XLF Options History — June 2011

In June 2011, XLF traded between $11.94 and $12.47. ATM implied volatility averaged 25.4%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.2% (HV 20d: 19.2%). Max pain ranged from $12.19 to $13.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.44.

Notable Days

2011-06-16: Highest Volume — 383,346 contracts
2011-06-30: Largest IV spike — 191.2% change
2011-06-30: Highest IV Rank — 100.0%
2011-06-16: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.18	$11.94	$12.47	$12.43	$12.47
Max Pain	$12.67	$12.19	$13.00	$13.00	$12.19
ATM IV	25.4%	17.4%	68.9%	24.4%	68.9%
Expected Move	6.4%	5.7%	7.2%	6.5%	5.7%
HV 20d	19.2%	17.7%	20.7%	18.5%	18.3%
HV 60d	14.9%	14.0%	16.1%	15.1%	16.1%
IV Rank	32.5%	12.3%	100.0%	32.5%	100.0%
IV Percentile	51.7%	11.1%	100.0%	54.4%	100.0%
Term Structure	-0.1%	-2.5%	1.1%	-2.5%	0.6%
VWIV	22.7%	17.8%	26.9%	21.7%	19.7%
Skew 25d	4.6%	3.1%	8.6%	5.2%	3.5%
Skew 10d	9.6%	5.1%	14.7%	11.3%	10.2%
Call IV 25d	21.3%	17.9%	24.3%	20.3%	17.9%
Put IV 25d	25.9%	21.4%	29.8%	25.5%	21.4%
Bid-Ask Spread %	33.73	5.17	80.47	7.14	29.96
Gamma HHI	0.36	0.27	0.47	0.35	0.27
Net GEX	-85.2M	-114.6M	-44.5M	-109.5M	-44.5M
Net DEX	1.66B	695.6M	2.23B	1.68B	695.6M
Net VEX	-11.5M	-12.0M	-10.9M	-11.6M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.24	5.87	1.83	0.93
Total Volume	252,114.864	84,439	383,346	261,295	188,636
Total OI	6,751,914.5	5,739,911	7,670,095	6,768,070	6,515,621

Daily Data (22 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
2011-06-01	$12.43	$13.00	24.4%	6.5%	18.5%	32.5%	21.7%	5.2%	-2.5%	-109.5M	1.68B	-11.6M	1.83	7.14	92,372	168,923	2,479,287	4,288,783
2011-06-02	$12.45	$13.00	24.6%	6.5%	18.6%	33.2%	17.8%	4.7%	-1.7%	-114.6M	1.66B	-11.7M	2.55	6.63	83,646	213,705	2,502,161	4,339,407
2011-06-03	$12.34	$13.00	23.5%	5.9%	17.7%	29.9%	20.4%	3.7%	0.5%	-114.5M	1.81B	-11.7M	5.87	74.70	25,845	151,590	2,557,353	4,354,882
2011-06-06	$12.13	$13.00	25.8%	6.2%	18.3%	36.6%	23.5%	5.7%	0.3%	-114.6M	2.09B	-11.3M	3.97	6.11	64,082	254,567	2,548,986	4,316,359
2011-06-07	$12.10	$13.00	25.4%	6.3%	18.2%	35.4%	21.2%	3.5%	-0.1%	-113.8M	2.11B	-11.1M	0.24	60.28	298,754	72,373	2,580,458	4,313,875
2011-06-08	$11.99	$13.00	17.4%	6.0%	17.7%	12.3%	21.5%	4.3%	0.6%	-107.6M	2.23B	-10.9M	1.62	5.17	76,638	124,343	2,793,910	4,307,297
2011-06-09	$12.13	$13.00	20.2%	5.8%	18.2%	20.4%	20.7%	3.7%	1.0%	-108.0M	2.08B	-11.0M	0.95	50.97	101,606	96,140	2,815,234	4,305,104
2011-06-10	$12.04	$13.00	22.6%	6.5%	18.1%	27.2%	23.4%	4.2%	-0.6%	-100.9M	2.13B	-11.1M	0.46	29.16	235,794	109,560	2,860,155	4,305,631
2011-06-13	$12.17	$13.00	21.6%	6.2%	18.3%	24.4%	22.1%	4.4%	0.9%	-95.2M	1.91B	-11.4M	1.48	68.13	137,231	203,029	2,986,994	4,342,701
2011-06-14	$12.25	$13.00	21.4%	6.1%	18.6%	23.7%	20.5%	3.5%	0.4%	-87.1M	1.75B	-11.2M	0.60	27.38	105,721	63,469	3,063,547	4,383,504
2011-06-15	$11.94	$13.00	24.9%	7.1%	19.9%	34.0%	25.9%	3.8%	-1.6%	-87.0M	2.15B	-11.2M	2.00	55.23	108,763	217,981	3,123,566	4,385,428
2011-06-16	$12.03	$13.00	25.1%	7.2%	20.1%	34.6%	26.9%	5.8%	-0.7%	-76.2M	2.06B	-11.5M	0.72	6.59	222,714	160,632	3,191,084	4,416,065
2011-06-17	$12.11	$13.00	22.9%	6.6%	20.4%	28.2%	24.2%	5.3%	1.1%	-81.6M	1.96B	-11.4M	1.21	51.36	128,153	155,409	3,256,629	4,413,466
2011-06-20	$12.10	$12.19	22.9%	6.6%	20.1%	28.2%	24.3%	3.9%	0.8%	-66.5M	1.38B	-11.4M	1.55	19.25	92,628	143,170	2,079,429	3,660,482
2011-06-21	$12.25	$12.19	22.4%	6.4%	20.2%	26.6%	22.1%	4.0%	0.2%	-60.1M	1.16B	-11.6M	1.13	48.03	91,671	104,013	2,131,355	3,726,747
2011-06-22	$12.19	$12.19	21.8%	6.2%	20.3%	24.9%	22.5%	3.2%	0.3%	-69.5M	1.30B	-11.4M	1.15	5.60	39,301	45,138	2,174,091	3,767,816
2011-06-23	$12.06	$12.19	22.4%	6.4%	20.5%	26.6%	23.0%	3.1%	-0.2%	-74.1M	1.46B	-11.4M	0.55	48.40	213,225	118,228	2,189,556	3,788,910
2011-06-24	$11.97	$12.19	22.1%	6.7%	20.2%	25.8%	24.6%	7.4%	-0.3%	-70.8M	1.50B	-11.6M	0.69	80.47	130,551	90,072	2,354,808	3,825,907
2011-06-27	$12.12	$12.19	25.4%	6.5%	20.7%	35.2%	25.2%	8.6%	0.1%	-65.2M	1.30B	-11.9M	0.59	27.12	67,909	40,117	2,415,159	3,881,389
2011-06-28	$12.19	$12.19	28.9%	6.4%	20.4%	45.4%	26.7%	6.3%	-0.3%	-67.0M	1.21B	-11.7M	0.86	5.17	86,232	74,314	2,458,268	3,905,026
2011-06-29	$12.45	$12.19	23.7%	6.0%	18.3%	30.4%	21.0%	3.9%	0.1%	-46.8M	814.3M	-12.0M	0.73	29.23	201,165	147,117	2,497,987	3,937,702
2011-06-30	$12.47	$12.19	68.9%	5.7%	18.3%	100.0%	19.7%	3.5%	0.6%	-44.5M	695.6M	-12.0M	0.93	29.96	97,977	90,659	2,555,531	3,960,090