XLF Options History — December 2009

In December 2009, XLF traded between $11.42 and $11.92. ATM implied volatility averaged 28.7%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.4% (HV 20d: 22.2%). Max pain ranged from $10.56 to $11.37. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.45.

Notable Days

2009-12-17: Highest Volume — 839,946 contracts
2009-12-03: Largest IV spike — 27.1% change
2009-12-03: Highest IV Rank — 9.6%
2009-12-03: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.70	$11.42	$11.92	$11.92	$11.70
Max Pain	$11.04	$10.56	$11.37	$11.37	$11.37
ATM IV	28.7%	23.8%	34.5%	26.8%	27.2%
Expected Move	8.3%	6.8%	9.9%	7.7%	7.8%
HV 20d	22.2%	17.6%	26.1%	25.4%	17.6%
HV 60d	29.6%	26.7%	31.0%	30.6%	26.7%
IV Rank	3.8%	0.0%	9.6%	1.4%	3.6%
IV Percentile	5.0%	0.0%	21.0%	1.2%	4.0%
Term Structure	2.6%	-0.9%	3.9%	2.8%	1.6%
VWIV	28.9%	24.7%	33.3%	30.0%	27.1%
Skew 25d	5.4%	2.3%	7.8%	4.1%	2.3%
Skew 10d	11.7%	3.3%	17.0%	12.8%	3.3%
Call IV 25d	27.0%	23.9%	30.8%	26.6%	26.8%
Put IV 25d	32.4%	28.3%	37.0%	30.7%	29.1%
Bid-Ask Spread %	2.65	1.60	3.87	3.87	3.32
Gamma HHI	0.26	0.19	0.43	0.20	0.29
Net GEX	-116.8K	-44.7M	18.3M	5.6M	13.7M
Net DEX	-270.8M	-640.0M	207.3M	-640.0M	-206.9M
Net VEX	-9.3M	-10.0M	-8.7M	-9.7M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.15	3.26	1.07	3.26
Total Volume	217,153.864	36,754	839,946	168,431	209,621
Total OI	7,643,712.227	6,342,187	8,534,825	7,796,313	6,718,382

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
2009-12-01	$11.92	$11.37	26.8%	7.7%	25.4%	1.4%	30.0%	4.1%	2.8%	5.6M	-640.0M	-9.7M	1.07	3.87	81,449	86,982	3,803,523	3,992,790
2009-12-02	$11.91	$11.37	27.2%	7.8%	25.4%	1.8%	28.2%	4.8%	3.2%	4.8M	-599.8M	-9.8M	1.10	3.16	49,433	54,271	3,827,600	4,035,873
2009-12-03	$11.67	$11.37	34.5%	9.9%	26.1%	9.6%	32.3%	5.9%	-0.9%	-3.9M	-371.3M	-9.7M	0.65	3.85	162,344	105,784	3,836,035	4,072,202
2009-12-04	$11.88	$10.56	29.3%	8.9%	25.4%	4.0%	33.1%	6.7%	3.1%	7.2M	-604.2M	-10.0M	0.65	2.74	266,060	173,202	3,940,148	4,102,199
2009-12-07	$11.69	$10.56	30.9%	9.3%	26.0%	5.7%	33.3%	6.3%	2.8%	2.2M	-462.3M	-9.6M	1.58	2.37	89,494	141,575	4,097,180	4,169,322
2009-12-08	$11.58	$10.56	31.0%	9.3%	22.7%	5.9%	31.7%	6.7%	3.0%	-4.6M	-305.1M	-9.6M	1.39	2.55	71,122	98,570	4,109,343	4,161,442
2009-12-09	$11.62	$10.56	30.6%	9.1%	22.8%	5.5%	32.5%	6.9%	3.1%	-7.3M	-275.8M	-9.4M	2.35	2.30	28,765	67,726	4,121,931	4,184,709
2009-12-10	$11.61	$10.56	31.2%	9.0%	22.1%	6.1%	30.3%	7.8%	3.4%	-9.1M	-258.2M	-9.4M	2.36	1.88	51,400	121,505	4,131,655	4,206,615
2009-12-11	$11.69	$10.56	29.9%	8.6%	21.4%	4.8%	28.7%	7.0%	3.8%	-4.0M	-352.6M	-9.5M	1.37	2.12	59,422	81,455	4,173,377	4,252,909
2009-12-14	$11.75	$10.56	30.3%	8.7%	21.6%	5.1%	28.4%	6.7%	3.6%	-1.4M	-419.3M	-9.3M	0.78	2.33	63,883	49,553	4,189,908	4,256,189
2009-12-15	$11.57	$10.56	30.4%	8.7%	21.8%	5.3%	29.9%	6.6%	3.9%	-14.3M	-259.0M	-9.0M	2.44	2.27	55,924	136,270	4,203,139	4,235,172
2009-12-16	$11.64	$10.56	29.1%	8.3%	21.9%	3.8%	29.0%	6.1%	3.5%	-17.3M	-282.4M	-8.9M	1.44	3.00	110,215	159,129	4,176,574	4,299,307
2009-12-17	$11.42	$11.37	29.5%	8.5%	22.4%	4.3%	31.1%	6.2%	3.2%	-44.7M	50.3M	-8.9M	0.15	2.29	727,839	112,107	4,194,445	4,340,380
2009-12-18	$11.55	$11.37	29.4%	8.4%	22.1%	4.1%	30.1%	5.8%	3.0%	-19.3M	207.3M	-8.8M	2.02	3.01	177,399	358,905	3,812,990	4,320,211
2009-12-21	$11.72	$11.37	27.6%	7.9%	22.7%	2.3%	26.2%	4.5%	2.7%	148.2K	-82.7M	-9.0M	0.39	1.60	237,870	92,396	2,803,589	3,538,598
2009-12-22	$11.75	$11.37	25.9%	7.4%	22.1%	0.5%	25.4%	5.3%	2.7%	13.9M	-193.5M	-9.3M	1.50	2.78	42,159	63,051	3,008,662	3,559,630
2009-12-23	$11.70	$11.37	26.2%	7.5%	22.0%	0.8%	24.7%	4.0%	2.3%	11.3M	-148.3M	-9.1M	0.84	2.90	81,096	68,160	3,010,627	3,606,928
2009-12-24	$11.80	$11.37	23.8%	6.8%	22.3%	0.0%	25.5%	4.1%	0.8%	17.0M	-245.3M	-9.2M	1.13	2.60	17,708	20,079	3,043,843	3,599,956
2009-12-28	$11.76	$11.37	28.0%	8.0%	20.0%	4.5%	27.3%	5.1%	0.5%	18.3M	-212.3M	-9.0M	2.20	2.67	11,500	25,254	3,056,633	3,606,676
2009-12-29	$11.71	$11.37	26.2%	7.5%	17.6%	2.5%	25.9%	2.8%	2.2%	13.4M	-115.7M	-8.7M	0.93	1.95	36,607	34,190	3,058,047	3,616,051
2009-12-30	$11.72	$11.37	26.1%	7.5%	17.6%	2.4%	25.8%	3.3%	2.3%	15.9M	-180.6M	-8.7M	2.27	2.84	29,311	66,600	3,074,150	3,612,729
2009-12-31	$11.70	$11.37	27.2%	7.8%	17.6%	3.6%	27.1%	2.3%	1.6%	13.7M	-206.9M	-8.7M	3.26	3.32	49,236	160,385	3,091,519	3,626,863