XLF Options History — August 2010

In August 2010, XLF traded between $10.92 and $12.25. ATM implied volatility averaged 28.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.9% (HV 20d: 23.2%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.37.

Notable Days

2010-08-26: Highest Volume — 654,048 contracts
2010-08-30: Largest IV spike — 42.2% change
2010-08-30: Highest IV Rank — 55.3%
2010-08-26: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.51	$10.92	$12.25	$12.25	$11.01
Max Pain	$12.19	$12.19	$12.19	$12.19	$12.19
ATM IV	28.1%	20.5%	36.9%	29.0%	22.8%
Expected Move	7.9%	6.7%	9.2%	7.2%	7.9%
HV 20d	23.2%	19.4%	29.3%	28.7%	20.4%
HV 60d	30.3%	26.0%	34.4%	34.4%	26.0%
IV Rank	29.1%	6.6%	55.3%	31.6%	13.3%
IV Percentile	37.9%	5.2%	87.3%	37.3%	15.1%
Term Structure	3.4%	1.5%	5.4%	2.7%	2.8%
VWIV	28.8%	24.4%	31.7%	28.5%	29.9%
Skew 25d	5.6%	4.2%	7.2%	5.4%	5.0%
Skew 10d	12.9%	6.8%	17.4%	15.2%	9.9%
Call IV 25d	26.3%	23.4%	30.2%	25.0%	27.4%
Put IV 25d	31.9%	27.6%	34.8%	30.4%	32.4%
Bid-Ask Spread %	3.69	2.58	5.26	2.58	5.22
Gamma HHI	0.28	0.19	0.36	0.19	0.26
Net GEX	-46.6M	-69.2M	-22.9M	-24.2M	-43.1M
Net DEX	1.01B	218.2M	1.59B	218.2M	1.29B
Net VEX	-10.7M	-11.6M	-9.6M	-11.6M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.71	5.79	1.01	0.71
Total Volume	227,334.818	79,387	654,048	147,528	149,325
Total OI	6,864,925.318	6,372,092	7,524,807	6,372,092	6,746,310

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
2010-08-02	$12.25	$12.19	29.0%	7.2%	28.7%	31.6%	28.5%	5.4%	2.7%	-24.2M	218.2M	-11.6M	1.01	2.58	73,380	74,148	2,328,498	4,043,594
2010-08-03	$12.11	$12.19	28.9%	6.9%	29.3%	31.5%	26.2%	4.3%	3.6%	-26.3M	333.4M	-11.5M	1.99	3.12	68,781	136,753	2,351,144	4,081,133
2010-08-04	$12.16	$12.19	30.7%	6.9%	25.6%	36.7%	24.7%	4.2%	3.4%	-26.5M	292.3M	-11.3M	2.03	3.51	71,650	145,549	2,362,832	4,119,284
2010-08-05	$12.11	$12.19	25.9%	6.7%	25.6%	22.6%	24.4%	4.2%	2.5%	-25.0M	305.7M	-11.3M	0.74	2.83	169,139	125,637	2,388,796	4,123,643
2010-08-06	$12.01	$12.19	20.5%	7.1%	25.5%	6.6%	26.3%	5.4%	4.3%	-25.9M	436.4M	-11.3M	1.08	4.34	57,565	62,120	2,509,310	4,128,904
2010-08-09	$12.07	$12.19	22.7%	7.3%	25.5%	13.2%	27.6%	5.0%	3.9%	-22.9M	321.8M	-11.0M	4.33	3.04	14,896	64,491	2,491,838	4,124,618
2010-08-10	$11.97	$12.19	25.7%	7.4%	24.2%	22.0%	28.8%	6.1%	3.6%	-29.6M	505.7M	-10.9M	5.79	4.35	33,146	191,766	2,501,087	4,155,248
2010-08-11	$11.54	$12.19	31.5%	8.7%	27.2%	39.2%	30.8%	6.0%	3.1%	-46.6M	994.0M	-10.8M	4.10	4.36	71,187	291,925	2,503,868	4,266,751
2010-08-12	$11.46	$12.19	30.1%	8.6%	27.2%	35.1%	30.5%	6.4%	2.8%	-55.8M	1.13B	-10.5M	2.52	4.71	134,926	339,553	2,543,314	4,358,461
2010-08-13	$11.43	$12.19	30.1%	8.6%	22.6%	35.0%	31.1%	6.5%	3.7%	-60.7M	1.26B	-11.3M	1.50	3.56	56,089	84,305	2,665,441	4,607,682
2010-08-16	$11.40	$12.19	29.8%	8.6%	22.6%	34.3%	29.7%	5.9%	3.5%	-61.9M	1.25B	-10.8M	1.68	2.87	46,911	78,795	2,692,464	4,598,924
2010-08-17	$11.49	$12.19	29.3%	8.4%	22.5%	32.7%	30.4%	6.5%	3.7%	-59.7M	1.17B	-10.9M	4.14	4.16	21,027	87,008	2,723,053	4,628,819
2010-08-18	$11.54	$12.19	28.0%	8.0%	21.7%	28.8%	27.8%	5.1%	4.1%	-60.1M	1.02B	-10.6M	1.10	3.04	62,974	69,346	2,714,396	4,595,068
2010-08-19	$11.27	$12.19	29.3%	8.4%	20.6%	32.5%	31.7%	5.5%	4.2%	-69.2M	1.46B	-10.6M	5.19	2.70	61,529	319,310	2,746,319	4,607,250
2010-08-20	$11.23	$12.19	27.6%	7.9%	20.3%	27.4%	28.0%	6.8%	5.4%	-67.6M	1.59B	-10.6M	2.85	2.72	52,827	150,381	2,762,413	4,762,394
2010-08-23	$11.16	$12.19	27.4%	7.8%	19.4%	26.9%	28.0%	4.8%	2.8%	-57.1M	1.38B	-10.3M	1.55	3.18	56,110	86,749	2,468,787	4,262,095
2010-08-24	$10.97	$12.19	27.6%	7.9%	19.8%	27.7%	31.2%	7.2%	3.5%	-59.5M	1.59B	-10.1M	3.81	3.90	53,965	205,749	2,507,948	4,303,353
2010-08-25	$11.01	$12.19	26.3%	7.5%	19.9%	23.7%	29.8%	6.4%	3.4%	-59.6M	1.55B	-10.1M	1.80	3.13	92,057	165,565	2,531,795	4,351,029
2010-08-26	$10.92	$12.19	32.1%	9.2%	19.8%	41.1%	30.9%	4.6%	2.1%	-57.7M	1.55B	-10.0M	1.46	4.58	265,642	388,406	2,560,523	4,382,893
2010-08-27	$11.15	$12.19	26.0%	7.3%	21.8%	22.8%	27.6%	4.4%	3.1%	-41.0M	1.18B	-10.0M	1.29	5.26	103,909	133,531	2,564,332	4,143,765
2010-08-30	$10.92	$12.19	36.9%	9.2%	19.9%	55.3%	30.0%	6.8%	1.5%	-45.5M	1.41B	-9.7M	1.47	4.03	33,701	49,543	2,548,512	4,170,469
2010-08-31	$11.01	$12.19	22.8%	7.9%	20.4%	13.3%	29.9%	5.0%	2.8%	-43.1M	1.29B	-9.6M	0.71	5.22	87,317	62,008	2,569,223	4,177,087