XLF Options History — November 2010

In November 2010, XLF traded between $11.71 and $12.66. ATM implied volatility averaged 25.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.2% (HV 20d: 20.2%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2010-11-04: Highest Volume — 895,588 contracts
  • 2010-11-05: Largest IV spike — 47.4% change
  • 2010-11-30: Highest IV Rank — 44.1%
  • 2010-11-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.07$11.71$12.66$11.83$11.75
Max Pain$12.19$12.19$12.19$12.19$12.19
ATM IV25.4%16.6%32.2%25.0%32.2%
Expected Move7.1%5.9%8.7%6.5%8.7%
HV 20d20.2%14.4%23.4%16.5%23.4%
HV 60d21.8%20.4%22.4%21.8%20.4%
IV Rank24.7%0.0%44.1%21.0%44.1%
IV Percentile37.2%0.0%82.5%29.4%82.5%
Term Structure0.9%-2.1%2.6%0.6%-2.1%
VWIV25.3%21.4%29.4%25.0%29.4%
Skew 25d3.9%1.8%6.8%5.4%4.5%
Skew 10d8.0%-1.9%12.6%10.5%6.9%
Call IV 25d23.8%17.3%27.4%22.9%27.4%
Put IV 25d27.6%24.2%31.9%28.3%31.9%
Bid-Ask Spread %18.713.6066.569.334.53
Gamma HHI0.240.210.320.240.23
Net GEX28.1M-6.5M76.3M-6.5M1.1M
Net DEX-280.2M-1.37B336.9M241.6M217.9M
Net VEX-9.4M-10.5M-8.1M-9.1M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.145.551.031.65
Total Volume261,504.28634,777895,588153,633162,467
Total OI7,620,168.196,711,0458,210,8846,711,0457,805,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$11.83$12.1925.0%6.5%16.5%21.0%25.0%5.4%0.6%-6.5M241.6M-9.1M1.039.3375,61078,0232,946,5413,764,504
2010-11-02$11.86$12.1924.7%6.5%14.4%20.3%24.6%5.0%1.1%-4.6M182.9M-9.2M0.5116.0284,93943,6802,965,9843,786,965
2010-11-03$11.97$12.1925.6%5.9%14.8%22.8%21.4%6.8%2.6%9.9M-94.0M-9.1M0.3626.44214,60378,3163,015,1413,791,700
2010-11-04$12.37$12.1916.6%6.2%18.7%0.0%21.6%3.3%2.1%36.6M-675.3M-9.4M0.1466.56783,187112,4013,087,4143,805,414
2010-11-05$12.66$12.1924.4%6.8%20.1%22.2%23.9%2.3%0.7%58.5M-1.37B-9.7M0.2950.85590,649170,4873,570,7333,804,311
2010-11-08$12.56$12.1929.3%7.3%20.4%35.9%24.3%3.4%0.8%67.9M-1.16B-10.4M0.4227.55248,248105,3333,785,4783,876,973
2010-11-09$12.32$12.1931.7%7.5%21.5%42.9%26.3%3.8%0.9%47.7M-760.7M-10.5M1.1519.80115,062132,6003,867,6573,917,009
2010-11-10$12.46$12.1924.1%7.1%21.8%21.5%24.7%3.6%1.2%60.5M-1.01B-10.5M0.5613.31132,15573,5783,895,7893,941,764
2010-11-11$12.34$12.1925.8%7.4%21.0%26.2%25.8%4.1%0.5%51.7M-800.4M-10.3M1.8412.9852,21296,1723,913,8973,957,595
2010-11-12$12.14$12.1925.9%7.4%20.9%26.5%27.2%2.0%1.4%34.6M-389.9M-10.4M1.3219.6479,624105,0383,929,5594,034,216
2010-11-15$12.19$12.1924.7%7.1%19.6%23.1%24.8%3.2%1.7%46.5M-532.9M-10.0M0.515.1185,67643,9873,926,3004,022,999
2010-11-16$11.99$12.1926.4%7.6%19.9%27.7%28.7%3.5%1.7%20.2M-120.8M-9.7M1.7929.6887,623157,0413,940,5494,040,313
2010-11-17$11.91$12.1925.8%7.4%19.8%26.2%27.0%3.4%1.6%15.1M47.9M-9.5M0.183.84174,88731,9083,957,9254,084,124
2010-11-18$12.07$12.1923.8%6.8%20.4%20.3%25.2%3.3%1.6%76.3M-350.7M-9.7M2.0534.8865,920135,1814,095,5224,033,083
2010-11-19$12.06$12.1922.4%6.4%20.4%16.4%23.6%2.7%2.4%33.3M-128.8M-9.5M0.296.79193,51655,4344,100,2444,110,640
2010-11-22$11.89$12.1923.9%6.8%21.0%20.6%24.6%1.8%0.7%18.7M4.2M-8.9M0.9521.11144,771137,3323,845,5653,714,358
2010-11-23$11.71$12.1927.2%7.8%21.8%30.1%26.3%5.7%-0.3%3.3M292.8M-8.6M1.333.6046,94362,2733,892,1293,726,194
2010-11-24$11.88$12.1922.0%6.3%22.5%15.4%24.6%3.1%1.5%12.6M14.4M-8.7M2.504.1790,602226,8223,886,6793,736,805
2010-11-26$11.71$12.1927.5%7.9%23.1%30.9%27.0%5.5%-0.8%66.4K336.9M-8.5M5.5511.595,31129,4663,957,4463,782,749
2010-11-29$11.81$12.1925.2%6.9%23.3%24.3%26.2%4.5%-0.4%6.2M173.5M-8.1M1.145.1685,44697,0673,920,7633,784,577
2010-11-30$11.75$12.1932.2%8.7%23.4%44.1%29.4%4.5%-2.1%1.1M217.9M-8.5M1.654.5361,375101,0923,977,9283,827,996