XLF Options History — January 2010

In January 2010, XLF traded between $11.38 and $12.44. ATM implied volatility averaged 27.7%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.7% (HV 20d: 20.0%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.64.

Notable Days

  • 2010-01-07: Highest Volume — 1,005,148 contracts
  • 2010-01-22: Largest IV spike — 31.1% change
  • 2010-01-22: Highest IV Rank — 13.6%
  • 2010-01-22: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.01$11.38$12.44$11.93$11.52
Max Pain$12.10$11.37$12.19$11.37$12.19
ATM IV27.7%22.2%34.6%25.9%30.2%
Expected Move7.7%6.4%9.9%7.1%8.7%
HV 20d20.0%16.1%26.0%17.5%26.0%
HV 60d26.1%23.0%27.4%26.9%23.0%
IV Rank5.1%0.0%13.6%2.3%8.8%
IV Percentile10.5%0.0%34.5%1.2%15.5%
Term Structure1.1%-0.5%2.5%1.6%0.6%
VWIV27.4%22.8%35.1%25.8%30.1%
Skew 25d4.9%2.6%8.3%4.3%8.2%
Skew 10d9.9%6.2%14.3%10.5%14.3%
Call IV 25d25.4%21.0%30.8%24.4%27.9%
Put IV 25d30.3%25.6%39.1%28.7%36.1%
Bid-Ask Spread %5.323.2410.046.556.35
Gamma HHI0.310.210.650.350.24
Net GEX26.4M-38.8M180.0M27.6M-36.7M
Net DEX-299.7M-1.13B651.5M-420.4M616.7M
Net VEX-9.7M-10.9M-8.5M-8.5M-10.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.324.501.381.14
Total Volume425,533.895160,6151,005,148222,060305,106
Total OI6,513,898.1584,535,7368,186,5536,857,6466,065,644

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$11.93$11.3725.9%7.1%17.5%2.3%25.8%4.3%1.6%27.6M-420.4M-8.5M1.386.5593,126128,9343,115,9293,741,717
2010-01-05$12.15$11.3724.7%6.9%17.4%1.0%24.3%3.5%1.5%35.3M-667.7M-8.7M1.085.3399,459106,9833,141,9873,855,630
2010-01-06$12.18$12.1924.7%7.2%16.1%1.0%24.4%3.2%1.1%46.2M-754.3M-8.5M0.324.77365,721116,5293,174,1153,897,248
2010-01-07$12.44$12.1927.1%7.3%16.9%3.5%24.8%2.8%1.4%54.8M-1.13B-8.9M0.436.73701,029304,1193,302,1593,963,421
2010-01-08$12.36$12.1924.1%7.1%17.2%0.4%24.3%2.6%1.6%58.1M-1.04B-9.7M0.854.47116,19299,0913,607,9544,176,367
2010-01-11$12.37$12.1929.2%7.4%17.2%5.7%25.9%2.8%1.0%62.5M-1.04B-9.6M0.775.21203,466156,3693,580,1224,202,539
2010-01-12$12.19$12.1925.9%7.1%18.2%2.2%25.2%2.8%1.7%55.8M-759.2M-9.4M1.195.89107,631128,3053,714,2724,257,439
2010-01-13$12.33$12.1933.1%7.7%18.5%9.8%27.2%4.4%0.4%60.9M-949.3M-9.7M2.095.6986,465180,9343,725,5164,312,459
2010-01-14$12.39$12.1926.4%7.6%17.2%2.7%25.6%3.8%1.1%55.5M-1.09B-9.5M1.0610.04167,910177,9963,730,0684,369,073
2010-01-15$12.14$12.1924.2%6.9%19.1%0.5%25.2%3.9%2.4%180.0M-347.7M-9.5M1.383.82224,340309,2863,770,4274,416,126
2010-01-19$12.29$12.1922.3%6.4%17.7%0.0%22.8%4.5%2.5%14.3M-290.3M-9.1M1.094.4793,659101,8372,061,0252,474,711
2010-01-20$12.26$12.1922.2%6.4%17.6%0.0%24.2%5.0%2.5%14.2M-290.4M-9.4M2.414.1547,081113,5342,124,0192,506,173
2010-01-21$11.91$12.1926.4%7.6%20.4%4.6%29.5%6.4%0.5%437.9K8.2M-9.7M2.703.63127,544343,7542,141,3482,607,224
2010-01-22$11.52$12.1934.6%9.9%23.7%13.6%35.1%8.3%-0.5%-10.7M331.4M-10.1M2.823.24256,382723,6962,196,2312,757,847
2010-01-25$11.58$12.1931.6%9.1%23.7%10.3%32.3%6.5%0.9%-24.1M475.2M-10.6M4.505.5789,822404,3112,307,2733,165,531
2010-01-26$11.38$12.1931.1%8.9%24.2%9.8%30.7%6.7%1.1%-30.4M651.5M-10.3M1.325.23136,463179,5072,327,7053,226,437
2010-01-27$11.66$12.1931.1%8.9%25.9%9.8%32.4%6.8%0.2%-23.3M393.0M-10.5M3.454.31187,574646,9152,373,6703,266,191
2010-01-28$11.60$12.1932.0%9.2%25.9%10.8%31.5%6.9%-0.3%-38.8M605.2M-10.9M1.125.68214,135239,9392,433,4603,675,008
2010-01-29$11.52$12.1930.2%8.7%26.0%8.8%30.1%8.2%0.6%-36.7M616.7M-10.9M1.146.35142,529162,5772,438,8823,626,762