XLF Options History — June 2010

In June 2010, XLF traded between $11.22 and $12.05. ATM implied volatility averaged 35.5%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 3.1% (HV 20d: 38.6%). Max pain ranged from $12.19 to $13.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.45.

Notable Days

2010-06-24: Highest Volume — 783,575 contracts
2010-06-28: Largest IV spike — 58.7% change
2010-06-30: Highest IV Rank — 77.8%
2010-06-01: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.74	$11.22	$12.05	$11.67	$11.22
Max Pain	$12.30	$12.19	$13.00	$13.00	$12.19
ATM IV	35.5%	25.9%	47.8%	44.1%	47.8%
Expected Move	9.7%	7.6%	12.6%	12.6%	9.9%
HV 20d	38.6%	30.3%	44.7%	43.4%	30.3%
HV 60d	33.1%	30.5%	34.9%	30.5%	34.8%
IV Rank	45.4%	20.0%	77.8%	68.0%	77.8%
IV Percentile	62.9%	21.8%	97.6%	91.7%	97.6%
Term Structure	0.6%	-2.1%	3.2%	-2.1%	0.9%
VWIV	36.4%	29.5%	43.9%	43.3%	38.1%
Skew 25d	8.5%	4.2%	14.2%	9.2%	8.7%
Skew 10d	17.5%	8.6%	28.3%	16.9%	17.0%
Call IV 25d	31.4%	25.4%	38.6%	38.6%	33.9%
Put IV 25d	39.9%	30.8%	51.1%	47.8%	42.6%
Bid-Ask Spread %	5.18	2.96	10.80	3.27	3.76
Gamma HHI	0.24	0.18	0.28	0.20	0.26
Net GEX	-57.7M	-79.8M	-27.9M	-61.7M	-56.6M
Net DEX	1.37B	528.2M	2.37B	1.63B	1.42B
Net VEX	-12.7M	-13.8M	-11.8M	-13.8M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.45	0.41	13.86	3.73	5.32
Total Volume	318,192.727	133,216	783,575	155,269	252,075
Total OI	7,381,253.909	5,354,991	8,589,665	7,897,539	6,454,397

Daily Data (22 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
2010-06-01	$11.67	$13.00	44.1%	12.6%	43.4%	68.0%	43.3%	9.2%	-2.1%	-61.7M	1.63B	-13.8M	3.73	3.27	32,836	122,433	2,633,781	5,263,758
2010-06-02	$12.04	$13.00	34.9%	10.0%	44.6%	43.8%	40.0%	9.8%	-1.7%	-66.0M	1.36B	-13.8M	1.66	3.09	62,616	104,145	2,649,319	5,349,382
2010-06-03	$11.97	$13.00	34.2%	9.8%	44.6%	41.9%	39.2%	10.8%	-0.6%	-67.8M	1.46B	-13.6M	3.60	3.22	85,855	309,091	2,632,683	5,362,266
2010-06-04	$11.49	$12.19	44.0%	11.9%	44.4%	67.9%	43.9%	14.2%	-1.7%	-73.5M	1.96B	-13.6M	9.40	7.70	37,643	353,686	2,678,135	5,503,593
2010-06-07	$11.27	$12.19	42.8%	12.1%	44.7%	64.5%	42.4%	13.7%	-1.8%	-76.8M	2.37B	-12.8M	2.57	4.55	61,112	157,089	2,683,213	5,582,469
2010-06-08	$11.50	$12.19	36.9%	11.1%	40.2%	49.0%	42.8%	11.8%	-0.2%	-79.8M	2.06B	-12.6M	7.55	5.69	59,411	448,659	2,694,111	5,473,625
2010-06-09	$11.38	$12.19	40.5%	11.5%	40.3%	58.5%	40.9%	11.6%	-0.6%	-68.4M	2.07B	-12.6M	1.60	5.50	77,139	123,439	2,718,581	5,459,816
2010-06-10	$11.75	$12.19	38.6%	11.1%	42.1%	53.5%	38.7%	10.3%	0.6%	-68.0M	1.64B	-12.9M	1.51	8.02	131,479	198,394	2,755,208	5,435,613
2010-06-11	$11.79	$12.19	32.5%	9.3%	41.9%	37.4%	42.5%	10.3%	1.4%	-67.0M	1.67B	-12.9M	3.09	5.57	35,322	109,113	2,796,086	5,527,391
2010-06-14	$11.74	$12.19	36.5%	10.5%	41.1%	47.9%	38.4%	9.5%	0.6%	-67.0M	1.67B	-12.5M	2.47	6.68	97,696	240,931	2,811,309	5,540,367
2010-06-15	$12.01	$12.19	30.3%	8.7%	42.1%	31.8%	30.9%	7.3%	0.9%	-68.5M	1.29B	-12.6M	2.52	6.10	152,466	383,615	2,857,613	5,573,041
2010-06-16	$12.02	$12.19	30.8%	8.8%	40.9%	32.9%	31.9%	6.9%	0.9%	-68.6M	1.28B	-12.8M	0.50	5.14	186,357	93,897	2,906,618	5,683,047
2010-06-17	$12.01	$12.19	29.2%	8.4%	40.9%	28.8%	32.3%	6.6%	1.4%	-60.7M	1.26B	-12.4M	0.41	4.23	315,366	128,648	2,929,995	5,503,930
2010-06-18	$12.05	$12.19	26.3%	7.6%	36.9%	21.2%	29.5%	5.5%	2.3%	-51.8M	1.43B	-12.0M	1.32	4.87	117,517	154,731	2,836,837	5,535,621
2010-06-21	$12.03	$12.19	26.8%	7.7%	34.7%	22.5%	30.0%	6.0%	1.8%	-27.9M	528.2M	-11.8M	2.00	10.80	101,244	202,967	1,955,199	3,399,792
2010-06-22	$11.84	$12.19	28.5%	8.2%	33.6%	26.9%	30.2%	4.2%	1.6%	-30.2M	621.0M	-12.0M	0.98	4.24	83,421	81,641	1,975,471	3,440,517
2010-06-23	$11.79	$12.19	28.3%	8.1%	33.5%	26.5%	32.2%	5.1%	1.7%	-31.4M	673.2M	-12.1M	3.53	3.70	59,712	210,789	2,029,209	3,482,815
2010-06-24	$11.58	$12.19	33.3%	9.5%	34.0%	39.5%	33.4%	7.0%	1.8%	-36.9M	870.3M	-12.2M	13.86	3.59	52,720	730,855	2,050,176	3,634,763
2010-06-25	$11.89	$12.19	25.9%	7.7%	31.5%	20.0%	31.2%	5.7%	3.2%	-44.8M	783.5M	-13.0M	1.66	2.96	83,360	138,719	2,055,635	4,086,618
2010-06-28	$11.78	$12.19	41.1%	9.0%	30.7%	60.2%	30.0%	6.0%	1.3%	-46.0M	906.8M	-12.8M	1.02	4.50	66,016	67,200	2,099,933	4,102,166
2010-06-29	$11.36	$12.19	47.8%	10.0%	32.5%	77.7%	38.6%	6.8%	1.2%	-49.4M	1.26B	-12.6M	5.65	6.81	73,528	415,307	2,131,410	4,112,077
2010-06-30	$11.22	$12.19	47.8%	9.9%	30.3%	77.8%	38.1%	8.7%	0.9%	-56.6M	1.42B	-12.7M	5.32	3.76	39,889	212,186	2,159,417	4,294,980