XLF Options History — January 2011

In January 2011, XLF traded between $13.14 and $13.58. ATM implied volatility averaged 22.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.3% (HV 20d: 15.1%). Max pain ranged from $12.19 to $13.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2011-01-19: Highest Volume — 778,498 contracts
  • 2011-01-06: Largest IV spike — 36.6% change
  • 2011-01-11: Highest IV Rank — 33.7%
  • 2011-01-07: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.32$13.14$13.58$13.24$13.32
Max Pain$12.84$12.19$13.00$12.19$13.00
ATM IV22.4%16.9%28.5%20.5%25.4%
Expected Move6.3%4.9%7.1%5.9%6.2%
HV 20d15.1%13.7%17.7%13.7%17.7%
HV 60d18.5%17.6%19.0%18.7%19.0%
IV Rank16.6%0.9%33.7%11.2%24.9%
IV Percentile26.0%0.4%63.5%8.7%48.0%
Term Structure0.9%0.1%2.5%2.5%0.6%
VWIV21.8%18.6%26.6%20.3%19.6%
Skew 25d4.1%2.1%5.8%2.1%4.3%
Skew 10d9.7%6.6%13.4%8.6%11.2%
Call IV 25d20.0%17.3%22.9%20.5%18.5%
Put IV 25d24.2%20.8%27.3%22.6%22.8%
Bid-Ask Spread %6.613.1711.1110.609.82
Gamma HHI0.270.220.390.280.23
Net GEX26.6M-24.3M68.3M65.5M-18.3M
Net DEX-1.06B-1.88B7.3M-1.53B-115.0M
Net VEX-9.3M-9.8M-8.7M-8.7M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.256.280.472.98
Total Volume291,361.2547,406778,498357,029337,812
Total OI6,544,187.84,559,6008,061,3236,825,7104,904,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$13.24$12.1920.5%5.9%13.7%11.2%20.3%2.1%2.5%65.5M-1.53B-8.7M0.4710.60242,374114,6553,321,5853,504,125
2011-01-04$13.22$12.1924.8%6.3%13.7%23.3%21.7%3.7%1.5%63.5M-1.52B-9.1M2.0110.7858,389117,6133,384,8873,565,658
2011-01-05$13.38$12.1916.9%6.3%14.0%0.9%21.5%2.8%1.7%68.3M-1.70B-9.1M1.0810.87137,169148,0563,375,8073,557,153
2011-01-06$13.29$12.1923.0%6.2%13.7%18.3%20.6%3.2%2.4%65.2M-1.62B-9.4M0.8911.11309,129275,4923,406,1253,634,893
2011-01-07$13.18$13.0024.8%7.1%13.8%23.3%24.7%4.1%0.2%42.6M-1.19B-9.8M0.545.03407,092219,4963,321,0983,841,869
2011-01-10$13.14$13.0027.0%6.9%13.7%29.4%26.6%4.4%0.5%38.9M-1.11B-9.3M0.853.9976,10265,0073,281,4113,912,591
2011-01-11$13.19$13.0028.5%6.8%13.7%33.7%23.7%4.1%0.3%36.3M-1.24B-8.8M0.594.76136,50480,4743,151,6633,934,850
2011-01-12$13.41$13.0019.2%5.9%14.1%7.5%22.4%4.4%1.1%45.4M-1.63B-8.8M1.585.65129,456204,6943,195,0883,977,147
2011-01-13$13.37$13.0023.8%6.8%13.7%20.4%22.6%4.2%0.2%40.2M-1.49B-9.1M0.713.17182,916129,8033,253,4444,116,759
2011-01-14$13.58$13.0020.3%5.8%14.4%10.7%21.5%3.8%0.6%61.1M-1.88B-9.1M0.514.57171,15887,0333,321,9954,180,109
2011-01-18$13.50$13.0019.4%5.6%14.8%8.2%20.2%3.7%1.1%59.5M-1.74B-8.7M0.254.00138,99534,7843,329,9784,226,476
2011-01-19$13.20$13.0023.1%6.6%17.4%18.5%24.5%5.2%0.7%24.6M-1.19B-8.9M6.284.36106,953671,5453,328,8754,236,811
2011-01-20$13.27$13.0023.6%6.8%16.6%19.8%22.7%5.8%0.1%6.3M-1.14B-9.7M0.854.89120,468102,4623,341,9504,699,851
2011-01-21$13.37$13.0022.7%6.5%16.4%17.3%20.1%5.2%0.5%-4.6M-1.39B-9.6M0.545.02136,06974,0153,367,0104,694,313
2011-01-24$13.35$13.0021.7%6.2%16.1%14.7%21.1%5.4%1.0%-6.5M-170.5M-9.3M3.124.8520,41963,6911,846,5702,713,030
2011-01-25$13.33$13.0022.3%6.4%15.9%16.3%22.3%4.7%0.7%-9.7M-131.6M-9.3M2.798.1873,272204,2281,843,9432,728,846
2011-01-26$13.32$13.0021.0%6.0%16.0%12.5%21.6%4.2%1.2%-13.6M-101.9M-9.6M1.985.6915,89731,5091,898,1112,884,270
2011-01-27$13.44$13.0017.2%4.9%16.1%1.7%18.6%3.6%1.4%-7.4M-239.0M-9.3M0.615.56116,03870,6661,843,8092,906,716
2011-01-28$13.20$13.0023.2%6.0%17.5%18.9%20.4%4.0%0.4%-24.3M7.3M-9.8M2.459.2562,619153,1711,901,8092,948,958
2011-01-31$13.32$13.0025.4%6.2%17.7%24.9%19.6%4.3%0.6%-18.3M-115.0M-9.6M2.989.8284,919252,8931,905,0032,999,170