XLF Options History — April 2010

In April 2010, XLF traded between $12.97 and $13.85. ATM implied volatility averaged 23.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.4% (HV 20d: 16.1%). Max pain ranged from $13.00 to $13.81. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2010-04-19: Highest Volume — 1,332,942 contracts
  • 2010-04-27: Largest IV spike — 23.0% change
  • 2010-04-30: Highest IV Rank — 21.8%
  • 2010-04-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.40$12.97$13.85$13.06$13.13
Max Pain$13.04$13.00$13.81$13.00$13.00
ATM IV23.5%18.3%30.3%18.3%30.3%
Expected Move6.8%5.2%8.7%5.2%8.7%
HV 20d16.1%9.7%26.9%11.2%26.9%
HV 60d20.3%18.8%21.7%20.8%21.3%
IV Rank8.7%0.0%21.8%0.0%21.8%
IV Percentile15.4%0.0%41.3%0.0%41.3%
Term Structure0.7%-0.5%2.9%2.9%0.4%
VWIV25.4%18.5%32.1%18.5%32.1%
Skew 25d6.0%4.2%9.0%4.6%8.5%
Skew 10d12.2%8.1%18.1%11.0%18.1%
Call IV 25d22.1%18.8%28.8%18.8%26.5%
Put IV 25d28.1%23.5%35.0%23.5%35.0%
Bid-Ask Spread %4.573.247.944.017.94
Gamma HHI0.240.150.410.160.26
Net GEX-25.8M-90.8M24.6M-8.4M-82.1M
Net DEX-467.8M-1.28B829.3M-613.5M519.1M
Net VEX-12.1M-15.9M-9.2M-9.7M-15.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.663.542.252.57
Total Volume455,291.57143,5801,332,94261,875442,646
Total OI6,314,998.4295,122,5888,158,8475,122,5887,926,105

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$13.06$13.0018.3%5.2%11.2%0.0%18.5%4.6%2.9%-8.4M-613.5M-9.7M2.254.0119,01342,8621,831,9883,290,600
2010-04-05$13.19$13.0019.1%6.0%9.9%1.2%21.4%4.7%1.5%-5.8M-718.8M-9.5M1.284.0019,12624,4541,836,1093,291,131
2010-04-06$13.33$13.0020.3%6.3%10.2%3.1%21.0%5.0%0.6%-2.0M-860.5M-9.2M1.444.2372,513104,7471,835,5763,296,270
2010-04-07$13.28$13.0023.0%6.6%10.5%7.2%22.7%4.2%1.0%-4.2M-793.4M-9.5M1.335.05108,743144,8421,859,4813,353,349
2010-04-08$13.39$13.0022.7%6.7%10.3%6.7%24.5%5.3%0.3%-2.0M-846.6M-9.6M2.524.0057,464144,6381,859,4813,353,349
2010-04-09$13.44$13.0018.8%5.8%10.1%0.7%21.2%4.9%0.8%3.1M-930.3M-9.5M1.344.26102,087136,9111,931,7483,461,539
2010-04-12$13.49$13.0021.9%6.0%9.8%5.5%21.6%4.7%0.1%4.9M-929.7M-10.2M0.663.24101,46366,9842,001,5413,544,623
2010-04-13$13.50$13.0023.2%6.1%9.7%7.5%24.2%5.4%0.2%6.4M-958.4M-9.9M2.133.3762,875133,6052,025,7533,571,157
2010-04-14$13.85$13.0021.2%6.5%12.2%4.4%23.3%5.3%-0.5%21.4M-1.28B-9.4M1.113.25198,374220,5112,045,6173,648,785
2010-04-15$13.79$13.0023.1%6.6%12.1%7.7%23.7%4.5%-0.1%24.6M-1.20B-10.0M2.004.67118,965237,5692,076,1803,746,082
2010-04-16$13.29$13.8128.4%8.2%18.6%16.2%29.9%9.0%-0.1%-18.1M-451.3M-11.8M3.005.21284,360852,9512,074,7433,874,501
2010-04-19$13.42$13.0023.6%6.8%18.4%8.5%27.9%7.2%1.0%-17.6M-469.6M-11.9M3.464.27299,0001,033,9421,938,5423,562,408
2010-04-20$13.60$13.0022.9%6.6%18.8%7.4%26.5%6.3%0.8%-29.8M-506.3M-13.0M1.675.72143,213239,1372,135,2404,301,475
2010-04-21$13.52$13.0022.6%6.5%18.9%7.2%25.0%6.2%2.0%-38.2M-324.4M-13.9M3.043.80171,737522,0172,214,1784,463,073
2010-04-22$13.59$13.0022.6%6.5%18.9%7.2%28.3%6.8%0.7%-49.5M-277.1M-14.2M3.543.96187,671664,3612,223,7664,895,161
2010-04-23$13.63$13.0023.3%6.7%18.9%8.6%25.2%6.1%1.0%-53.1M-357.6M-14.7M1.293.26110,909143,2822,355,0845,197,878
2010-04-26$13.42$13.0024.4%7.0%20.0%10.5%28.9%7.8%0.5%-63.9M609.1K-15.0M2.345.0870,595165,2642,407,3855,233,324
2010-04-27$12.97$13.0030.0%8.6%23.7%20.1%30.8%5.1%-0.1%-90.8M829.3M-15.8M2.965.63207,276613,7692,409,3015,307,159
2010-04-28$13.15$13.0029.7%8.5%24.2%19.6%29.9%7.3%0.6%-81.9M460.3M-15.9M3.335.87137,058456,2652,550,0215,526,417
2010-04-29$13.45$13.0024.8%7.1%25.4%11.7%27.0%7.3%0.6%-55.3M-117.3M-15.4M1.095.13333,773364,1512,616,6995,542,148
2010-04-30$13.13$13.0030.3%8.7%26.9%21.8%32.1%8.5%0.4%-82.1M519.1M-15.7M2.577.94124,092318,5542,501,1755,424,930