XLF Options History — May 2010

In May 2010, XLF traded between $11.57 and $13.38. ATM implied volatility averaged 38.0%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.7% (HV 20d: 37.3%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.49.

Notable Days

2010-05-07: Highest Volume — 1,372,726 contracts
2010-05-10: Largest IV drop — 28.9% change
2010-05-20: Highest IV Rank — 88.8%
2010-05-20: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.38	$11.57	$13.38	$13.38	$11.93
Max Pain	$13.00	$13.00	$13.00	$13.00	$13.00
ATM IV	38.0%	29.4%	52.0%	29.4%	36.2%
Expected Move	10.9%	8.4%	14.9%	8.4%	10.4%
HV 20d	37.3%	27.5%	44.1%	27.5%	44.0%
HV 60d	25.2%	19.3%	30.5%	19.3%	30.5%
IV Rank	46.5%	20.1%	88.8%	20.1%	47.3%
IV Percentile	71.9%	35.3%	99.6%	35.3%	73.4%
Term Structure	-1.5%	-6.0%	0.4%	0.4%	-1.9%
VWIV	40.1%	31.0%	54.4%	31.0%	39.7%
Skew 25d	12.7%	6.7%	21.3%	6.7%	10.7%
Skew 10d	25.8%	9.6%	48.6%	9.6%	20.7%
Call IV 25d	32.8%	24.0%	43.0%	24.0%	33.1%
Put IV 25d	45.4%	30.8%	64.3%	30.8%	43.9%
Bid-Ask Spread %	7.79	2.89	22.23	3.59	3.48
Gamma HHI	0.25	0.19	0.35	0.26	0.20
Net GEX	-91.1M	-123.2M	-61.5M	-75.0M	-62.6M
Net DEX	1.42B	99.9M	2.72B	99.9M	1.43B
Net VEX	-15.3M	-16.7M	-14.1M	-15.3M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.49	1.31	8.05	2.59	1.32
Total Volume	594,135.95	241,949	1,372,726	324,419	241,949
Total OI	8,252,616.95	7,600,368	8,969,620	8,129,242	8,023,218

Daily Data (20 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
2010-05-03	$13.38	$13.00	29.4%	8.4%	27.5%	20.1%	31.0%	6.7%	0.4%	-75.0M	99.9M	-15.3M	2.59	3.59	90,438	233,981	2,558,627	5,570,615
2010-05-04	$13.01	$13.00	32.2%	9.2%	29.0%	25.2%	33.7%	7.1%	-0.6%	-90.1M	733.1M	-15.8M	3.49	5.57	147,111	512,851	2,501,772	5,475,149
2010-05-05	$12.94	$13.00	33.1%	9.5%	29.1%	26.8%	34.0%	7.4%	0.2%	-109.0M	1.01B	-16.3M	2.54	4.25	128,530	326,723	2,548,571	5,769,850
2010-05-06	$12.40	$13.00	38.4%	11.0%	32.3%	36.4%	38.0%	10.7%	-1.4%	-104.5M	1.70B	-15.9M	5.04	22.23	157,354	793,732	2,578,130	5,587,124
2010-05-07	$12.26	$13.00	45.9%	12.4%	32.3%	50.8%	43.6%	13.0%	-1.4%	-92.0M	1.88B	-16.7M	2.87	8.66	354,967	1,017,759	2,627,066	5,761,705
2010-05-10	$12.94	$13.00	32.6%	9.7%	38.4%	26.4%	37.0%	12.3%	-0.1%	-89.1M	808.2M	-16.3M	2.26	7.60	204,403	462,190	2,739,770	5,696,633
2010-05-11	$12.89	$13.00	32.8%	10.0%	38.4%	26.7%	36.4%	11.6%	-1.0%	-90.8M	811.3M	-16.1M	3.95	5.98	63,917	252,758	2,763,368	5,652,210
2010-05-12	$13.04	$13.00	29.9%	9.1%	37.3%	23.2%	33.7%	10.6%	-0.1%	-85.7M	475.9M	-15.4M	2.38	3.40	78,167	185,858	2,707,447	5,558,509
2010-05-13	$12.80	$13.00	32.6%	9.3%	37.7%	28.6%	34.2%	10.4%	-1.1%	-95.4M	825.5M	-15.1M	8.05	5.48	35,939	289,472	2,716,723	5,459,321
2010-05-14	$12.47	$13.00	38.7%	11.1%	36.6%	53.8%	40.4%	13.7%	-2.9%	-108.4M	1.55B	-15.6M	7.58	6.23	75,097	569,459	2,715,522	5,631,005
2010-05-17	$12.48	$13.00	37.8%	10.8%	36.4%	51.5%	36.2%	12.8%	-1.4%	-123.2M	1.57B	-14.7M	2.38	15.05	211,377	504,040	2,715,469	5,630,946
2010-05-18	$12.12	$13.00	41.8%	12.0%	36.9%	62.0%	47.1%	18.0%	-3.0%	-116.3M	2.11B	-15.5M	2.71	5.13	146,563	397,569	2,810,613	5,906,088
2010-05-19	$12.14	$13.00	40.5%	11.6%	36.9%	58.5%	45.1%	16.9%	-1.5%	-112.6M	2.01B	-15.3M	4.98	5.86	145,971	727,458	2,797,433	5,880,215
2010-05-20	$11.57	$13.00	52.0%	14.9%	39.6%	88.8%	54.4%	21.3%	-6.0%	-91.0M	2.72B	-14.9M	3.77	4.95	175,078	660,242	2,846,994	6,007,664
2010-05-21	$11.98	$13.00	40.2%	11.5%	42.4%	57.6%	50.3%	20.4%	-0.4%	-118.4M	2.33B	-15.3M	3.31	17.44	134,148	444,523	2,865,411	6,104,209
2010-05-24	$11.64	$13.00	46.8%	13.4%	43.0%	75.2%	49.0%	17.6%	-2.4%	-62.0M	1.83B	-14.6M	2.47	3.63	91,637	226,125	2,412,513	5,187,855
2010-05-25	$11.75	$13.00	45.0%	12.9%	42.1%	70.3%	43.7%	13.3%	-2.3%	-68.0M	1.74B	-14.2M	4.75	3.24	134,815	640,076	2,429,020	5,217,808
2010-05-26	$11.67	$13.00	39.8%	11.4%	41.5%	56.7%	38.9%	11.2%	-1.2%	-66.8M	1.70B	-14.1M	1.98	21.21	170,780	337,671	2,474,880	5,235,431
2010-05-27	$12.19	$13.00	34.8%	10.0%	44.1%	43.4%	36.1%	7.3%	-2.2%	-61.5M	1.10B	-14.4M	1.31	2.89	221,473	290,518	2,584,652	5,302,803
2010-05-28	$11.93	$13.00	36.2%	10.4%	44.0%	47.3%	39.7%	10.7%	-1.9%	-62.6M	1.43B	-14.5M	1.32	3.48	104,189	137,760	2,651,743	5,371,475