XLF Options History — September 2010

In September 2010, XLF traded between $11.44 and $12.10. ATM implied volatility averaged 26.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.1% (HV 20d: 26.1%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2010-09-16: Highest Volume — 1,100,006 contracts
  • 2010-09-07: Largest IV spike — 70.1% change
  • 2010-09-27: Highest IV Rank — 42.3%
  • 2010-09-08: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.78$11.44$12.10$11.44$11.65
Max Pain$11.68$11.37$12.19$12.19$11.37
ATM IV26.0%17.8%32.3%31.1%26.3%
Expected Move7.4%6.7%8.4%7.3%7.2%
HV 20d26.1%22.7%28.1%25.4%22.7%
HV 60d26.4%24.5%27.0%26.9%24.5%
IV Rank23.9%0.0%42.3%38.0%24.7%
IV Percentile30.4%0.0%73.8%60.3%33.3%
Term Structure2.0%-0.3%3.8%3.0%3.8%
VWIV26.7%24.4%31.6%25.7%24.5%
Skew 25d5.1%3.4%8.1%3.4%3.7%
Skew 10d11.9%8.1%18.8%12.8%11.2%
Call IV 25d24.2%20.7%26.9%25.1%23.5%
Put IV 25d29.3%27.1%32.3%28.5%27.2%
Bid-Ask Spread %5.813.3234.915.033.60
Gamma HHI0.220.190.260.250.22
Net GEX-18.3M-35.4M3.8M-35.4M-21.4M
Net DEX402.2M38.9M844.2M844.2M475.7M
Net VEX-9.6M-10.2M-9.3M-9.8M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.185.640.884.56
Total Volume212,380.71440,4451,100,006203,717167,472
Total OI6,392,604.2385,150,2787,368,1366,817,3555,585,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$11.44$12.1931.1%7.3%25.4%38.0%25.7%3.4%3.0%-35.4M844.2M-9.8M0.885.03108,43395,2842,638,4684,178,887
2010-09-02$11.55$12.1925.2%7.9%25.8%20.5%27.6%4.7%1.7%-28.9M659.4M-9.9M2.1734.9191,764199,0802,686,8984,168,757
2010-09-03$11.80$11.3717.8%7.3%26.9%0.0%26.1%5.7%1.7%-20.8M333.0M-10.0M0.334.19154,15851,5372,738,6084,256,648
2010-09-07$11.53$11.3730.3%8.4%27.9%36.6%31.6%5.4%0.9%-31.0M721.2M-9.8M5.643.8330,222170,3262,756,7574,214,406
2010-09-08$11.64$11.3729.2%8.4%28.1%33.3%27.6%6.1%-0.3%-28.1M590.8M-9.8M0.915.07172,052155,7832,762,5834,251,158
2010-09-09$11.79$11.3725.9%7.4%25.4%23.8%27.3%5.9%1.2%-24.0M422.1M-10.2M1.344.5682,317110,2982,864,0044,344,656
2010-09-10$11.80$11.3725.5%7.3%25.2%22.6%27.6%6.0%1.3%-20.9M388.5M-9.7M0.904.2773,08865,9032,861,6124,399,348
2010-09-13$12.06$11.3725.2%7.2%26.1%21.7%26.7%3.9%2.0%-6.0M38.9M-9.7M0.943.40146,255136,9822,871,2794,414,394
2010-09-14$11.95$11.3725.1%7.2%26.3%21.2%26.5%4.3%1.7%-13.0M217.1M-9.8M0.714.4642,94230,5002,931,0684,437,068
2010-09-15$11.99$11.3725.4%7.3%26.2%22.1%25.9%3.7%1.7%3.8M151.0M-9.6M1.413.9459,11983,0602,927,6654,429,060
2010-09-16$11.96$11.3724.3%7.0%26.3%19.1%28.0%5.0%2.6%-3.7M234.7M-9.4M0.184.26934,141165,8652,945,5904,400,372
2010-09-17$11.87$11.3724.3%7.0%24.8%18.9%25.4%4.5%3.3%-16.2M589.8M-9.5M3.094.0122,31968,9692,754,1474,501,037
2010-09-20$12.10$11.3723.9%6.9%25.4%18.0%24.4%5.3%2.0%-10.9M99.1M-9.5M2.596.2061,501159,2751,927,2393,223,039
2010-09-21$11.98$12.1925.2%7.2%25.6%21.6%27.0%5.9%1.1%-13.7M185.3M-9.3M1.295.7363,15281,7581,970,8253,315,017
2010-09-22$11.79$12.1924.5%7.0%25.5%19.5%27.1%5.5%1.9%-17.0M384.6M-9.6M0.773.5748,57837,2232,005,6083,367,268
2010-09-23$11.56$12.1928.3%8.1%26.8%30.8%28.0%5.6%1.6%-24.1M580.6M-9.5M1.114.0656,38262,5572,019,5283,377,037
2010-09-24$11.87$12.1924.2%6.7%27.8%18.8%26.2%8.1%2.4%-15.1M326.0M-9.6M2.823.3233,12493,4542,025,8993,364,774
2010-09-27$11.74$12.1932.3%8.1%27.5%42.3%27.0%5.8%1.6%-19.7M403.5M-9.4M0.655.4324,50415,9412,029,4063,370,302
2010-09-28$11.76$12.1926.1%7.6%26.0%24.2%24.9%5.2%2.3%-17.8M383.9M-9.3M1.164.8076,05588,0502,045,9103,373,330
2010-09-29$11.67$11.3726.4%7.4%26.2%25.1%25.1%3.7%3.4%-19.8M417.5M-9.4M0.613.4487,44953,1232,086,4583,422,851
2010-09-30$11.65$11.3726.3%7.2%22.7%24.7%24.5%3.7%3.8%-21.4M475.7M-9.4M4.563.6030,129137,3432,132,8633,452,865