XLF Options History — December 2011

In December 2011, XLF traded between $9.98 and $10.84. ATM implied volatility averaged 33.4%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.9% (HV 20d: 36.3%). Max pain ranged from $10.56 to $11.37. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2011-12-15: Highest Volume — 1,713,868 contracts
  • 2011-12-09: Largest IV drop — 20.3% change
  • 2011-12-06: Highest IV Rank — 39.6%
  • 2011-12-07: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.46$9.98$10.84$10.35$10.56
Max Pain$11.30$10.56$11.37$10.56$11.37
ATM IV33.4%23.0%45.5%35.7%23.0%
Expected Move9.4%7.6%11.1%10.6%8.3%
HV 20d36.3%28.7%39.6%39.4%28.7%
HV 60d43.2%39.9%45.0%44.6%39.9%
IV Rank26.2%14.6%39.6%28.7%14.6%
IV Percentile65.3%40.5%85.3%67.5%40.5%
Term Structure1.3%-1.3%3.4%-1.2%1.7%
VWIV33.2%26.2%40.6%39.9%28.2%
Skew 25d7.5%4.8%10.6%7.8%5.7%
Skew 10d15.9%9.5%22.6%15.3%12.7%
Call IV 25d30.8%25.0%38.0%36.3%28.2%
Put IV 25d38.4%30.2%45.4%44.1%33.9%
Bid-Ask Spread %9.663.1023.847.494.13
Gamma HHI0.230.190.320.210.27
Net GEX-28.3M-69.7M4.2M-49.4M-8.2M
Net DEX1.16B523.0M2.03B1.48B771.7M
Net VEX-8.7M-10.6M-7.3M-10.5M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.094.672.760.27
Total Volume441,889.905115,6921,713,868690,873214,032
Total OI10,115,931.0487,579,82411,972,60111,455,6798,068,437

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$10.35$10.5635.7%10.6%39.4%28.7%39.9%7.8%-1.2%-49.4M1.48B-10.5M2.767.49183,658507,2154,238,6157,217,064
2011-12-02$10.49$10.5642.2%10.9%39.2%36.0%40.6%5.5%-1.3%-48.7M1.31B-10.6M1.477.81232,650343,0404,208,1337,381,940
2011-12-05$10.68$11.3745.4%10.6%39.6%39.6%37.5%9.9%-0.3%-36.1M961.3M-10.3M1.286.21184,820236,4334,269,3837,338,214
2011-12-06$10.71$11.3745.5%10.7%39.6%39.6%34.5%10.6%-0.9%-28.3M895.0M-10.1M0.407.64125,15549,4364,326,6737,409,732
2011-12-07$10.84$11.3742.5%11.1%39.2%36.4%36.0%8.7%-1.0%-22.9M582.6M-10.3M0.4515.92331,475148,1304,343,9817,374,520
2011-12-08$10.41$11.3743.2%11.1%36.5%37.1%37.2%9.3%-0.4%-47.2M1.28B-10.1M0.5817.53330,383190,9174,521,3177,400,843
2011-12-09$10.64$11.3734.4%10.4%37.3%27.3%35.2%7.7%0.4%-30.7M848.7M-9.6M1.8615.09226,861421,9084,496,6787,368,695
2011-12-12$10.39$11.3735.3%10.4%37.4%28.4%39.7%9.8%-0.0%-69.7M1.68B-8.9M4.675.76170,283794,6404,465,4787,507,123
2011-12-13$10.24$11.3735.4%10.0%37.1%28.5%35.0%8.8%2.2%-57.7M1.88B-8.5M1.2923.84144,462186,7244,460,0907,345,066
2011-12-14$10.20$11.3729.8%9.5%37.1%22.1%37.4%10.2%2.4%-54.2M1.91B-8.5M1.6814.48153,466257,6524,517,6127,268,234
2011-12-15$10.21$11.3731.5%9.0%36.0%24.1%32.3%8.4%2.6%-49.2M1.90B-8.1M0.096.081,576,476137,3924,578,5577,231,699
2011-12-16$10.19$11.3729.5%8.5%35.3%21.9%30.6%8.5%3.4%-25.5M2.03B-7.8M0.4514.15210,40095,3304,478,1977,201,059
2011-12-19$9.98$11.3734.6%9.9%36.1%27.5%35.8%8.0%1.7%-28.5M1.39B-7.4M0.695.11230,281160,0183,166,6184,413,206
2011-12-20$10.33$11.3729.5%8.5%37.2%21.9%30.8%5.8%2.2%-16.7M1.05B-7.9M0.376.58232,21885,9473,319,1344,453,987
2011-12-21$10.39$11.3727.0%7.7%36.9%19.1%28.3%5.9%2.8%-9.1M949.9M-7.7M1.353.1094,073127,3883,450,8244,442,052
2011-12-22$10.61$11.3727.1%7.8%35.6%19.2%27.5%4.8%2.7%4.2M651.9M-7.9M0.487.46220,503105,7263,472,0814,490,526
2011-12-23$10.68$11.3726.5%7.6%35.6%18.5%26.2%6.1%3.3%2.8M523.0M-8.0M1.168.0392,277107,0483,581,0004,509,676
2011-12-27$10.60$11.3726.9%7.7%34.7%19.0%27.6%4.9%2.8%-390.4K657.5M-7.7M1.7111.4045,97578,5593,537,7654,490,935
2011-12-28$10.45$11.3727.9%8.0%35.2%20.1%28.6%5.3%2.0%-11.7M874.5M-7.3M1.527.0445,85069,8423,541,2564,480,498
2011-12-29$10.62$11.3728.2%8.1%28.7%20.5%27.9%6.9%1.4%-6.3M758.6M-7.5M1.427.9754,07376,9723,545,5844,522,070
2011-12-30$10.56$11.3723.0%8.3%28.7%14.6%28.2%5.7%1.7%-8.2M771.7M-7.5M0.274.13168,38845,6443,543,1644,525,273