XLF Options History — November 2011

In November 2011, XLF traded between $9.55 and $11.06. ATM implied volatility averaged 43.1%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 2.5% (HV 20d: 45.6%). Max pain ranged from $10.56 to $11.37. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.69.

Notable Days

2011-11-11: Highest Volume — 1,817,857 contracts
2011-11-17: Largest IV spike — 21.4% change
2011-11-01: Highest IV Rank — 47.5%
2011-11-17: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.34	$9.55	$11.06	$10.45	$10.41
Max Pain	$10.99	$10.56	$11.37	$10.56	$10.56
ATM IV	43.1%	37.3%	52.6%	52.6%	38.2%
Expected Move	11.9%	9.5%	13.7%	12.7%	10.4%
HV 20d	45.6%	37.5%	49.9%	49.2%	40.9%
HV 60d	45.6%	44.1%	50.6%	50.6%	45.6%
IV Rank	37.0%	30.5%	47.5%	47.5%	31.5%
IV Percentile	82.6%	71.8%	94.0%	94.0%	71.8%
Term Structure	-0.9%	-3.0%	0.7%	-0.4%	-0.7%
VWIV	43.9%	38.2%	49.6%	48.4%	39.6%
Skew 25d	11.5%	5.9%	16.7%	14.4%	5.9%
Skew 10d	24.0%	13.4%	37.3%	35.1%	16.9%
Call IV 25d	37.1%	30.9%	45.5%	39.8%	34.7%
Put IV 25d	48.6%	40.6%	55.4%	54.2%	40.6%
Bid-Ask Spread %	19.66	5.79	78.07	60.29	12.11
Gamma HHI	0.21	0.17	0.25	0.17	0.20
Net GEX	-36.2M	-78.5M	20.7M	-3.2M	-52.2M
Net DEX	1.43B	56.7M	2.62B	813.9M	1.46B
Net VEX	-11.3M	-13.1M	-9.8M	-12.1M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.69	0.46	13.21	2.09	1.39
Total Volume	546,273	175,495	1,817,857	773,110	684,988
Total OI	10,788,107.667	9,736,236	12,049,399	9,736,236	11,409,524

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
2011-11-01	$10.45	$10.56	52.6%	12.7%	49.2%	47.5%	48.4%	14.4%	-0.4%	-3.2M	813.9M	-12.1M	2.09	60.29	250,355	522,755	4,036,840	5,699,396
2011-11-02	$10.76	$10.56	52.3%	11.9%	49.9%	47.3%	40.4%	12.1%	-1.0%	920.8K	674.8M	-12.5M	1.16	17.69	275,117	318,490	4,107,326	5,843,196
2011-11-03	$10.94	$10.56	42.2%	11.6%	49.2%	36.0%	39.8%	11.9%	0.7%	13.9M	373.0M	-13.1M	1.41	78.07	111,905	157,847	4,310,611	5,943,834
2011-11-04	$10.80	$11.37	41.3%	11.7%	47.8%	35.0%	48.1%	15.4%	-1.7%	3.3M	546.7M	-12.3M	3.44	61.16	59,280	204,001	4,095,917	5,995,958
2011-11-07	$10.85	$11.37	46.0%	11.4%	45.5%	40.2%	41.0%	14.2%	-1.5%	7.0M	486.7M	-11.9M	1.12	8.68	113,398	126,610	4,073,130	6,025,807
2011-11-08	$11.06	$11.37	37.3%	9.5%	45.7%	30.5%	38.2%	10.7%	-0.8%	20.7M	56.7M	-11.5M	1.96	9.47	112,574	220,787	4,094,278	6,018,995
2011-11-09	$10.45	$11.37	42.6%	12.5%	49.8%	36.5%	48.5%	15.6%	-2.7%	-13.5M	1.11B	-11.6M	2.16	10.97	152,372	329,766	4,091,983	6,079,371
2011-11-10	$10.50	$11.37	42.0%	12.0%	49.0%	35.8%	46.0%	16.7%	-1.4%	-16.3M	1.08B	-11.4M	2.11	37.59	80,133	169,392	4,139,197	6,226,815
2011-11-11	$10.74	$11.37	39.5%	11.3%	49.4%	32.9%	44.6%	11.3%	-0.6%	141.7K	662.5M	-11.5M	13.21	16.86	127,953	1,689,904	4,176,443	6,316,638
2011-11-14	$10.54	$11.37	39.4%	11.3%	48.5%	32.9%	44.1%	12.7%	-0.7%	-39.1M	1.27B	-12.0M	7.73	6.29	79,966	618,526	4,203,147	7,513,215
2011-11-15	$10.58	$11.37	38.7%	11.1%	45.7%	32.1%	38.9%	11.9%	-0.4%	-38.9M	1.33B	-11.7M	0.58	5.79	206,424	120,089	4,193,699	7,493,476
2011-11-16	$10.32	$11.37	39.5%	11.3%	46.4%	33.0%	42.0%	12.5%	0.5%	-55.0M	1.75B	-11.5M	1.31	8.18	134,947	176,386	4,210,990	7,454,063
2011-11-17	$10.12	$11.37	47.9%	13.7%	46.6%	42.4%	47.4%	14.3%	-2.8%	-78.5M	2.12B	-11.1M	2.72	8.55	197,535	537,002	4,217,119	7,513,177
2011-11-18	$10.15	$11.37	44.6%	12.8%	45.5%	38.7%	44.0%	10.7%	-0.8%	-66.8M	2.06B	-11.1M	1.63	11.88	159,061	259,998	4,253,525	7,795,874
2011-11-21	$9.90	$10.56	43.6%	12.5%	45.2%	37.5%	45.2%	9.6%	-0.7%	-67.9M	2.16B	-10.5M	2.26	9.76	74,088	167,740	3,663,961	6,732,652
2011-11-22	$9.81	$10.56	41.2%	11.8%	44.2%	34.9%	44.0%	6.8%	0.1%	-77.9M	2.36B	-9.9M	4.31	10.95	91,242	393,631	3,686,330	6,770,185
2011-11-23	$9.55	$10.56	46.0%	13.2%	44.2%	40.3%	48.0%	6.5%	-3.0%	-73.2M	2.62B	-10.0M	2.89	9.82	391,085	1,131,396	3,731,309	6,822,175
2011-11-25	$9.57	$10.56	39.7%	13.3%	37.5%	33.3%	49.6%	8.6%	-1.3%	-72.7M	2.59B	-10.6M	1.42	10.12	72,382	103,113	3,964,497	7,237,227
2011-11-28	$9.85	$10.56	44.6%	12.1%	39.7%	38.7%	43.7%	10.8%	0.2%	-74.4M	2.33B	-9.8M	1.10	11.29	199,816	220,444	3,972,577	7,175,360
2011-11-29	$9.81	$10.56	45.4%	11.8%	37.7%	39.6%	40.2%	8.1%	0.1%	-75.3M	2.30B	-10.0M	0.46	7.32	293,384	135,851	4,037,032	7,223,412
2011-11-30	$10.41	$10.56	38.2%	10.4%	40.9%	31.5%	39.6%	5.9%	-0.7%	-52.2M	1.46B	-10.4M	1.39	12.11	286,881	398,107	4,154,954	7,254,570