XLF Options History — February 2011

In February 2011, XLF traded between $13.41 and $13.98. ATM implied volatility averaged 19.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.4% (HV 20d: 16.9%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.90.

Notable Days

  • 2011-02-01: Highest Volume — 1,224,187 contracts
  • 2011-02-02: Largest IV spike — 44.9% change
  • 2011-02-23: Highest IV Rank — 24.3%
  • 2011-02-23: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$13.41$13.98$13.60$13.70
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV19.3%14.0%23.9%16.5%20.8%
Expected Move5.6%5.0%6.7%5.4%5.2%
HV 20d16.9%13.5%19.0%17.5%17.8%
HV 60d16.9%15.5%18.3%18.3%16.4%
IV Rank13.2%0.0%24.3%0.0%18.1%
IV Percentile11.6%0.0%39.3%0.0%18.3%
Term Structure1.2%-0.1%2.6%0.6%2.6%
VWIV21.0%18.8%27.0%19.2%18.8%
Skew 25d3.7%2.4%5.7%3.9%3.8%
Skew 10d10.5%6.8%14.9%12.1%8.2%
Call IV 25d19.0%16.4%23.1%16.4%18.2%
Put IV 25d22.7%19.6%28.1%20.3%21.9%
Bid-Ask Spread %8.854.0116.448.884.01
Gamma HHI0.230.190.270.240.20
Net GEX8.3M-25.3M40.4M-2.8M8.3M
Net DEX-459.3M-939.6M20.3M-481.9M-368.2M
Net VEX-10.4M-11.5M-9.4M-9.4M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.4410.617.213.19
Total Volume355,609.684134,9781,224,1871,224,187134,978
Total OI5,476,808.4215,171,7505,844,3095,171,7505,623,546

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$13.60$13.0016.5%5.4%17.5%0.0%19.2%3.9%0.6%-2.8M-481.9M-9.4M7.218.88149,0731,075,1141,958,4213,213,329
2011-02-02$13.48$13.0023.9%5.1%17.9%20.9%19.5%2.4%1.6%-21.7M-93.9M-10.9M2.847.0766,235187,7802,012,3213,498,607
2011-02-03$13.46$13.0015.1%5.0%17.4%0.0%20.0%3.0%2.6%-25.3M-38.5M-10.8M4.489.6137,755169,1251,960,5183,469,239
2011-02-04$13.51$13.0014.0%5.7%17.2%0.0%22.4%3.4%0.6%-22.7M-142.8M-10.5M1.2110.5490,604110,0391,977,2353,505,450
2011-02-07$13.68$13.0019.0%5.5%17.3%13.2%20.5%2.9%0.7%-3.8M-386.0M-10.8M10.618.9480,669855,5731,983,3703,556,712
2011-02-08$13.78$13.0018.5%5.4%17.3%12.0%19.7%3.0%0.8%20.3M-601.8M-9.7M0.4412.50248,461110,4532,004,4773,206,431
2011-02-09$13.70$13.0017.0%5.5%17.5%7.9%20.2%3.4%0.8%17.3M-536.7M-9.9M1.7516.4463,446111,3022,125,5503,178,730
2011-02-10$13.70$13.0019.4%5.6%16.7%14.4%21.1%3.5%1.2%20.0M-576.0M-9.9M2.0212.8653,364107,6042,139,4693,198,979
2011-02-11$13.88$13.0019.2%5.5%17.1%13.8%20.0%3.4%2.0%28.3M-815.9M-9.7M0.6816.03154,390104,6012,149,0053,211,029
2011-02-14$13.89$13.0019.4%5.6%16.4%14.5%20.8%3.8%1.2%40.4M-847.5M-9.8M0.5510.87131,06072,0952,218,8163,226,722
2011-02-15$13.86$13.0018.8%5.4%16.2%12.8%19.0%3.3%1.2%32.0M-763.3M-9.9M0.6411.27284,058180,5302,214,2833,243,739
2011-02-16$13.94$13.0019.4%5.6%13.6%14.3%19.3%3.5%-0.1%32.2M-847.6M-10.2M0.924.9688,43581,5302,317,2733,388,681
2011-02-17$13.93$13.0019.0%5.5%13.6%13.4%19.4%3.7%1.2%30.9M-841.2M-10.3M1.155.3880,21291,9742,344,7853,413,415
2011-02-18$13.98$13.0019.0%5.4%13.5%13.2%18.9%3.9%2.1%29.2M-939.6M-10.2M0.956.5786,69682,5422,364,6303,479,679
2011-02-22$13.53$13.0022.5%6.5%18.4%22.6%25.4%5.7%1.0%-2.2M-178.1M-10.7M2.564.83144,368370,2052,175,5673,036,934
2011-02-23$13.46$13.0023.2%6.7%18.5%24.3%25.1%4.5%0.6%-9.2M-65.6M-11.1M1.586.67141,540224,2502,249,5273,257,404
2011-02-24$13.41$13.0022.6%6.5%18.5%22.7%27.0%4.9%0.2%-12.4M20.3M-11.2M4.774.3173,722351,3402,278,7853,255,589
2011-02-25$13.61$13.0018.8%5.9%19.0%12.6%22.5%4.8%1.5%-597.0K-222.7M-11.5M7.626.4141,946319,5152,290,6523,330,461
2011-02-28$13.70$13.0020.8%5.2%17.8%18.1%18.8%3.8%2.6%8.3M-368.2M-10.5M3.194.0132,226102,7522,278,9423,344,604