XLF Options History — April 2011

In April 2011, XLF traded between $12.94 and $13.54. ATM implied volatility averaged 17.8%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.1% (HV 20d: 11.7%). Max pain ranged from $13.00 to $13.81. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.16.

Notable Days

2011-04-29: Highest Volume — 477,422 contracts
2011-04-05: Largest IV spike — 44.2% change
2011-04-05: Highest IV Rank — 21.5%
2011-04-11: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.24	$12.94	$13.54	$13.43	$13.31
Max Pain	$13.48	$13.00	$13.81	$13.00	$13.00
ATM IV	17.8%	14.7%	22.1%	14.7%	16.2%
Expected Move	5.2%	4.3%	6.0%	5.2%	4.5%
HV 20d	11.7%	9.5%	15.7%	15.7%	10.5%
HV 60d	16.7%	15.5%	17.5%	17.5%	15.5%
IV Rank	10.1%	2.1%	21.5%	2.1%	5.9%
IV Percentile	8.1%	0.4%	26.6%	0.4%	2.8%
Term Structure	1.5%	-0.3%	2.4%	-0.3%	2.4%
VWIV	18.4%	15.3%	21.5%	18.5%	15.8%
Skew 25d	2.8%	0.2%	4.4%	0.2%	1.7%
Skew 10d	6.4%	3.2%	9.6%	8.3%	6.4%
Call IV 25d	17.5%	14.5%	19.1%	18.5%	14.5%
Put IV 25d	20.3%	15.5%	23.2%	18.6%	16.2%
Bid-Ask Spread %	12.32	5.12	76.50	33.27	6.80
Gamma HHI	0.29	0.23	0.48	0.23	0.28
Net GEX	-62.2M	-139.3M	-10.2M	-44.5M	-54.1M
Net DEX	483.1M	15.5M	863.5M	257.3M	309.4M
Net VEX	-11.7M	-12.3M	-11.0M	-12.2M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.16	0.44	8.08	0.44	8.08
Total Volume	184,909.65	43,587	477,422	308,426	477,422
Total OI	6,112,625.1	5,382,085	6,673,504	6,093,138	5,929,648

Daily Data (20 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
2011-04-01	$13.43	$13.00	14.7%	5.2%	15.7%	2.1%	18.5%	0.2%	-0.3%	-44.5M	257.3M	-12.2M	0.44	33.27	213,859	94,567	2,370,359	3,722,779
2011-04-04	$13.42	$13.81	15.3%	5.2%	15.5%	3.7%	19.7%	3.4%	1.1%	-31.4M	184.8M	-12.1M	3.12	76.50	41,887	130,492	2,488,735	3,778,275
2011-04-05	$13.40	$13.81	22.1%	5.6%	13.7%	21.5%	19.2%	2.9%	1.1%	-39.9M	301.4M	-12.2M	1.01	5.70	49,588	50,217	2,509,547	3,881,814
2011-04-06	$13.54	$13.81	18.1%	5.3%	14.2%	10.8%	19.6%	2.9%	0.2%	-10.2M	15.5M	-12.3M	0.77	5.12	101,463	77,830	2,523,597	3,861,786
2011-04-07	$13.49	$13.81	17.8%	5.3%	12.9%	10.2%	19.5%	3.7%	1.1%	-18.0M	110.5M	-12.1M	1.15	6.06	46,415	53,364	2,577,808	3,921,000
2011-04-08	$13.36	$13.81	21.1%	6.0%	13.2%	18.9%	19.2%	4.3%	1.9%	-39.7M	290.1M	-12.2M	2.65	6.03	39,825	105,612	2,586,031	3,929,400
2011-04-11	$13.37	$13.81	18.2%	6.0%	12.6%	11.2%	21.1%	4.4%	1.4%	-45.4M	368.0M	-12.2M	4.23	6.21	15,885	67,177	2,578,291	3,995,539
2011-04-12	$13.32	$13.81	18.1%	5.9%	11.8%	11.0%	20.6%	3.9%	1.6%	-58.0M	500.1M	-12.0M	1.53	6.11	49,469	75,581	2,581,110	4,009,454
2011-04-13	$13.18	$13.81	21.9%	5.8%	10.7%	21.0%	19.9%	4.1%	1.5%	-89.3M	604.4M	-11.8M	2.89	7.50	45,143	130,405	2,574,095	3,988,527
2011-04-14	$13.10	$13.81	19.8%	5.7%	9.8%	15.4%	19.4%	3.6%	1.4%	-139.3M	753.4M	-11.8M	3.42	32.00	43,836	149,829	2,571,762	4,048,418
2011-04-15	$13.14	$13.81	19.6%	5.6%	9.5%	14.8%	21.5%	4.0%	1.5%	-115.9M	741.9M	-11.7M	1.31	6.09	108,082	141,561	2,593,036	4,080,468
2011-04-18	$12.94	$13.81	19.0%	5.4%	10.5%	13.2%	20.9%	3.1%	2.1%	-70.9M	863.5M	-11.3M	1.61	6.44	54,634	87,784	2,113,208	3,268,877
2011-04-19	$12.97	$13.81	17.2%	4.9%	10.5%	8.4%	16.5%	2.5%	2.2%	-76.2M	840.5M	-11.2M	1.18	6.17	106,848	126,040	2,134,459	3,304,254
2011-04-20	$13.04	$13.00	16.4%	4.7%	10.6%	6.6%	16.5%	2.8%	2.0%	-74.7M	759.9M	-11.4M	1.55	5.97	52,992	82,257	2,199,574	3,395,949
2011-04-21	$13.08	$13.00	15.5%	4.4%	10.5%	4.1%	15.5%	1.7%	2.0%	-72.5M	685.7M	-11.2M	0.50	6.20	105,546	52,809	2,222,239	3,407,254
2011-04-25	$13.07	$13.00	16.4%	4.7%	10.5%	6.4%	16.0%	2.2%	1.8%	-75.1M	687.3M	-11.2M	1.14	6.26	20,364	23,223	2,295,105	3,408,307
2011-04-26	$13.14	$13.00	16.9%	4.8%	10.6%	7.6%	16.7%	2.5%	1.0%	-74.4M	618.4M	-11.0M	1.04	6.38	82,290	85,868	2,308,180	3,417,450
2011-04-27	$13.23	$13.00	16.5%	4.7%	10.9%	6.7%	16.4%	2.4%	1.3%	-60.5M	433.8M	-11.0M	2.72	5.95	58,408	158,747	2,354,132	3,440,673
2011-04-28	$13.31	$13.00	15.1%	4.3%	10.7%	3.1%	15.3%	0.2%	2.2%	-53.6M	336.5M	-11.1M	2.77	5.67	77,166	213,708	2,386,122	3,495,240
2011-04-29	$13.31	$13.00	16.2%	4.5%	10.5%	5.9%	15.8%	1.7%	2.4%	-54.1M	309.4M	-11.0M	8.08	6.80	52,581	424,841	2,404,763	3,524,885