XLF Options History — March 2010

In March 2010, XLF traded between $11.96 and $13.01. ATM implied volatility averaged 21.2%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.2% (HV 20d: 15.0%). Max pain ranged from $11.37 to $13.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.76.

Notable Days

2010-03-18: Highest Volume — 1,521,080 contracts
2010-03-11: Largest IV drop — 12.4% change
2010-03-10: Highest IV Rank — 5.6%
2010-03-10: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.64	$11.96	$13.01	$11.96	$12.96
Max Pain	$12.19	$11.37	$13.00	$11.37	$13.00
ATM IV	21.2%	19.0%	25.2%	23.0%	19.2%
Expected Move	6.1%	5.4%	7.2%	6.6%	5.5%
HV 20d	15.0%	10.6%	24.3%	24.3%	11.3%
HV 60d	21.8%	21.1%	22.6%	22.6%	21.1%
IV Rank	1.3%	0.0%	5.6%	2.5%	0.2%
IV Percentile	1.7%	0.0%	7.1%	2.4%	0.4%
Term Structure	1.5%	-0.5%	3.0%	-0.5%	2.5%
VWIV	22.8%	19.3%	26.1%	24.5%	19.3%
Skew 25d	4.6%	3.3%	5.7%	4.1%	3.8%
Skew 10d	10.4%	7.3%	13.3%	11.8%	11.2%
Call IV 25d	20.7%	18.5%	23.1%	22.7%	19.9%
Put IV 25d	25.3%	23.0%	27.5%	26.8%	23.7%
Bid-Ask Spread %	3.57	2.14	6.13	3.10	3.38
Gamma HHI	0.22	0.16	0.33	0.25	0.16
Net GEX	-92.8K	-12.9M	13.1M	-9.6M	-12.9M
Net DEX	-555.2M	-1.17B	-44.4M	-44.4M	-470.2M
Net VEX	-9.7M	-10.3M	-9.3M	-10.3M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.12	5.74	1.66	1.36
Total Volume	246,959.696	58,504	1,521,080	133,115	151,373
Total OI	5,800,700.087	4,639,532	6,755,946	5,905,071	5,051,528

Daily Data (23 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
2010-03-01	$11.96	$11.37	23.0%	6.6%	24.3%	2.5%	24.5%	4.1%	-0.5%	-9.6M	-44.4M	-10.3M	1.66	3.10	49,997	83,118	2,255,229	3,649,842
2010-03-02	$12.00	$11.37	22.4%	6.4%	23.7%	1.8%	23.8%	3.3%	0.0%	-6.3M	-119.1M	-10.0M	1.25	2.45	53,669	67,279	2,249,561	3,635,500
2010-03-03	$12.01	$11.37	21.0%	6.0%	23.5%	0.2%	23.6%	4.0%	1.3%	-4.1M	-143.9M	-9.9M	2.41	2.48	41,833	100,953	2,261,624	3,663,223
2010-03-04	$12.13	$11.37	20.4%	5.9%	23.2%	0.0%	21.4%	4.7%	1.2%	2.1M	-302.9M	-9.9M	1.05	2.14	42,348	44,369	2,271,103	3,712,151
2010-03-05	$12.36	$12.19	21.6%	6.4%	16.6%	1.4%	24.5%	5.2%	1.6%	9.5M	-577.0M	-9.8M	1.76	3.28	107,193	188,710	2,271,090	3,698,336
2010-03-08	$12.39	$12.19	21.8%	6.6%	16.5%	1.6%	24.9%	5.3%	1.4%	8.5M	-598.1M	-9.7M	1.83	3.69	57,170	104,593	2,295,190	3,803,984
2010-03-09	$12.43	$12.19	22.7%	6.8%	13.6%	2.7%	22.0%	5.7%	0.6%	7.9M	-606.7M	-9.7M	2.67	3.52	102,057	272,237	2,263,243	3,853,303
2010-03-10	$12.57	$12.19	25.2%	7.2%	13.7%	5.6%	26.1%	5.0%	0.6%	7.7M	-698.1M	-10.0M	2.53	6.13	157,493	398,006	2,301,535	3,957,603
2010-03-11	$12.67	$12.19	22.1%	6.3%	13.7%	2.1%	24.7%	5.6%	1.0%	8.9M	-794.8M	-9.9M	2.98	4.30	58,309	173,612	2,326,415	4,125,919
2010-03-12	$12.62	$12.19	21.1%	6.0%	14.0%	0.8%	22.9%	4.6%	2.1%	8.6M	-823.3M	-9.9M	1.95	3.29	53,839	104,809	2,342,125	4,214,492
2010-03-15	$12.62	$12.19	21.4%	6.1%	14.1%	1.3%	24.9%	5.2%	1.8%	7.1M	-734.7M	-9.9M	1.66	3.23	47,299	78,517	2,335,259	4,246,419
2010-03-16	$12.78	$12.19	20.3%	5.8%	13.2%	0.0%	21.7%	4.4%	2.2%	12.6M	-964.9M	-9.7M	0.65	3.45	77,746	50,507	2,352,381	4,347,076
2010-03-17	$12.93	$12.19	20.6%	5.9%	13.4%	0.3%	22.1%	3.8%	2.3%	13.1M	-1.17B	-9.5M	0.60	3.44	129,488	77,154	2,358,427	4,362,627
2010-03-18	$12.86	$12.19	21.6%	6.2%	13.9%	1.6%	22.4%	3.8%	1.1%	7.0M	-1.06B	-9.3M	0.12	3.98	1,359,552	161,528	2,353,572	4,402,374
2010-03-19	$12.75	$12.19	21.8%	6.3%	14.8%	1.9%	25.1%	5.6%	1.7%	-8.0M	-153.8M	-9.7M	1.91	4.53	69,982	133,932	1,941,457	4,529,185
2010-03-22	$12.81	$12.19	20.4%	5.8%	14.4%	0.1%	23.4%	5.7%	1.5%	-8.3M	-382.9M	-9.6M	1.56	3.53	88,215	138,017	1,629,147	3,010,385
2010-03-23	$12.92	$12.19	19.7%	5.6%	11.8%	0.0%	21.0%	5.1%	1.5%	-7.0M	-491.6M	-9.5M	1.45	3.83	50,749	73,627	1,674,801	3,084,304
2010-03-24	$12.92	$12.19	20.1%	5.8%	10.9%	0.5%	21.4%	3.5%	1.3%	-6.6M	-488.9M	-9.7M	1.74	4.08	40,931	71,282	1,686,119	3,121,583
2010-03-25	$12.98	$12.19	19.0%	5.4%	10.6%	0.0%	19.4%	4.5%	2.7%	-5.3M	-565.5M	-9.5M	0.91	4.14	126,830	115,540	1,700,890	3,140,773
2010-03-26	$13.00	$13.00	20.7%	5.9%	10.7%	2.2%	21.4%	5.4%	3.0%	-9.1M	-513.5M	-9.8M	1.35	3.16	46,494	62,804	1,749,991	3,201,726
2010-03-29	$13.01	$13.00	20.0%	5.7%	10.7%	1.3%	21.0%	3.9%	2.1%	-7.7M	-580.9M	-9.4M	1.23	3.04	26,217	32,287	1,762,478	3,233,257
2010-03-30	$12.93	$13.00	20.3%	5.8%	11.3%	1.7%	22.7%	3.8%	2.1%	-10.0M	-483.3M	-9.6M	5.74	3.85	30,920	177,488	1,767,262	3,221,613
2010-03-31	$12.96	$13.00	19.2%	5.5%	11.3%	0.2%	19.3%	3.8%	2.5%	-12.9M	-470.2M	-9.7M	1.36	3.38	64,218	87,155	1,781,754	3,269,774