XLF Options History — October 2011

In October 2011, XLF traded between $9.16 and $11.41. ATM implied volatility averaged 45.9%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 2.0% (HV 20d: 47.9%). Max pain ranged from $10.56 to $10.56. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2011-10-27: Highest Volume — 1,196,467 contracts
2011-10-31: Largest IV spike — 45.6% change
2011-10-03: Highest IV Rank — 79.8%
2011-10-03: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.31	$9.16	$11.41	$9.16	$10.96
Max Pain	$10.56	$10.56	$10.56	$10.56	$10.56
ATM IV	45.9%	28.6%	81.5%	81.5%	41.6%
Expected Move	12.4%	8.5%	19.5%	19.5%	10.8%
HV 20d	47.9%	44.8%	52.3%	45.6%	46.5%
HV 60d	51.7%	48.6%	54.5%	48.6%	53.8%
IV Rank	40.2%	20.8%	79.8%	79.8%	35.3%
IV Percentile	86.4%	71.8%	99.2%	99.2%	84.9%
Term Structure	-1.2%	-6.5%	0.9%	-6.5%	0.0%
VWIV	44.5%	31.1%	63.4%	63.4%	36.4%
Skew 25d	12.9%	6.8%	18.5%	18.5%	7.1%
Skew 10d	26.9%	17.7%	37.0%	35.3%	19.7%
Call IV 25d	37.9%	26.9%	56.6%	56.6%	33.6%
Put IV 25d	50.8%	33.7%	75.1%	75.1%	40.7%
Bid-Ask Spread %	22.24	8.03	77.64	18.01	20.22
Gamma HHI	0.22	0.17	0.34	0.22	0.20
Net GEX	-2.3M	-41.1M	61.8M	-41.1M	15.2M
Net DEX	1.03B	-626.7M	2.39B	2.39B	182.6M
Net VEX	-11.8M	-12.5M	-10.6M	-10.6M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.33	1.97	1.97	1.75
Total Volume	574,209.476	201,571	1,196,467	450,536	404,851
Total OI	10,248,064.19	9,459,140	11,571,327	9,476,165	9,644,810

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
2011-10-03	$9.16	$10.56	81.5%	19.5%	45.6%	79.8%	63.4%	18.5%	-6.5%	-41.1M	2.39B	-10.6M	1.97	18.01	151,484	299,052	3,404,228	6,071,937
2011-10-04	$9.53	$10.56	64.4%	14.6%	48.0%	60.7%	59.1%	17.2%	-1.3%	-40.0M	2.14B	-11.3M	1.58	21.47	313,240	496,044	3,454,617	6,216,632
2011-10-05	$9.67	$10.56	60.7%	14.9%	44.8%	56.6%	53.1%	16.4%	-2.8%	-37.5M	1.96B	-11.3M	0.33	20.33	422,991	140,983	3,525,781	6,289,410
2011-10-06	$9.97	$10.56	50.5%	14.4%	45.9%	45.3%	48.5%	16.8%	-2.4%	-20.3M	1.52B	-11.8M	0.66	77.64	585,771	384,824	3,792,533	6,255,944
2011-10-07	$9.66	$10.56	48.0%	14.1%	45.9%	42.4%	52.0%	16.9%	-2.0%	-28.2M	1.86B	-11.7M	1.06	20.31	371,693	392,968	4,034,765	6,379,528
2011-10-10	$10.11	$10.56	57.5%	13.5%	48.6%	53.0%	45.4%	15.5%	-1.3%	-14.9M	1.41B	-11.8M	1.08	17.36	96,849	104,722	3,928,639	6,322,810
2011-10-11	$10.10	$10.56	55.7%	13.6%	48.5%	51.0%	43.0%	15.2%	-1.9%	-13.4M	1.39B	-11.5M	0.83	18.69	201,699	167,963	3,944,192	6,322,963
2011-10-12	$10.35	$10.56	41.4%	11.7%	49.2%	35.2%	45.3%	14.2%	-1.2%	1.9M	1.03B	-11.8M	0.66	17.59	433,381	285,485	4,005,761	6,335,734
2011-10-13	$10.11	$10.56	44.9%	12.9%	48.9%	39.0%	43.9%	12.0%	-1.2%	-13.1M	1.38B	-11.5M	1.40	15.85	134,569	187,771	4,104,717	6,441,316
2011-10-14	$10.24	$10.56	37.6%	10.8%	49.1%	30.9%	44.8%	10.9%	-0.2%	-2.2M	1.22B	-11.4M	1.13	15.88	373,317	422,466	4,147,607	6,451,605
2011-10-17	$9.92	$10.56	44.7%	12.8%	49.5%	38.8%	44.6%	13.4%	-1.0%	-26.7M	1.68B	-11.2M	1.54	15.03	134,495	207,528	4,262,510	6,710,883
2011-10-18	$10.39	$10.56	38.9%	11.1%	52.3%	32.3%	42.9%	12.0%	-0.8%	13.2M	934.1M	-12.0M	0.62	50.49	339,891	210,419	4,296,597	6,794,012
2011-10-19	$10.24	$10.56	39.9%	11.4%	49.0%	33.4%	41.6%	13.6%	0.3%	4.7M	1.15B	-11.9M	0.74	8.03	319,718	235,357	4,432,656	6,838,983
2011-10-20	$10.40	$10.56	41.0%	11.8%	47.7%	34.7%	44.9%	13.5%	-0.7%	20.2M	985.4M	-12.3M	0.36	16.46	399,183	142,877	4,433,458	6,906,641
2011-10-21	$10.67	$10.56	41.2%	11.8%	48.2%	34.8%	42.2%	13.3%	-1.8%	61.8M	228.6M	-12.5M	0.42	10.11	561,075	234,344	4,655,141	6,916,186
2011-10-24	$10.90	$10.56	37.5%	10.8%	46.5%	30.8%	38.3%	10.2%	-0.2%	8.3M	292.6M	-12.4M	1.47	11.98	168,072	247,680	3,943,060	5,516,080
2011-10-25	$10.58	$10.56	40.3%	11.6%	48.2%	33.9%	42.0%	10.3%	-0.7%	-88.6K	638.8M	-12.4M	1.58	12.57	154,941	245,280	3,968,131	5,521,554
2011-10-26	$10.76	$10.56	38.0%	10.9%	46.8%	31.3%	38.8%	9.8%	-0.0%	6.7M	477.1M	-12.4M	1.58	9.12	170,457	269,151	3,984,182	5,574,215
2011-10-27	$11.41	$10.56	30.8%	8.8%	49.8%	23.3%	34.1%	7.6%	0.9%	25.4M	-526.4M	-12.5M	0.48	9.87	810,333	386,134	4,012,687	5,680,333
2011-10-28	$11.41	$10.56	28.6%	8.5%	47.3%	20.8%	31.1%	6.8%	0.3%	31.9M	-626.7M	-11.8M	0.55	60.07	290,548	158,793	4,018,784	5,667,726
2011-10-31	$10.96	$10.56	41.6%	10.8%	46.5%	35.3%	36.4%	7.1%	0.0%	15.2M	182.6M	-11.9M	1.75	20.22	147,189	257,662	4,019,797	5,625,013