XLF Options History — March 2011

In March 2011, XLF traded between $12.91 and $13.61. ATM implied volatility averaged 21.7%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.5% (HV 20d: 20.2%). Max pain ranged from $13.00 to $13.81. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.04.

Notable Days

2011-03-17: Highest Volume — 1,475,662 contracts
2011-03-10: Largest IV spike — 32.9% change
2011-03-16: Highest IV Rank — 36.6%
2011-03-16: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.30	$12.91	$13.61	$13.36	$13.31
Max Pain	$13.49	$13.00	$13.81	$13.00	$13.00
ATM IV	21.7%	16.1%	27.9%	25.0%	16.3%
Expected Move	6.5%	5.4%	8.0%	6.8%	5.5%
HV 20d	20.2%	15.9%	23.0%	19.9%	15.9%
HV 60d	17.6%	16.6%	18.4%	16.6%	17.6%
IV Rank	20.3%	5.6%	36.6%	29.1%	6.2%
IV Percentile	27.7%	0.8%	66.3%	50.8%	1.6%
Term Structure	0.6%	-1.1%	2.2%	-1.0%	1.8%
VWIV	23.0%	18.9%	28.9%	23.1%	18.9%
Skew 25d	4.5%	1.2%	7.5%	1.6%	2.1%
Skew 10d	10.7%	2.9%	18.7%	2.9%	9.8%
Call IV 25d	20.9%	16.8%	25.6%	22.4%	17.9%
Put IV 25d	25.3%	19.9%	33.0%	24.1%	19.9%
Bid-Ask Spread %	7.76	4.36	26.87	4.56	26.87
Gamma HHI	0.23	0.20	0.28	0.20	0.24
Net GEX	-42.6M	-85.7M	-4.4M	-17.1M	-44.4M
Net DEX	383.8M	-108.4M	1.12B	85.2M	324.3M
Net VEX	-12.2M	-13.3M	-11.0M	-11.0M	-12.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.29	6.69	3.01	2.60
Total Volume	300,915.522	85,929	1,475,662	277,508	104,230
Total OI	6,265,929.217	5,680,752	7,310,496	5,680,752	6,033,645

Daily Data (23 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
2011-03-01	$13.36	$13.00	25.0%	6.8%	19.9%	29.1%	23.1%	1.6%	-1.0%	-17.1M	85.2M	-11.0M	3.01	4.56	69,260	208,248	2,286,702	3,394,050
2011-03-02	$13.31	$13.00	24.8%	6.9%	18.4%	28.4%	23.1%	5.0%	-1.1%	-28.8M	259.9M	-11.1M	2.39	4.80	58,442	139,604	2,271,406	3,500,888
2011-03-03	$13.57	$13.00	19.7%	5.4%	19.5%	15.1%	20.9%	7.2%	1.3%	-4.4M	-91.1M	-11.3M	0.58	6.07	160,440	93,283	2,300,168	3,530,019
2011-03-04	$13.41	$13.81	18.0%	6.1%	20.0%	10.8%	23.0%	4.6%	1.0%	-17.7M	106.4M	-11.4M	2.18	6.65	54,134	118,135	2,359,847	3,555,410
2011-03-07	$13.34	$13.81	23.3%	6.9%	20.0%	24.7%	25.8%	4.7%	0.9%	-25.1M	222.1M	-11.3M	4.79	5.58	71,679	343,158	2,385,507	3,574,191
2011-03-08	$13.61	$13.81	16.2%	6.2%	20.8%	5.9%	25.5%	4.0%	0.4%	-8.4M	-108.4M	-11.5M	2.98	6.42	114,520	341,506	2,398,730	3,861,059
2011-03-09	$13.58	$13.81	19.0%	6.3%	20.6%	13.3%	23.3%	5.1%	0.8%	-7.8M	-93.7M	-11.9M	0.43	13.26	244,733	104,404	2,448,453	3,963,568
2011-03-10	$13.35	$13.81	25.3%	7.2%	21.4%	29.8%	24.7%	4.3%	0.6%	-28.4M	257.0M	-12.2M	6.69	6.33	69,550	465,227	2,613,134	3,955,662
2011-03-11	$13.44	$13.81	22.2%	6.4%	21.5%	21.6%	24.0%	5.1%	0.3%	-27.6M	202.9M	-12.6M	1.75	6.09	88,871	155,320	2,633,396	4,288,806
2011-03-14	$13.29	$13.81	25.2%	7.2%	21.1%	29.6%	24.9%	5.5%	0.5%	-51.1M	538.0M	-12.7M	1.07	6.59	71,549	76,734	2,639,473	4,404,122
2011-03-15	$13.13	$13.81	24.8%	7.1%	21.4%	28.5%	25.9%	5.6%	0.5%	-72.1M	743.6M	-12.4M	2.70	6.65	103,372	278,822	2,676,665	4,373,436
2011-03-16	$12.91	$13.81	27.9%	8.0%	21.9%	36.6%	28.9%	7.4%	0.2%	-85.7M	1.12B	-12.9M	1.37	6.91	152,574	209,526	2,732,665	4,472,963
2011-03-17	$13.09	$13.81	26.4%	7.6%	22.6%	32.7%	27.9%	7.5%	0.4%	-76.0M	757.6M	-12.9M	0.29	11.72	1,141,745	333,917	2,784,849	4,428,859
2011-03-18	$13.18	$13.81	24.7%	7.1%	22.9%	28.2%	25.1%	4.9%	1.1%	-67.5M	647.5M	-13.3M	1.26	4.53	153,167	193,746	2,708,881	4,601,615
2011-03-21	$13.27	$13.81	23.0%	6.6%	23.0%	23.7%	22.1%	4.9%	1.1%	-44.9M	489.4M	-12.7M	0.84	20.28	59,654	49,953	2,209,992	3,479,695
2011-03-22	$13.22	$13.81	20.9%	6.0%	20.0%	18.2%	20.2%	4.3%	2.2%	-52.2M	543.9M	-12.5M	1.55	5.51	46,758	72,451	2,227,530	3,481,139
2011-03-23	$13.18	$13.81	21.6%	6.2%	20.0%	20.2%	21.5%	3.7%	0.6%	-56.9M	615.0M	-12.4M	1.67	4.74	93,757	156,594	2,251,168	3,527,102
2011-03-24	$13.24	$13.00	20.7%	5.9%	20.1%	17.8%	20.1%	3.8%	1.0%	-54.5M	501.4M	-12.6M	1.05	4.84	120,967	126,926	2,300,240	3,594,388
2011-03-25	$13.27	$13.00	18.5%	5.9%	19.3%	12.0%	19.9%	3.4%	0.5%	-48.8M	430.3M	-12.6M	1.07	5.11	84,650	90,187	2,333,518	3,618,411
2011-03-28	$13.23	$13.00	17.9%	6.0%	19.1%	10.5%	20.6%	2.5%	-0.1%	-63.1M	529.7M	-12.3M	4.51	5.01	15,746	71,005	2,317,147	3,626,556
2011-03-29	$13.27	$13.00	20.6%	5.6%	17.1%	17.6%	19.8%	1.2%	1.3%	-53.3M	441.3M	-12.4M	0.34	5.59	63,970	21,959	2,323,466	3,646,328
2011-03-30	$13.39	$13.00	16.1%	5.9%	17.3%	5.6%	19.6%	4.3%	-0.1%	-43.8M	308.3M	-12.3M	1.88	4.36	43,975	82,609	2,347,403	3,654,120
2011-03-31	$13.31	$13.00	16.3%	5.5%	15.9%	6.2%	18.9%	2.1%	1.8%	-44.4M	324.3M	-12.2M	2.60	26.87	28,912	75,318	2,359,546	3,674,099