XLF Options History — October 2010

In October 2010, XLF traded between $11.66 and $12.07. ATM implied volatility averaged 23.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.5% (HV 20d: 19.9%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2010-10-13: Highest Volume — 443,039 contracts
  • 2010-10-04: Largest IV spike — 47.7% change
  • 2010-10-04: Highest IV Rank — 33.6%
  • 2010-10-15: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.87$11.66$12.07$11.78$11.83
Max Pain$12.15$11.37$12.19$11.37$12.19
ATM IV23.4%18.7%29.3%19.8%23.5%
Expected Move6.9%5.9%8.2%7.2%6.1%
HV 20d19.9%16.7%22.7%22.7%16.7%
HV 60d23.0%21.8%24.8%24.5%21.8%
IV Rank16.5%2.7%33.6%5.9%16.8%
IV Percentile21.1%0.8%53.2%2.8%23.4%
Term Structure1.4%0.4%3.4%3.4%2.1%
VWIV25.5%22.1%29.9%22.1%22.1%
Skew 25d5.1%2.9%8.1%3.7%4.0%
Skew 10d10.2%3.1%18.8%3.1%9.1%
Call IV 25d23.0%20.6%25.0%21.6%21.5%
Put IV 25d28.0%24.6%32.0%25.3%25.4%
Bid-Ask Spread %17.293.2539.533.7517.13
Gamma HHI0.250.210.410.220.25
Net GEX-6.3M-22.7M51.1M-19.3M-11.9M
Net DEX209.3M-116.2M428.8M380.7M252.8M
Net VEX-9.2M-9.7M-8.3M-9.3M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.164.470.500.16
Total Volume226,956.61991,950443,039326,631377,772
Total OI6,063,369.3815,623,0226,426,2625,623,0226,426,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$11.78$11.3719.8%7.2%22.7%5.9%22.1%3.7%3.4%-19.3M380.7M-9.3M0.503.75217,913108,7182,106,3953,516,627
2010-10-04$11.70$12.1929.3%7.9%21.6%33.6%26.3%5.2%1.6%-15.0M322.4M-9.3M0.453.2590,07540,3212,243,7713,461,370
2010-10-05$11.97$12.1926.2%7.3%21.4%24.4%25.8%4.2%0.5%-4.1M71.5M-9.2M0.564.18151,78485,7502,286,5013,395,020
2010-10-06$11.96$12.1922.3%7.0%21.2%13.1%24.5%5.4%0.6%5.6M13.3M-9.6M0.983.3065,44564,2452,392,7443,452,507
2010-10-07$11.91$12.1921.9%7.2%20.8%12.1%29.9%4.0%0.6%4.6M59.9M-9.4M1.237.3281,347100,2282,412,7083,457,600
2010-10-08$11.94$12.1921.1%7.0%20.9%9.8%26.7%4.9%0.8%1.5M66.3M-9.4M1.074.6863,33967,9932,467,8843,527,458
2010-10-11$11.93$12.1923.6%7.0%19.4%16.9%25.3%4.3%1.2%5.3M16.9M-9.4M0.493.9461,62630,3242,483,4433,547,003
2010-10-12$12.06$12.1929.2%7.2%19.6%33.3%27.8%2.9%0.6%11.1M-108.1M-9.4M0.774.35221,362171,2432,513,8203,566,592
2010-10-13$12.07$12.1918.7%6.9%19.6%2.7%24.6%5.3%1.3%51.1M-116.2M-9.7M0.2725.51350,12192,9182,632,9803,710,250
2010-10-14$11.86$12.1925.8%7.4%20.6%23.3%29.3%7.1%0.4%517.5K213.7M-9.5M1.9228.10131,900253,2012,596,7303,678,837
2010-10-15$11.66$12.1928.5%8.2%21.3%31.4%27.7%7.5%0.6%-22.7M428.8M-9.3M1.2737.6489,420113,1892,609,2233,797,101
2010-10-18$11.92$12.1921.8%6.2%21.7%11.6%23.0%5.5%2.7%-11.0M250.5M-9.2M1.9239.53111,614214,0202,374,2703,514,255
2010-10-19$11.75$12.1928.4%8.1%22.0%31.0%26.8%8.1%0.9%-13.4M343.2M-9.3M4.4731.1537,424167,2152,437,4613,568,760
2010-10-20$11.87$12.1923.4%6.7%21.5%16.4%25.8%5.2%0.5%-14.2M291.9M-9.1M1.1529.6489,846103,1132,440,0453,665,833
2010-10-21$11.87$12.1923.0%6.6%20.2%15.2%27.9%5.2%1.3%-14.1M324.2M-9.3M3.8429.9528,931111,0672,485,1453,674,112
2010-10-22$11.86$12.1920.8%5.9%17.9%8.6%28.0%5.7%1.6%-16.1M292.1M-9.0M3.5529.5645,554161,8732,454,5253,701,809
2010-10-25$11.82$12.1921.6%6.2%17.5%11.0%23.4%5.1%2.3%-21.0M374.1M-8.6M0.9517.6584,13879,8722,410,9113,719,625
2010-10-26$11.84$12.1921.5%6.2%17.5%10.7%23.3%5.6%1.7%-15.9M330.0M-8.6M1.5429.5163,74798,2662,434,8393,656,352
2010-10-27$11.84$12.1920.9%6.0%17.2%9.0%22.7%4.1%2.4%-17.6M319.5M-8.5M0.756.9191,92468,5772,478,4603,726,398
2010-10-28$11.84$12.1920.9%6.0%17.2%9.0%22.9%3.6%1.8%-16.0M267.9M-8.3M0.226.05146,48032,1942,551,8033,753,328
2010-10-29$11.83$12.1923.5%6.1%16.7%16.8%22.1%4.0%2.1%-11.9M252.8M-8.8M0.1617.13326,19851,5742,664,2373,762,025