-09	$12.38	$12.19	35.1%	10.4%	31.0%	4.2%	36.2%	4.6%	1.1%	38.7M	-1.40B	-10.3M	0.38	4.56	202,613	77,591	3,576,259	3,161,319
2009-10-12	$12.48	$12.19	43.0%	11.2%	30.8%	11.7%	39.0%	4.0%	0.1%	52.7M	-1.55B	-10.4M	0.75	4.16	328,846	246,585	3,713,992	3,207,037
2009-10-13	$12.36	$12.19	45.7%	10.9%	31.1%	15.8%	38.0%	3.6%	-0.1%	51.2M	-1.45B	-10.4M	0.95	4.70	247,144	234,837	3,917,635	3,292,035
2009-10-14	$12.78	$12.19	39.7%	10.5%	31.0%	9.8%	36.7%	2.9%	-0.4%	79.4M	-2.05B	-10.9M	0.24	5.21	701,336	171,510	4,161,435	3,430,783
2009-10-15	$12.66	$12.19	34.0%	9.7%	31.2%	4.1%	34.1%	2.1%	-0.5%	87.3M	-1.99B	-10.9M	0.42	5.14	157,023	66,651	4,346,127	3,460,682
2009-10-16	$12.36	$12.19	31.0%	8.9%	32.4%	1.1%	30.8%	1.8%	1.1%	38.1M	-1.39B	-10.5M	0.49	5.36	249,952	123,116	4,156,798	3,479,341
2009-10-19	$12.42	$12.19	29.1%	8.4%	32.3%	0.0%	29.2%	1.6%	2.9%	34.4M	-1.26B	-9.9M	0.98	5.23	180,322	175,909	3,588,370	3,009,272
2009-10-20	$12.32	$12.19	28.7%	8.2%	31.4%	0.0%	28.9%	2.0%	2.6%	30.2M	-1.14B	-10.0M	1.07	4.75	107,277	114,839	3,661,493	3,125,411
2009-10-21	$12.09	$12.19	29.7%	8.5%	31.3%	1.0%	30.2%	1.5%	1.9%	21.1M	-847.0M	-10.2M	1.19	5.87	112,939	134,175	3,702,977	3,166,835
2009-10-22	$12.45	$12.19	28.2%	8.1%	32.1%	0.0%	28.7%	2.4%	3.5%	35.3M	-1.29B	-10.3M	1.07	5.12	193,326	206,334	3,755,018	3,213,658
2009-10-23	$12.27	$12.19	28.8%	8.3%	32.4%	0.6%	29.2%	2.3%	3.1%	26.3M	-1.06B	-10.7M	1.37	5.04	43,896	60,266	3,896,509	3,367,876
2009-10-26	$11.95	$12.19	30.7%	8.8%	31.6%	2.5%	31.9%	2.5%	1.5%	16.7M	-715.6M	-10.5M	1.67	4.57	87,242	145,343	3,864,052	3,336,094
2009-10-27	$11.86	$12.19	32.4%	9.3%	31.6%	4.1%	33.6%	4.1%	0.4%	14.9M	-699.3M	-11.3M	2.48	3.57	48,119	119,512	4,190,258	3,623,764
2009-10-28	$11.49	$12.19	37.0%	10.6%	33.4%	8.6%	36.8%	6.2%	0.0%	2.0M	-246.6M	-11.0M	2.75	4.75	86,816	238,866	4,198,195	3,669,255
2009-10-29	$11.97	$12.19	32.0%	9.2%	32.8%	3.8%	33.3%	4.1%	1.5%	16.3M	-741.8M	-10.5M	0.99	5.25	130,653	129,578	3,954,629	3,437,629
2009-10-30	$11.41	$12.19	41.2%	11.8%	37.2%	12.8%	41.8%	7.8%	-1.3%	4.1M	-207.1M	-10.5M	2.14	4.54	151,523	323,625	3,972,143	3,456,952