XLF Options History — July 2010

In July 2010, XLF traded between $10.98 and $12.10. ATM implied volatility averaged 30.8%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.7% (HV 20d: 30.1%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.87.

Notable Days

2010-07-07: Highest Volume — 561,562 contracts
2010-07-23: Largest IV drop — 17.3% change
2010-07-14: Highest IV Rank — 50.9%
2010-07-06: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.68	$10.98	$12.10	$11.11	$11.95
Max Pain	$11.76	$11.37	$12.19	$12.19	$12.19
ATM IV	30.8%	25.5%	36.4%	36.4%	26.8%
Expected Move	8.6%	7.1%	10.1%	9.3%	7.1%
HV 20d	30.1%	26.6%	34.0%	30.4%	28.4%
HV 60d	35.7%	34.8%	36.4%	34.8%	35.1%
IV Rank	35.1%	21.4%	50.9%	47.6%	25.2%
IV Percentile	48.7%	20.6%	78.6%	78.6%	27.0%
Term Structure	1.4%	-0.6%	4.6%	3.3%	3.9%
VWIV	31.6%	26.3%	36.7%	35.9%	26.3%
Skew 25d	5.8%	3.3%	8.4%	7.5%	4.7%
Skew 10d	12.4%	8.9%	16.8%	16.8%	12.6%
Call IV 25d	28.9%	24.8%	33.4%	33.4%	24.8%
Put IV 25d	34.7%	29.5%	40.9%	40.9%	29.5%
Bid-Ask Spread %	3.95	2.48	6.54	3.22	2.90
Gamma HHI	0.24	0.20	0.43	0.27	0.21
Net GEX	-35.3M	-74.1M	-2.2M	-59.0M	-30.6M
Net DEX	764.3M	171.0M	1.68B	1.57B	504.3M
Net VEX	-12.3M	-13.1M	-11.7M	-12.5M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.24	5.05	5.05	1.08
Total Volume	258,854.333	47,957	561,562	475,231	47,957
Total OI	6,529,144.81	6,077,963	7,189,504	6,537,815	6,364,244

Daily Data (21 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
2010-07-01	$11.11	$12.19	36.4%	9.3%	30.4%	47.6%	35.9%	7.5%	3.3%	-59.0M	1.57B	-12.5M	5.05	3.22	78,518	396,713	2,168,643	4,369,172
2010-07-02	$10.98	$12.19	35.1%	8.3%	27.3%	44.2%	31.5%	6.2%	4.6%	-63.0M	1.68B	-12.0M	3.36	4.57	33,349	112,060	2,201,306	4,337,265
2010-07-06	$11.05	$12.19	36.2%	10.1%	26.6%	47.2%	36.6%	7.5%	0.2%	-62.0M	1.50B	-12.1M	2.43	5.37	147,250	358,322	2,204,316	4,303,883
2010-07-07	$11.54	$11.37	31.3%	9.5%	30.0%	34.1%	33.3%	5.2%	1.0%	-49.1M	923.3M	-12.3M	2.39	6.54	165,552	396,010	2,278,010	4,201,444
2010-07-08	$11.62	$11.37	30.4%	9.4%	29.8%	31.9%	32.2%	5.3%	1.0%	-48.7M	898.1M	-12.6M	0.76	3.38	94,229	71,296	2,367,789	4,317,846
2010-07-09	$11.79	$11.37	29.1%	8.8%	27.9%	28.6%	31.7%	4.7%	0.3%	-38.7M	630.6M	-12.6M	0.97	4.34	158,148	152,864	2,408,399	4,270,845
2010-07-12	$11.80	$11.37	33.6%	8.9%	27.9%	40.4%	31.8%	4.8%	-0.2%	-23.4M	550.5M	-12.8M	1.78	5.13	89,762	159,491	2,651,872	4,306,752
2010-07-13	$12.10	$11.37	33.7%	9.3%	29.2%	40.5%	33.9%	5.7%	-0.4%	-2.2M	171.0M	-12.9M	0.93	4.52	171,446	159,154	2,686,349	4,336,375
2010-07-14	$12.01	$12.19	35.4%	9.4%	28.1%	50.9%	36.7%	6.6%	-0.6%	-5.4M	315.8M	-13.1M	2.60	4.06	124,508	323,997	2,696,018	4,433,551
2010-07-15	$11.98	$12.19	30.6%	8.8%	28.1%	36.5%	32.9%	6.6%	0.7%	-5.6M	407.0M	-12.9M	1.04	3.70	133,621	138,996	2,717,975	4,419,242
2010-07-16	$11.48	$12.19	32.4%	9.3%	32.0%	41.8%	34.0%	8.4%	1.0%	-74.1M	999.1M	-12.3M	2.04	4.85	135,005	274,767	2,763,709	4,425,795
2010-07-19	$11.47	$12.19	31.8%	9.1%	31.9%	40.0%	32.8%	7.0%	0.9%	-36.0M	962.3M	-12.0M	0.98	4.57	100,399	98,391	2,227,385	3,850,578
2010-07-20	$11.59	$12.19	29.3%	8.4%	32.2%	32.6%	28.3%	8.4%	2.6%	-34.3M	825.5M	-12.0M	1.80	3.35	64,815	116,858	2,258,480	3,869,007
2010-07-21	$11.41	$11.37	29.6%	8.5%	32.2%	33.4%	30.1%	6.2%	1.5%	-39.2M	1.01B	-11.7M	1.50	3.14	43,542	65,329	2,253,067	3,918,919
2010-07-22	$11.74	$11.37	31.4%	9.0%	34.0%	38.7%	30.8%	3.3%	0.4%	-31.3M	652.2M	-12.1M	0.82	4.59	170,490	139,139	2,271,943	3,919,157
2010-07-23	$11.83	$11.37	25.9%	7.4%	33.4%	22.6%	27.4%	5.8%	1.6%	-29.4M	608.8M	-12.3M	0.24	3.12	127,651	30,949	2,309,235	3,934,941
2010-07-26	$11.99	$11.37	26.7%	7.7%	32.4%	24.9%	28.4%	4.3%	1.2%	-26.4M	432.4M	-12.0M	1.01	3.31	66,753	67,632	2,318,536	3,919,824
2010-07-27	$12.02	$11.37	27.7%	7.9%	32.2%	27.8%	29.6%	3.8%	1.2%	-24.3M	368.9M	-12.1M	1.16	2.76	68,473	79,662	2,319,027	3,922,220
2010-07-28	$11.92	$11.37	27.5%	7.9%	29.2%	27.3%	30.9%	5.3%	2.2%	-28.1M	512.9M	-12.0M	4.35	2.48	30,108	130,907	2,321,105	3,954,596
2010-07-29	$11.96	$12.19	25.5%	7.3%	28.7%	21.4%	27.8%	4.7%	3.4%	-30.8M	527.6M	-11.8M	3.05	3.11	27,597	84,231	2,316,864	3,996,357
2010-07-30	$11.95	$12.19	26.8%	7.1%	28.4%	25.2%	26.3%	4.7%	3.9%	-30.6M	504.3M	-11.8M	1.08	2.90	23,066	24,891	2,322,454	4,041,790