XLF Options History — December 2010

In December 2010, XLF traded between $11.98 and $13.01. ATM implied volatility averaged 22.5%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.5% (HV 20d: 19.0%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2010-12-16: Highest Volume — 3,303,617 contracts
2010-12-14: Largest IV spike — 32.2% change
2010-12-14: Highest IV Rank — 41.2%
2010-12-02: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.67	$11.98	$13.01	$11.98	$12.96
Max Pain	$12.19	$12.19	$12.19	$12.19	$12.19
ATM IV	22.5%	19.2%	31.1%	28.2%	19.6%
Expected Move	6.4%	5.5%	7.2%	7.1%	6.2%
HV 20d	19.0%	11.9%	25.8%	24.4%	11.9%
HV 60d	19.6%	18.3%	20.8%	20.2%	18.3%
IV Rank	16.9%	7.6%	41.2%	33.0%	8.6%
IV Percentile	20.5%	3.2%	79.4%	56.7%	4.0%
Term Structure	1.4%	-0.6%	3.0%	0.4%	1.0%
VWIV	22.7%	19.6%	25.4%	25.2%	22.1%
Skew 25d	2.3%	0.9%	4.4%	1.5%	1.4%
Skew 10d	7.5%	2.6%	39.8%	39.8%	7.3%
Call IV 25d	22.0%	20.0%	25.5%	25.5%	21.7%
Put IV 25d	24.3%	21.6%	28.6%	27.0%	23.1%
Bid-Ask Spread %	15.66	2.21	29.33	4.25	2.21
Gamma HHI	0.29	0.21	0.39	0.25	0.26
Net GEX	75.7M	26.9M	134.6M	26.9M	52.6M
Net DEX	-1.09B	-1.75B	-170.1M	-170.1M	-1.09B
Net VEX	-8.9M	-9.5M	-8.3M	-8.7M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.03	2.63	0.61	1.77
Total Volume	413,569.545	60,070	3,303,617	185,140	141,388
Total OI	7,628,613.409	6,209,508	8,544,145	7,859,289	6,821,338

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
2010-12-01	$11.98	$12.19	28.2%	7.1%	24.4%	33.0%	25.2%	1.5%	0.4%	26.9M	-170.1M	-8.7M	0.61	4.25	114,706	70,434	4,000,983	3,858,306
2010-12-02	$12.29	$12.19	24.3%	7.2%	25.8%	21.9%	25.4%	4.4%	-0.6%	69.4M	-842.8M	-9.1M	0.33	7.16	421,124	138,212	4,060,540	3,870,305
2010-12-03	$12.33	$12.19	23.8%	6.7%	23.1%	20.6%	23.3%	3.9%	0.2%	84.3M	-937.2M	-9.1M	0.30	4.59	440,958	133,859	4,375,498	3,941,360
2010-12-06	$12.31	$12.19	23.3%	6.8%	21.4%	19.1%	24.6%	2.8%	0.9%	103.8M	-1.01B	-9.1M	1.52	19.77	56,452	85,753	4,570,575	3,973,570
2010-12-07	$12.33	$12.19	22.2%	6.7%	21.3%	15.9%	24.1%	1.3%	1.5%	69.8M	-801.3M	-8.6M	0.77	13.00	210,428	161,091	4,164,456	3,955,846
2010-12-08	$12.53	$12.19	24.5%	6.6%	21.0%	22.5%	23.9%	2.6%	0.9%	89.6M	-1.18B	-9.1M	1.09	13.18	89,283	97,211	4,282,479	4,047,235
2010-12-09	$12.69	$12.19	21.2%	6.5%	21.1%	13.2%	23.4%	1.2%	1.2%	113.8M	-1.52B	-9.0M	0.29	19.62	294,725	86,084	4,263,550	4,000,052
2010-12-10	$12.79	$12.19	21.6%	6.7%	20.9%	14.1%	24.0%	1.9%	0.6%	128.9M	-1.75B	-9.1M	0.28	29.33	214,828	60,371	4,330,955	4,003,530
2010-12-13	$12.79	$12.19	23.6%	6.6%	19.7%	19.8%	23.5%	1.3%	0.8%	134.6M	-1.72B	-8.8M	0.70	19.56	131,264	91,708	4,332,423	4,042,269
2010-12-14	$12.67	$12.19	31.1%	6.4%	20.1%	41.2%	22.4%	1.8%	1.4%	113.1M	-1.45B	-8.6M	0.96	12.59	86,211	82,413	4,345,079	4,109,233
2010-12-15	$12.58	$12.19	23.5%	6.8%	19.2%	19.8%	23.4%	2.4%	2.3%	98.8M	-1.22B	-9.0M	0.95	26.38	46,563	44,243	4,351,856	4,173,216
2010-12-16	$12.59	$12.19	22.0%	6.3%	18.9%	15.3%	21.1%	2.3%	1.8%	86.0M	-1.23B	-8.4M	0.03	19.12	3,219,918	83,699	4,299,221	4,189,798
2010-12-17	$12.62	$12.19	20.3%	5.8%	18.5%	10.7%	20.5%	0.9%	1.8%	40.9M	-640.4M	-8.3M	1.10	13.36	87,447	96,088	3,782,174	4,176,276
2010-12-20	$12.62	$12.19	19.2%	5.5%	18.5%	7.6%	19.6%	2.0%	2.3%	45.9M	-678.1M	-8.4M	2.63	25.64	39,199	103,032	3,186,903	3,022,605
2010-12-21	$12.84	$12.19	20.2%	5.8%	18.1%	10.2%	20.8%	1.6%	2.1%	48.9M	-925.4M	-8.4M	0.23	20.56	462,211	104,589	3,131,016	3,128,708
2010-12-22	$12.98	$12.19	21.1%	6.1%	16.7%	13.0%	21.9%	3.0%	2.0%	58.7M	-1.14B	-9.1M	0.44	25.50	390,554	171,372	3,430,078	3,194,732
2010-12-23	$12.89	$12.19	21.4%	6.1%	16.8%	13.6%	21.8%	2.1%	1.7%	58.2M	-1.02B	-9.4M	1.45	19.74	97,061	140,733	3,478,140	3,316,121
2010-12-27	$13.01	$12.19	22.0%	6.3%	15.4%	15.3%	22.7%	3.3%	1.6%	62.5M	-1.19B	-9.5M	0.46	12.34	58,981	26,857	3,501,130	3,391,452
2010-12-28	$13.01	$12.19	21.8%	6.2%	15.4%	14.7%	22.2%	3.6%	1.7%	61.0M	-1.15B	-9.2M	0.93	12.36	31,181	28,889	3,485,046	3,406,461
2010-12-29	$12.98	$12.19	21.2%	6.1%	15.2%	13.0%	22.0%	3.1%	2.1%	57.7M	-1.12B	-9.2M	1.12	12.64	92,654	103,717	3,481,096	3,393,602
2010-12-30	$12.94	$12.19	19.4%	5.8%	14.3%	7.9%	21.6%	2.2%	3.0%	59.5M	-1.10B	-9.1M	0.09	11.67	423,409	37,630	3,491,807	3,468,475
2010-12-31	$12.96	$12.19	19.6%	6.2%	11.9%	8.6%	22.1%	1.4%	1.0%	52.6M	-1.09B	-9.2M	1.77	2.21	51,025	90,363	3,330,116	3,491,222