XLF Options History — November 2009

In November 2009, XLF traded between $11.38 and $12.17. ATM implied volatility averaged 32.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.6% (HV 20d: 34.8%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2009-11-02: Highest Volume — 626,932 contracts
  • 2009-11-27: Largest IV spike — 21.6% change
  • 2009-11-02: Highest IV Rank — 13.0%
  • 2009-11-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.86$11.38$12.17$11.51$11.91
Max Pain$11.54$11.37$12.19$12.19$11.37
ATM IV32.2%25.5%41.4%41.4%29.8%
Expected Move9.3%7.3%11.9%11.9%8.5%
HV 20d34.8%25.5%38.5%35.5%25.5%
HV 60d32.1%29.9%33.6%33.6%30.6%
IV Rank4.6%0.0%13.0%13.0%4.6%
IV Percentile9.9%0.0%32.1%32.1%3.2%
Term Structure1.6%-0.9%4.0%-0.9%1.9%
VWIV33.1%26.8%41.9%41.9%30.8%
Skew 25d5.4%3.6%8.8%8.8%4.7%
Skew 10d10.1%7.0%13.6%13.6%12.1%
Call IV 25d30.9%25.7%37.5%37.5%28.6%
Put IV 25d36.2%29.5%46.3%46.3%33.3%
Bid-Ask Spread %4.552.728.334.714.21
Gamma HHI0.200.190.220.200.20
Net GEX7.8M-4.5M21.9M2.7M6.4M
Net DEX-573.6M-969.9M-98.8M-231.6M-609.6M
Net VEX-10.3M-11.4M-9.5M-10.8M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.324.164.162.68
Total Volume253,584.35100,792626,932626,932454,517
Total OI8,033,709.27,361,4448,526,3897,621,8117,546,260

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$11.51$12.1941.4%11.9%35.5%13.0%41.9%8.8%-0.9%2.7M-231.6M-10.8M4.164.71121,385505,5474,052,8593,568,952
2009-11-03$11.54$12.1939.0%11.2%35.1%10.6%37.6%7.2%0.7%893.0K-227.8M-11.2M1.705.93111,298188,9864,082,8603,846,804
2009-11-04$11.38$12.1940.3%11.6%35.0%11.9%39.4%8.5%-0.6%-3.2M-98.8M-11.0M1.318.33156,517205,0144,075,4893,936,074
2009-11-05$11.67$12.1937.7%10.8%36.5%9.4%36.7%5.8%0.3%-43.2K-304.4M-11.4M1.214.42114,212138,4374,119,3004,055,735
2009-11-06$11.62$11.3734.9%10.3%36.2%6.6%35.0%5.5%0.8%-4.5M-258.6M-10.9M0.614.29103,71463,6914,132,3574,024,734
2009-11-09$12.04$11.3731.6%9.3%38.5%3.4%33.6%4.6%0.5%12.8M-731.4M-10.5M0.703.81103,82773,0974,159,0363,991,937
2009-11-10$12.00$11.3731.3%9.4%38.4%3.1%34.3%4.6%0.8%12.7M-716.7M-10.6M1.203.66121,202145,7914,179,5443,991,211
2009-11-11$12.16$11.3731.0%9.2%36.6%2.8%34.3%4.1%1.9%21.4M-931.9M-10.6M1.626.9188,369142,7264,217,7094,066,391
2009-11-12$11.93$11.3733.0%9.5%37.0%4.8%33.4%3.6%0.5%8.4M-653.5M-10.5M1.414.1948,80468,7194,205,5484,136,018
2009-11-13$11.91$11.3732.0%9.2%36.2%3.7%32.5%5.4%1.5%6.2M-629.9M-10.3M0.623.4863,16638,9084,206,4284,133,432
2009-11-16$12.04$11.3731.7%9.1%36.4%3.4%32.5%5.3%1.8%12.5M-761.4M-10.2M0.324.11378,192122,2374,238,8254,072,066
2009-11-17$12.07$11.3730.8%8.8%36.3%2.6%32.7%4.6%2.7%15.2M-796.9M-10.1M1.284.2268,47687,7604,327,9344,112,601
2009-11-18$12.17$11.3730.3%8.7%35.8%2.1%32.7%5.1%2.4%21.9M-969.9M-10.1M1.662.7290,717150,2694,260,1944,129,007
2009-11-19$11.93$11.3731.2%8.9%34.7%2.9%32.8%5.8%2.1%10.7M-606.3M-9.9M1.974.1059,367116,8854,287,0184,173,603
2009-11-20$11.86$11.3729.8%8.6%34.5%1.6%31.9%5.9%2.4%6.1M-380.5M-9.8M1.554.34139,382215,8584,303,5444,222,845
2009-11-23$12.03$11.3726.0%7.5%33.6%0.0%26.9%4.3%3.4%11.2M-781.5M-9.6M0.993.42114,705114,0193,643,9723,717,472
2009-11-24$11.94$11.3725.8%7.4%33.6%0.0%27.9%3.8%4.0%8.1M-722.9M-9.6M0.953.1365,48761,9243,687,9323,773,999
2009-11-25$11.92$11.3725.5%7.3%31.5%0.0%26.8%3.8%3.5%7.5M-690.4M-9.5M2.243.3131,09969,6933,695,3023,776,180
2009-11-27$11.60$11.3731.0%8.9%29.5%5.9%28.4%5.8%2.9%-763.5K-367.5M-9.8M2.377.8137,93889,7523,714,9543,808,058
2009-11-30$11.91$11.3729.8%8.5%25.5%4.6%30.8%4.7%1.9%6.4M-609.6M-9.7M2.684.21123,356331,1613,726,2873,819,973