XLF Options History — January 2012

In January 2012, XLF traded between $10.81 and $11.54. ATM implied volatility averaged 24.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.5% (HV 20d: 21.6%). Max pain ranged from $10.56 to $11.37. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2012-01-20: Highest Volume — 596,364 contracts
2012-01-09: Largest IV spike — 33.2% change
2012-01-03: Highest IV Rank — 26.0%
2012-01-03: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.25	$10.81	$11.54	$10.84	$11.42
Max Pain	$10.84	$10.56	$11.37	$11.37	$11.37
ATM IV	24.2%	20.3%	33.2%	33.2%	26.2%
Expected Move	7.2%	6.0%	8.7%	8.7%	6.7%
HV 20d	21.6%	15.4%	29.7%	29.7%	15.4%
HV 60d	35.4%	29.3%	39.7%	39.7%	29.3%
IV Rank	15.9%	11.6%	26.0%	26.0%	18.2%
IV Percentile	43.0%	25.0%	62.7%	62.7%	53.6%
Term Structure	1.5%	0.5%	2.7%	0.6%	1.2%
VWIV	25.5%	21.2%	29.8%	28.0%	23.3%
Skew 25d	5.9%	4.1%	7.5%	7.5%	6.3%
Skew 10d	13.3%	8.3%	17.2%	13.0%	11.0%
Call IV 25d	23.2%	19.2%	26.9%	26.4%	21.1%
Put IV 25d	29.1%	25.1%	33.8%	33.8%	27.5%
Bid-Ask Spread %	18.43	7.82	27.60	9.86	23.08
Gamma HHI	0.44	0.27	0.73	0.42	0.32
Net GEX	46.3M	10.6M	118.9M	22.2M	43.7M
Net DEX	-207.4M	-966.1M	488.9M	328.3M	-414.1M
Net VEX	-6.8M	-7.6M	-6.1M	-7.6M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.19	3.04	0.57	0.66
Total Volume	307,386.5	99,479	596,364	247,425	351,560
Total OI	7,184,484.4	4,462,971	8,800,286	8,280,476	4,916,422

Daily Data (20 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
2012-01-03	$10.84	$11.37	33.2%	8.7%	29.7%	26.0%	28.0%	7.5%	0.6%	22.2M	328.3M	-7.6M	0.57	9.86	157,312	90,113	3,751,272	4,529,204
2012-01-04	$10.81	$11.37	27.4%	8.3%	29.1%	19.6%	28.1%	5.2%	1.3%	10.6M	488.9M	-7.3M	1.10	8.32	121,774	134,394	3,673,144	4,581,993
2012-01-05	$10.95	$11.37	21.7%	8.1%	29.4%	13.2%	26.6%	4.3%	2.4%	23.0M	213.0M	-7.6M	0.59	16.23	168,536	98,709	3,764,444	4,661,572
2012-01-06	$10.89	$10.56	20.3%	8.4%	29.2%	11.6%	29.8%	5.7%	1.2%	22.1M	294.2M	-7.5M	0.73	11.54	142,677	103,809	3,761,487	4,695,496
2012-01-09	$10.93	$10.56	27.0%	8.4%	25.1%	19.1%	27.3%	6.8%	0.6%	25.2M	282.0M	-7.1M	0.69	8.56	58,916	40,563	3,756,177	4,700,438
2012-01-10	$11.14	$10.56	22.9%	7.2%	24.8%	14.6%	25.4%	5.5%	1.7%	52.8M	-75.7M	-7.2M	0.34	18.09	260,161	88,258	3,780,024	4,701,115
2012-01-11	$11.27	$10.56	21.4%	7.2%	23.0%	12.8%	26.1%	6.4%	1.6%	64.1M	-299.6M	-7.3M	0.35	16.73	288,256	102,226	3,788,897	4,742,233
2012-01-12	$11.31	$10.56	26.8%	7.7%	22.0%	18.9%	27.6%	5.5%	0.6%	67.6M	-388.4M	-7.3M	0.82	22.62	326,137	267,485	3,801,530	4,772,244
2012-01-13	$11.23	$10.56	26.1%	7.5%	22.2%	18.1%	29.5%	6.7%	1.3%	44.8M	-145.0M	-7.4M	1.04	7.82	190,245	197,690	3,854,758	4,945,528
2012-01-17	$11.14	$10.56	25.9%	7.4%	22.6%	17.9%	27.8%	6.9%	2.1%	41.7M	96.1M	-6.8M	0.58	15.53	137,828	79,391	3,826,991	4,912,294
2012-01-18	$11.31	$10.56	24.4%	7.0%	22.8%	16.2%	26.3%	7.4%	1.8%	71.3M	-277.6M	-6.7M	0.84	15.38	200,643	168,599	3,802,264	4,926,684
2012-01-19	$11.41	$10.56	23.8%	6.8%	20.6%	15.5%	23.9%	6.3%	1.6%	118.9M	-553.5M	-6.5M	0.19	23.22	446,511	83,779	3,730,016	4,898,736
2012-01-20	$11.49	$10.56	21.0%	6.0%	17.6%	12.4%	21.2%	6.5%	2.2%	95.9M	-966.1M	-6.4M	0.25	27.60	477,565	118,799	3,820,058	4,927,033
2012-01-23	$11.53	$10.56	21.3%	6.1%	17.6%	12.7%	22.2%	5.8%	2.1%	40.5M	-518.1M	-6.2M	1.83	24.83	47,576	86,914	1,983,018	2,479,953
2012-01-24	$11.51	$10.56	21.8%	6.2%	16.8%	13.3%	23.9%	5.9%	1.3%	39.9M	-485.9M	-6.1M	3.04	22.69	36,242	110,214	1,998,200	2,495,462
2012-01-25	$11.54	$10.56	23.5%	6.7%	16.7%	15.2%	24.1%	5.6%	0.5%	35.7M	-500.7M	-6.2M	1.13	24.64	99,430	112,297	2,027,413	2,553,085
2012-01-26	$11.43	$11.37	22.8%	6.5%	16.9%	14.4%	22.9%	4.1%	0.8%	25.8M	-415.9M	-6.3M	1.09	26.50	110,696	120,355	2,058,250	2,599,131
2012-01-27	$11.48	$11.37	22.2%	6.5%	15.5%	13.7%	22.6%	4.4%	2.7%	37.2M	-471.9M	-6.2M	0.35	25.84	245,432	84,994	2,050,184	2,620,701
2012-01-30	$11.37	$11.37	23.4%	6.5%	15.7%	15.1%	23.3%	4.3%	1.9%	42.0M	-337.2M	-6.3M	2.00	19.54	63,955	127,689	2,200,011	2,602,226
2012-01-31	$11.42	$11.37	26.2%	6.7%	15.4%	18.2%	23.3%	6.3%	1.2%	43.7M	-414.1M	-6.5M	0.66	23.08	212,279	139,281	2,231,202	2,685,220