XLF Options History — September 2011

In September 2011, XLF traded between $9.39 and $10.63. ATM implied volatility averaged 45.9%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 0.2% (HV 20d: 45.7%). Max pain ranged from $10.56 to $12.19. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2011-09-06: Highest Volume — 1,030,568 contracts
  • 2011-09-06: Largest IV spike — 67.9% change
  • 2011-09-06: Highest IV Rank — 57.2%
  • 2011-09-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.04$9.39$10.63$10.63$9.59
Max Pain$10.75$10.56$12.19$12.19$10.56
ATM IV45.9%36.5%61.3%38.3%51.1%
Expected Move12.7%10.5%15.3%10.5%15.3%
HV 20d45.7%38.6%66.5%65.1%45.2%
HV 60d45.2%42.2%47.9%42.2%47.9%
IV Rank40.1%29.6%57.2%31.6%45.9%
IV Percentile93.0%88.5%98.8%92.5%94.8%
Term Structure-0.6%-2.7%2.4%0.9%-1.7%
VWIV47.3%36.4%57.9%36.4%57.9%
Skew 25d14.7%10.7%19.5%10.7%19.5%
Skew 10d27.4%18.6%33.4%18.6%31.9%
Call IV 25d39.1%32.7%48.0%32.7%48.0%
Put IV 25d53.8%43.4%67.4%43.4%67.4%
Bid-Ask Spread %19.365.6954.778.6819.02
Gamma HHI0.220.190.250.210.20
Net GEX-36.8M-61.3M-5.9M-48.3M-36.2M
Net DEX1.99B1.48B2.50B1.84B2.04B
Net VEX-11.4M-12.1M-10.3M-12.1M-11.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.446.674.122.41
Total Volume504,571.952171,5661,030,568323,523257,659
Total OI9,542,958.9057,896,03510,384,9499,868,3009,499,694

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$10.63$12.1938.3%10.5%65.1%31.6%36.4%10.7%0.9%-48.3M1.84B-12.1M4.128.6863,158260,3653,501,7756,366,525
2011-09-02$10.19$12.1936.5%10.9%66.5%29.6%48.7%14.6%2.4%-54.7M2.29B-11.4M5.0134.1380,493403,0023,471,8646,340,619
2011-09-06$10.01$11.3761.3%13.7%56.1%57.2%51.4%15.5%-2.5%-61.3M2.50B-10.9M3.638.70222,661807,9073,484,9276,493,175
2011-09-07$10.49$10.5638.5%11.2%52.0%31.9%43.2%13.2%-0.9%-41.7M1.91B-11.7M0.9829.49241,522236,8013,644,2736,215,470
2011-09-08$10.26$10.5640.2%11.5%45.6%33.7%42.2%14.3%-0.9%-38.2M2.09B-11.5M0.6716.62166,782111,6503,787,1676,218,021
2011-09-09$9.94$10.5660.3%14.6%43.1%56.2%50.2%17.3%-2.7%-44.4M2.30B-11.5M1.0011.23362,624362,2923,837,3596,260,163
2011-09-12$10.05$10.5659.8%14.3%43.4%55.5%53.0%16.7%-1.8%-39.1M2.21B-11.4M1.6410.34165,832272,2583,968,9356,260,630
2011-09-13$10.11$10.5651.2%13.4%41.7%46.1%42.1%13.8%-1.1%-39.2M2.22B-11.1M0.815.69259,391209,1603,968,7496,230,769
2011-09-14$10.22$10.5639.9%11.6%41.6%33.5%43.7%12.5%-0.9%-29.6M2.03B-11.0M1.0219.00189,208192,2214,063,7066,189,616
2011-09-15$10.50$10.5637.0%10.6%42.7%30.2%45.0%11.7%0.4%-5.9M1.68B-11.4M0.446.37700,313308,2444,104,1756,280,774
2011-09-16$10.48$10.5637.6%10.8%38.6%30.9%40.8%11.0%0.4%-18.8M1.99B-11.2M1.3322.30219,684291,5044,079,2316,299,287
2011-09-19$10.20$10.5638.7%11.1%39.2%32.1%45.5%13.2%0.7%-26.5M1.48B-11.0M6.6754.4288,291588,6062,881,2615,014,774
2011-09-20$10.17$10.5638.0%10.9%39.0%31.3%44.0%11.8%0.6%-32.8M1.60B-11.6M1.6710.7574,916125,4722,923,3905,459,276
2011-09-21$9.67$10.5644.7%12.8%41.7%38.8%45.3%14.6%0.5%-41.2M2.04B-10.8M1.1213.67166,892187,3142,939,0005,471,181
2011-09-22$9.39$10.5648.7%14.0%41.4%43.3%53.9%16.3%-1.2%-40.3M2.24B-10.3M2.2714.06313,249712,1043,038,8865,502,359
2011-09-23$9.49$10.5649.3%14.1%41.8%43.9%52.3%17.0%-0.9%-38.9M2.17B-11.0M2.5654.77242,077620,6643,216,1765,796,453
2011-09-26$9.91$10.5645.8%13.1%44.9%40.0%49.8%14.4%0.4%-35.4M1.84B-11.8M1.999.5878,842156,7053,258,2216,093,231
2011-09-27$9.96$10.5647.8%13.7%42.1%42.2%49.1%16.1%-2.0%-31.8M1.72B-11.9M1.2326.37229,545283,4303,291,8476,049,052
2011-09-28$9.67$10.5650.2%14.4%43.1%44.9%52.2%17.4%-1.8%-36.1M1.95B-11.7M2.7410.0445,881125,7263,370,6056,065,852
2011-09-29$9.94$10.5648.7%14.0%44.2%43.2%45.7%17.3%-0.9%-31.8M1.69B-12.0M0.9921.2286,03185,5353,390,2936,073,376
2011-09-30$9.59$10.5651.1%15.3%45.2%45.9%57.9%19.5%-1.7%-36.2M2.04B-11.6M2.4119.0275,610182,0493,414,0926,085,602