XLF Options History — July 2011

In July 2011, XLF traded between $11.88 and $12.73. ATM implied volatility averaged 23.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.3% (HV 20d: 20.8%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2011-07-20: Highest Volume — 766,346 contracts
  • 2011-07-05: Largest IV spike — 160.2% change
  • 2011-07-29: Highest IV Rank — 42.7%
  • 2011-07-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.29$11.88$12.73$12.71$12.02
Max Pain$12.19$12.19$12.19$12.19$12.19
ATM IV23.1%9.8%35.1%9.8%35.1%
Expected Move6.4%4.7%8.0%4.7%8.0%
HV 20d20.8%18.3%23.5%19.2%22.0%
HV 60d18.0%16.4%19.5%16.4%19.5%
IV Rank22.3%0.0%42.7%0.0%42.7%
IV Percentile52.7%0.0%99.2%0.0%99.2%
Term Structure0.4%-1.7%2.0%0.2%-1.7%
VWIV22.9%16.2%28.6%16.2%28.4%
Skew 25d4.8%3.3%7.1%5.1%7.1%
Skew 10d11.4%7.3%15.2%12.0%13.0%
Call IV 25d21.1%16.6%27.1%16.6%27.1%
Put IV 25d25.9%21.4%34.2%21.6%34.2%
Bid-Ask Spread %28.278.9458.6051.9220.44
Gamma HHI0.320.240.450.280.25
Net GEX-54.6M-96.9M4.6M-11.0M-61.7M
Net DEX968.1M166.2M1.56B204.2M1.35B
Net VEX-12.1M-13.1M-11.0M-11.7M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.223.950.330.61
Total Volume300,164.582,290766,346214,967302,024
Total OI6,702,000.755,589,3317,265,6546,556,7087,054,690

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$12.71$12.199.8%4.7%19.2%0.0%16.2%5.1%0.2%-11.0M204.2M-11.7M0.3351.92162,11552,8522,591,2733,965,435
2011-07-05$12.59$12.1925.6%5.9%18.3%26.7%18.7%4.1%1.1%-22.9M457.9M-11.5M0.7415.05102,50276,2102,605,3433,980,322
2011-07-06$12.52$12.1920.3%6.0%18.5%17.8%21.4%5.6%0.7%-35.4M587.6M-11.7M1.0326.07126,687130,9672,690,9944,026,500
2011-07-07$12.73$12.1919.0%5.2%18.7%15.5%19.3%4.0%0.9%4.6M166.2M-12.1M1.9310.7574,589143,7182,784,1704,092,466
2011-07-08$12.57$12.1921.0%5.8%19.2%18.9%19.4%3.6%1.1%-35.4M562.2M-11.9M1.4658.6033,42948,8612,812,6894,155,410
2011-07-11$12.22$12.1925.5%6.7%21.8%26.6%23.3%6.0%0.6%-79.0M1.16B-11.7M1.9129.55124,111236,8412,832,4474,166,052
2011-07-12$12.14$12.1925.7%6.8%21.6%26.8%24.3%5.0%0.7%-83.1M1.26B-11.8M1.1548.8266,92676,7392,860,9174,209,363
2011-07-13$12.19$12.1924.9%6.9%21.5%25.4%26.2%5.6%-0.4%-90.4M1.25B-11.8M2.2029.7559,025130,1192,876,0624,236,761
2011-07-14$12.09$12.1923.7%6.8%19.6%23.5%24.5%4.3%-0.6%-96.9M1.45B-11.6M1.4030.4097,344136,5732,894,0514,263,938
2011-07-15$12.06$12.1922.4%6.4%19.4%21.2%23.3%5.3%0.4%-89.8M1.56B-11.5M1.2810.90135,829174,1162,948,2114,317,443
2011-07-18$11.88$12.1922.5%6.5%20.0%21.5%23.7%5.7%1.4%-66.1M1.45B-11.0M2.6627.29135,664361,5182,022,6783,566,653
2011-07-19$12.06$12.1921.6%6.2%20.7%19.8%23.4%4.8%1.0%-70.9M1.34B-11.3M1.0027.89181,918181,2512,084,2943,740,723
2011-07-20$12.21$12.1922.0%6.3%20.7%20.6%21.1%4.9%0.6%-57.1M1.08B-12.0M0.228.94626,870139,4762,198,0633,834,697
2011-07-21$12.53$12.1921.3%6.1%22.5%19.3%20.3%4.8%1.4%-24.4M496.5M-12.8M0.3827.35359,016137,9772,680,3733,926,042
2011-07-22$12.45$12.1921.2%6.1%22.2%19.3%20.9%3.3%2.0%-36.8M574.6M-13.1M2.0828.6033,65970,1122,666,5073,975,497
2011-07-25$12.36$12.1923.1%6.6%22.3%22.4%23.2%4.3%1.0%-43.3M805.7M-12.8M3.9528.4452,425206,9432,599,0203,920,959
2011-07-26$12.33$12.1923.8%6.8%21.9%23.6%24.1%4.3%-0.2%-57.3M925.6M-12.8M1.1328.8383,42294,1862,628,9574,091,273
2011-07-27$12.05$12.1925.7%7.4%23.5%26.9%28.6%4.5%-0.4%-65.2M1.34B-12.5M2.9227.26115,860337,9822,672,1174,107,000
2011-07-28$12.06$12.1926.6%7.6%22.0%28.3%28.2%4.1%-1.1%-70.2M1.36B-12.8M1.1628.49182,256211,1782,745,3154,215,310
2011-07-29$12.02$12.1935.1%8.0%22.0%42.7%28.4%7.1%-1.7%-61.7M1.35B-12.9M0.6120.44187,585114,4392,797,3534,257,337