XLF Options History — May 2011

In May 2011, XLF traded between $12.56 and $13.31. ATM implied volatility averaged 18.3%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.9% (HV 20d: 12.4%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.07.

Notable Days

2011-05-23: Highest Volume — 827,908 contracts
2011-05-04: Largest IV spike — 65.6% change
2011-05-04: Highest IV Rank — 43.2%
2011-05-24: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.92	$12.56	$13.31	$13.27	$12.87
Max Pain	$13.00	$13.00	$13.00	$13.00	$13.00
ATM IV	18.3%	13.1%	30.3%	13.9%	14.0%
Expected Move	5.1%	3.4%	6.1%	4.6%	4.3%
HV 20d	12.4%	10.1%	14.5%	10.1%	14.5%
HV 60d	15.1%	13.4%	16.1%	15.5%	13.4%
IV Rank	12.4%	0.0%	43.2%	0.0%	2.6%
IV Percentile	15.8%	0.0%	78.6%	0.0%	1.2%
Term Structure	1.1%	-1.4%	10.2%	1.9%	1.3%
VWIV	18.0%	14.2%	19.9%	16.2%	15.3%
Skew 25d	2.9%	-0.7%	4.3%	0.5%	2.7%
Skew 10d	7.1%	-2.9%	13.7%	5.2%	2.8%
Call IV 25d	17.6%	15.0%	19.3%	16.8%	16.6%
Put IV 25d	20.5%	15.2%	22.8%	17.3%	19.3%
Bid-Ask Spread %	8.45	4.50	27.09	5.65	6.77
Gamma HHI	0.31	0.27	0.39	0.27	0.29
Net GEX	-96.8M	-124.9M	-64.5M	-70.9M	-88.1M
Net DEX	1.00B	420.7M	1.45B	505.9M	950.7M
Net VEX	-11.6M	-12.1M	-10.5M	-11.5M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.44	5.79	0.82	1.66
Total Volume	212,038.19	48,634	827,908	48,634	130,615
Total OI	6,593,331.81	5,690,665	6,926,747	6,236,071	6,719,634

Daily Data (21 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
2011-05-02	$13.27	$13.00	13.9%	4.6%	10.1%	0.0%	16.2%	0.5%	1.9%	-70.9M	505.9M	-11.5M	0.82	5.65	26,675	21,959	2,359,562	3,876,509
2011-05-03	$13.31	$13.00	18.3%	5.0%	10.1%	11.7%	17.3%	1.0%	1.0%	-64.5M	420.7M	-11.5M	2.21	4.50	61,050	134,895	2,385,629	3,883,655
2011-05-04	$13.30	$13.00	30.3%	3.4%	10.1%	43.2%	14.2%	-0.7%	10.2%	-88.8M	464.3M	-11.2M	2.09	5.87	38,900	81,455	2,423,992	3,956,480
2011-05-05	$13.04	$13.00	19.4%	4.9%	11.5%	14.6%	16.9%	2.7%	1.9%	-90.3M	810.6M	-12.0M	3.38	6.47	58,353	197,350	2,448,134	3,998,757
2011-05-06	$13.07	$13.00	17.5%	5.5%	11.5%	9.7%	19.4%	3.5%	0.6%	-87.4M	800.6M	-12.0M	5.34	7.50	35,157	187,872	2,469,904	3,988,596
2011-05-09	$13.05	$13.00	20.3%	5.4%	11.1%	16.8%	18.7%	3.6%	0.4%	-103.3M	861.6M	-11.9M	0.74	7.51	117,265	86,348	2,463,616	4,099,388
2011-05-10	$13.18	$13.00	15.5%	5.4%	11.7%	4.4%	18.5%	2.9%	0.2%	-86.8M	588.9M	-11.8M	0.77	6.46	143,746	110,312	2,509,770	4,116,514
2011-05-11	$12.99	$13.00	16.3%	5.3%	12.7%	6.3%	18.6%	2.8%	0.8%	-102.7M	913.4M	-11.8M	1.06	7.19	53,721	57,059	2,587,827	4,093,327
2011-05-12	$13.01	$13.00	18.8%	5.4%	12.2%	12.9%	18.9%	3.6%	0.7%	-108.7M	909.9M	-11.6M	0.94	7.00	119,630	112,912	2,604,064	4,102,884
2011-05-13	$12.81	$13.00	19.3%	5.5%	13.1%	14.2%	19.7%	3.1%	-0.1%	-114.6M	1.30B	-11.6M	3.36	27.09	62,990	211,398	2,680,712	4,141,107
2011-05-16	$12.79	$13.00	19.4%	5.6%	13.0%	14.5%	19.5%	3.1%	0.2%	-114.3M	1.32B	-11.6M	1.04	6.38	65,109	67,506	2,699,371	4,184,932
2011-05-17	$12.89	$13.00	19.0%	5.5%	12.4%	13.5%	19.3%	3.8%	-0.1%	-113.3M	1.14B	-11.4M	0.96	18.43	73,562	70,653	2,738,393	4,186,368
2011-05-18	$12.95	$13.00	17.2%	4.9%	12.5%	8.8%	17.5%	2.5%	1.0%	-124.9M	971.9M	-11.4M	0.78	5.47	97,592	76,001	2,756,173	4,170,574
2011-05-19	$12.95	$13.00	16.8%	4.8%	12.3%	7.7%	18.0%	3.1%	1.0%	-119.6M	950.1M	-11.3M	2.12	4.71	41,986	88,884	2,792,834	4,123,003
2011-05-20	$12.77	$13.00	17.8%	5.1%	13.2%	11.5%	18.4%	3.0%	0.5%	-78.4M	1.37B	-10.9M	1.57	7.33	71,714	112,479	2,802,310	4,098,754
2011-05-23	$12.58	$13.00	20.9%	6.0%	14.0%	20.8%	19.2%	4.3%	-1.4%	-82.6M	1.26B	-10.5M	5.79	18.21	121,921	705,987	2,263,515	3,427,150
2011-05-24	$12.56	$13.00	21.2%	6.1%	13.8%	21.7%	19.9%	4.0%	-0.9%	-96.9M	1.45B	-11.5M	3.59	6.47	77,372	277,561	2,339,086	4,003,899
2011-05-25	$12.58	$13.00	20.3%	5.8%	13.4%	19.1%	17.7%	3.9%	-0.4%	-100.7M	1.44B	-11.9M	1.90	6.37	73,648	140,104	2,372,231	4,208,487
2011-05-26	$12.69	$13.00	15.9%	4.6%	13.6%	6.0%	15.9%	3.7%	1.9%	-102.7M	1.39B	-12.1M	0.44	4.73	94,629	41,301	2,419,049	4,278,624
2011-05-27	$12.74	$13.00	13.1%	4.4%	13.8%	0.0%	17.8%	3.3%	1.8%	-94.2M	1.21B	-12.0M	2.96	7.37	26,539	78,592	2,458,163	4,226,991
2011-05-31	$12.87	$13.00	14.0%	4.3%	14.5%	2.6%	15.3%	2.7%	1.3%	-88.1M	950.7M	-11.6M	1.66	6.77	49,092	81,523	2,457,517	4,262,117