XLF Options History — August 2011

In August 2011, XLF traded between $9.76 and $11.98. ATM implied volatility averaged 49.0%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 4.9% (HV 20d: 53.9%). Max pain ranged from $12.19 to $13.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.23.

Notable Days

2011-08-11: Highest Volume — 1,858,540 contracts
2011-08-08: Largest IV spike — 96.9% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.59	$9.76	$11.98	$11.98	$10.87
Max Pain	$12.22	$12.19	$13.00	$12.19	$12.19
ATM IV	49.0%	29.3%	99.7%	29.3%	54.3%
Expected Move	12.5%	7.6%	18.2%	7.6%	10.6%
HV 20d	53.9%	20.6%	67.9%	20.6%	67.6%
HV 60d	35.4%	19.1%	42.0%	19.1%	42.0%
IV Rank	47.0%	31.3%	100.0%	33.0%	49.5%
IV Percentile	97.5%	93.7%	100.0%	93.7%	98.4%
Term Structure	-2.1%	-10.4%	1.0%	-0.6%	0.2%
VWIV	45.2%	26.1%	64.9%	28.6%	36.3%
Skew 25d	16.5%	5.1%	27.1%	5.1%	12.1%
Skew 10d	31.3%	8.8%	48.8%	12.0%	19.6%
Call IV 25d	36.8%	22.9%	52.7%	26.2%	30.0%
Put IV 25d	53.2%	28.4%	79.8%	31.4%	42.1%
Bid-Ask Spread %	21.24	9.01	46.97	33.73	28.75
Gamma HHI	0.21	0.16	0.35	0.26	0.19
Net GEX	-53.5M	-84.7M	-33.1M	-68.9M	-42.4M
Net DEX	2.32B	1.41B	2.91B	1.41B	1.59B
Net VEX	-11.4M	-12.4M	-9.3M	-12.4M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	1.10	4.29	2.11	1.69
Total Volume	665,848.522	200,026	1,858,540	235,960	399,537
Total OI	8,860,028.696	7,089,969	10,002,611	7,089,969	9,771,135

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
2011-08-01	$11.98	$12.19	29.3%	7.6%	20.6%	33.0%	28.6%	5.1%	-0.6%	-68.9M	1.41B	-12.4M	2.11	33.73	75,903	160,057	2,849,077	4,240,892
2011-08-02	$11.66	$12.19	31.8%	8.2%	22.3%	37.2%	26.1%	7.3%	-1.2%	-80.3M	2.01B	-11.2M	2.20	34.98	159,011	350,405	2,888,763	4,286,016
2011-08-03	$11.72	$12.19	33.4%	7.7%	22.5%	39.8%	26.3%	5.5%	1.0%	-84.7M	1.95B	-11.5M	2.64	11.73	99,481	262,199	2,946,895	4,391,335
2011-08-04	$11.07	$12.19	37.4%	9.2%	28.3%	46.6%	34.4%	8.4%	0.6%	-65.7M	2.40B	-10.9M	1.36	27.59	267,852	364,599	2,961,589	4,302,157
2011-08-05	$10.93	$13.00	50.6%	11.8%	28.3%	69.1%	36.1%	13.6%	-4.1%	-57.9M	2.55B	-10.7M	2.37	33.30	287,904	683,303	3,134,034	4,435,036
2011-08-08	$9.88	$12.19	99.7%	18.1%	43.3%	100.0%	59.9%	27.1%	-10.4%	-33.1M	2.84B	-9.3M	4.24	16.13	343,154	1,453,496	3,169,708	4,550,595
2011-08-09	$10.64	$12.19	52.5%	12.3%	52.8%	47.5%	46.7%	16.5%	-2.8%	-58.9M	2.77B	-11.0M	2.43	46.97	251,066	610,041	3,333,136	5,197,337
2011-08-10	$9.90	$12.19	81.8%	18.2%	57.5%	80.1%	61.3%	24.1%	-8.7%	-39.0M	2.91B	-10.3M	1.60	24.00	391,313	624,635	3,451,257	5,212,833
2011-08-11	$10.42	$12.19	50.3%	14.4%	61.5%	45.0%	64.9%	24.2%	-3.0%	-47.3M	2.79B	-11.4M	4.29	18.86	351,278	1,507,262	3,406,901	5,471,326
2011-08-12	$10.38	$12.19	48.3%	13.8%	61.5%	42.7%	54.7%	22.9%	-2.6%	-42.4M	2.46B	-11.8M	3.33	29.43	164,451	548,004	3,574,117	5,596,529
2011-08-15	$10.71	$12.19	41.6%	11.9%	63.0%	35.4%	45.8%	18.3%	-0.7%	-48.9M	2.30B	-11.9M	1.80	12.72	125,086	225,525	3,603,557	5,799,273
2011-08-16	$10.53	$12.19	41.1%	11.8%	62.7%	34.7%	46.9%	16.3%	-0.8%	-50.0M	2.51B	-11.2M	1.83	12.04	130,836	239,085	3,633,202	5,849,607
2011-08-17	$10.57	$12.19	38.0%	10.9%	62.4%	31.3%	38.4%	11.8%	-0.0%	-52.2M	2.36B	-11.2M	1.31	11.02	155,118	202,715	3,668,108	5,886,195
2011-08-18	$10.06	$12.19	53.2%	15.3%	62.8%	48.3%	51.4%	21.1%	-4.8%	-50.7M	2.76B	-10.7M	2.80	14.04	208,838	584,714	3,722,620	5,906,315
2011-08-19	$9.85	$12.19	53.5%	15.3%	62.9%	48.6%	53.7%	23.6%	-1.9%	-71.4M	2.89B	-10.8M	2.79	9.01	158,644	443,001	3,807,818	6,194,793
2011-08-22	$9.76	$12.19	56.4%	16.2%	62.9%	51.8%	55.9%	23.7%	-4.5%	-44.0M	2.48B	-10.7M	2.21	12.54	211,715	467,163	3,182,014	5,631,299
2011-08-23	$10.06	$12.19	51.7%	14.8%	64.6%	46.6%	56.4%	19.8%	-3.5%	-53.7M	2.34B	-11.3M	3.17	11.04	179,070	567,718	3,288,364	5,920,742
2011-08-24	$10.32	$12.19	41.5%	11.9%	65.6%	35.2%	47.8%	17.0%	0.9%	-51.4M	2.13B	-12.1M	1.54	29.40	184,809	283,821	3,357,480	6,169,995
2011-08-25	$10.29	$12.19	45.7%	13.1%	65.5%	39.9%	51.0%	18.3%	-1.4%	-46.8M	2.12B	-12.2M	1.78	9.75	277,131	492,807	3,430,764	6,191,199
2011-08-26	$10.37	$12.19	43.4%	11.8%	65.8%	37.4%	40.8%	16.9%	-0.4%	-49.5M	2.12B	-12.3M	1.49	13.46	120,441	179,210	3,488,322	6,438,625
2011-08-29	$10.80	$12.19	45.3%	11.0%	67.9%	39.5%	38.4%	12.3%	-0.2%	-45.8M	1.77B	-12.2M	1.21	26.61	145,860	176,232	3,448,013	6,278,181
2011-08-30	$10.73	$12.19	46.6%	10.8%	67.4%	40.9%	37.0%	12.4%	-0.3%	-45.9M	1.80B	-12.0M	1.10	21.43	95,033	104,993	3,466,485	6,247,021
2011-08-31	$10.87	$12.19	54.3%	10.6%	67.6%	49.5%	36.3%	12.1%	0.2%	-42.4M	1.59B	-12.1M	1.69	28.75	148,414	251,123	3,477,896	6,293,239