XLF Options History — February 2010

In February 2010, XLF traded between $11.10 and $11.93. ATM implied volatility averaged 26.9%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.6% (HV 20d: 27.5%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.12.

Notable Days

2010-02-05: Highest Volume — 620,899 contracts
2010-02-23: Largest IV spike — 28.4% change
2010-02-04: Highest IV Rank — 8.8%
2010-02-08: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.57	$11.10	$11.93	$11.71	$11.93
Max Pain	$11.80	$11.37	$12.19	$12.19	$11.37
ATM IV	26.9%	20.8%	30.2%	29.1%	21.8%
Expected Move	7.9%	6.0%	9.3%	8.3%	6.2%
HV 20d	27.5%	24.5%	29.5%	26.7%	24.5%
HV 60d	23.4%	22.6%	24.4%	23.3%	22.6%
IV Rank	5.3%	0.0%	8.8%	7.6%	1.1%
IV Percentile	9.1%	0.0%	17.1%	11.1%	0.4%
Term Structure	0.4%	-1.2%	2.2%	0.8%	0.5%
VWIV	28.7%	23.0%	34.5%	29.8%	23.0%
Skew 25d	6.8%	3.5%	9.8%	4.9%	3.5%
Skew 10d	13.7%	7.3%	20.1%	8.3%	10.4%
Call IV 25d	25.4%	20.3%	30.6%	26.4%	22.0%
Put IV 25d	32.2%	25.5%	40.0%	31.3%	25.5%
Bid-Ask Spread %	3.41	2.81	4.09	3.33	2.81
Gamma HHI	0.25	0.21	0.29	0.25	0.25
Net GEX	-35.0M	-59.0M	-9.4M	-33.0M	-13.6M
Net DEX	522.0M	-2.3M	1.20B	406.7M	51.2M
Net VEX	-10.6M	-11.1M	-10.2M	-10.8M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	0.80	3.87	3.39	1.19
Total Volume	294,201.842	151,476	620,899	204,492	198,729
Total OI	6,340,904.368	5,531,992	6,891,062	6,198,220	5,889,137

Daily Data (19 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
2010-02-01	$11.71	$12.19	29.1%	8.3%	26.7%	7.6%	29.8%	4.9%	0.8%	-33.0M	406.7M	-10.8M	3.39	3.33	46,563	157,929	2,502,230	3,695,990
2010-02-02	$11.83	$12.19	25.9%	7.4%	25.9%	4.1%	27.1%	4.2%	0.6%	-26.9M	322.1M	-10.8M	2.07	3.77	97,947	203,229	2,493,693	3,691,493
2010-02-03	$11.70	$12.19	27.6%	7.9%	25.2%	6.0%	26.7%	5.7%	2.2%	-33.6M	430.9M	-10.7M	2.93	3.39	55,543	162,715	2,528,156	3,761,903
2010-02-04	$11.19	$12.19	30.2%	8.7%	29.2%	8.8%	32.5%	5.0%	0.8%	-55.8M	1.08B	-10.7M	3.87	4.09	101,070	391,171	2,514,393	3,829,397
2010-02-05	$11.32	$12.19	27.3%	9.1%	28.3%	5.6%	34.5%	9.6%	-0.6%	-53.9M	956.9M	-11.1M	2.09	3.71	201,074	419,825	2,534,379	3,859,986
2010-02-08	$11.10	$12.19	29.7%	9.3%	28.9%	8.3%	34.3%	9.8%	-0.0%	-59.0M	1.20B	-10.7M	1.47	3.30	113,278	166,801	2,588,862	3,957,795
2010-02-09	$11.21	$12.19	28.4%	9.3%	29.3%	6.8%	33.9%	9.3%	-0.2%	-53.6M	1.07B	-10.9M	1.84	3.66	116,238	213,966	2,632,284	3,953,476
2010-02-10	$11.30	$12.19	27.4%	8.9%	29.4%	5.7%	33.6%	9.2%	0.7%	-47.9M	911.9M	-10.8M	2.86	3.57	76,030	217,139	2,686,331	3,919,381
2010-02-11	$11.32	$12.19	29.4%	8.4%	29.0%	7.9%	30.4%	6.7%	1.2%	-51.2M	896.7M	-10.8M	1.59	3.20	153,472	243,976	2,702,669	3,961,422
2010-02-12	$11.33	$12.19	28.1%	8.1%	28.9%	6.5%	28.9%	6.7%	1.0%	-55.3M	860.2M	-10.9M	2.24	3.62	65,423	146,424	2,771,091	3,991,090
2010-02-16	$11.57	$11.37	27.4%	7.9%	29.5%	5.7%	27.6%	7.0%	1.5%	-41.7M	500.5M	-10.5M	1.13	3.62	71,173	80,303	2,788,369	3,973,808
2010-02-17	$11.61	$11.37	28.6%	8.2%	29.1%	7.0%	27.6%	7.3%	-0.6%	-36.2M	385.9M	-10.5M	2.19	2.90	80,777	176,988	2,807,730	3,957,100
2010-02-18	$11.68	$11.37	28.8%	8.3%	29.2%	7.3%	28.4%	7.2%	-0.6%	-31.5M	291.0M	-10.3M	1.59	3.34	117,567	187,002	2,836,607	3,942,196
2010-02-19	$11.75	$11.37	27.5%	7.9%	27.6%	5.8%	25.6%	8.3%	-1.1%	-20.4M	188.2M	-10.2M	0.80	2.96	175,608	140,505	2,881,457	4,009,605
2010-02-22	$11.90	$11.37	22.3%	6.4%	25.1%	0.1%	23.9%	4.5%	0.0%	-9.4M	-2.3M	-10.3M	2.04	3.03	80,315	163,873	2,146,519	3,385,473
2010-02-23	$11.68	$11.37	28.6%	8.2%	26.1%	7.4%	27.3%	7.5%	-1.2%	-18.8M	216.6M	-10.3M	2.23	3.57	110,173	246,092	2,164,352	3,449,650
2010-02-24	$11.88	$11.37	22.1%	6.3%	25.8%	0.0%	25.6%	6.6%	1.4%	-11.2M	23.1M	-10.4M	1.63	3.21	93,805	152,864	2,236,051	3,569,504
2010-02-25	$11.85	$11.37	20.8%	6.0%	24.5%	0.0%	25.1%	7.1%	0.4%	-12.6M	120.3M	-10.4M	3.18	3.77	39,268	124,980	2,247,608	3,615,996
2010-02-26	$11.93	$11.37	21.8%	6.2%	24.5%	1.1%	23.0%	3.5%	0.5%	-13.6M	51.2M	-10.5M	1.19	2.81	90,693	108,036	2,254,851	3,634,286