XLF Options History — February 2012

In February 2012, XLF traded between $11.60 and $12.04. ATM implied volatility averaged 21.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.3% (HV 20d: 15.3%). Max pain ranged from $11.37 to $11.37. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2012-02-03: Highest Volume — 654,170 contracts
  • 2012-02-29: Largest IV spike — 24.6% change
  • 2012-02-15: Highest IV Rank — 20.5%
  • 2012-02-15: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.90$11.60$12.04$11.60$11.99
Max Pain$11.37$11.37$11.37$11.37$11.37
ATM IV21.6%15.5%28.3%26.6%25.8%
Expected Move6.3%5.3%8.1%6.5%5.8%
HV 20d15.3%13.7%16.4%13.8%15.7%
HV 60d25.7%20.6%29.5%29.2%20.6%
IV Rank13.0%6.3%20.5%18.6%17.8%
IV Percentile29.9%3.6%58.3%54.4%51.6%
Term Structure0.8%-0.7%2.7%2.2%-0.0%
VWIV23.5%19.5%27.8%21.6%22.1%
Skew 25d5.8%3.7%7.8%3.7%4.7%
Skew 10d14.0%9.3%17.9%9.3%14.2%
Call IV 25d20.7%16.3%23.2%21.5%19.0%
Put IV 25d26.5%23.7%30.7%25.2%23.7%
Bid-Ask Spread %16.475.6852.6426.8613.23
Gamma HHI0.400.320.530.320.34
Net GEX58.9M37.6M81.2M56.3M39.2M
Net DEX-814.0M-1.23B-366.4M-651.9M-458.2M
Net VEX-7.6M-8.0M-7.0M-7.0M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.213.330.371.17
Total Volume248,754.3583,861654,170264,099129,873
Total OI5,570,758.855,126,6096,144,8855,126,6095,603,192

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$11.60$11.3726.6%6.5%13.8%18.6%21.6%3.7%2.2%56.3M-651.9M-7.0M0.3726.86192,21271,8872,358,7232,767,886
2012-02-02$11.66$11.3721.6%6.4%13.7%13.1%21.9%3.9%2.7%61.0M-740.5M-7.1M0.2526.77109,86227,3582,408,7882,796,784
2012-02-03$11.97$11.3718.3%6.6%15.5%9.4%24.5%6.2%-0.3%64.8M-1.13B-7.3M0.3913.21469,865184,3052,502,2782,808,059
2012-02-06$11.89$11.3722.8%6.6%15.5%14.4%23.1%4.6%-0.0%80.5M-1.07B-7.5M0.6013.69130,59378,6712,693,6352,813,034
2012-02-07$11.91$11.3719.5%6.5%15.6%10.8%24.8%4.8%0.3%72.8M-1.12B-7.4M0.6616.5494,92462,6702,689,4082,912,305
2012-02-08$12.00$11.3719.8%6.4%14.6%11.1%23.0%5.0%0.6%81.2M-1.23B-7.5M0.7216.9187,70063,0222,729,9692,882,775
2012-02-09$11.94$11.3723.3%6.7%14.6%14.9%23.0%5.7%0.1%79.7M-1.13B-7.5M0.2152.64210,94043,8242,727,3052,898,163
2012-02-10$11.84$11.3723.2%6.7%15.2%14.9%27.8%7.6%0.5%73.1M-951.4M-7.5M2.1122.0578,241164,9682,708,8842,922,513
2012-02-13$11.94$11.3722.3%6.4%14.9%13.9%26.6%6.0%1.0%79.4M-1.09B-7.4M1.9121.5892,325176,6452,712,0482,992,323
2012-02-14$11.83$11.3723.1%6.6%15.1%14.7%26.7%7.0%1.0%62.4M-831.3M-7.6M1.4722.84107,788158,0392,682,7973,115,462
2012-02-15$11.75$11.3728.3%8.1%14.7%20.5%27.0%7.5%-0.7%56.6M-747.3M-7.7M2.6412.6174,484196,7192,697,0983,189,814
2012-02-16$11.94$11.3722.7%6.5%15.3%14.3%26.3%7.0%1.6%58.8M-929.1M-7.9M1.698.4495,288161,3882,721,3143,320,588
2012-02-17$12.01$11.3721.1%6.1%15.3%12.5%22.2%5.4%1.9%49.1M-1.03B-7.9M0.2811.80474,722130,8292,762,4613,382,424
2012-02-21$12.01$11.3720.5%5.9%15.3%11.8%22.4%6.1%1.5%44.2M-653.2M-8.0M3.3310.3239,127130,3702,407,2252,882,406
2012-02-22$11.85$11.3720.1%5.8%16.2%11.4%24.3%5.3%1.2%37.6M-366.4M-7.8M0.4511.78198,45989,7992,410,2762,967,823
2012-02-23$11.96$11.3718.5%5.3%16.4%9.6%19.5%7.3%1.3%50.7M-543.8M-7.9M1.696.7258,25898,3672,453,6132,998,067
2012-02-24$11.92$11.3715.5%5.4%16.0%6.3%20.5%6.6%0.8%38.7M-429.0M-7.9M2.7710.0036,00699,8292,428,0313,059,849
2012-02-27$12.01$11.3717.7%5.7%16.1%8.8%21.5%4.5%-0.0%42.3M-578.4M-7.8M2.125.6826,88056,9812,419,1323,074,501
2012-02-28$12.04$11.3720.7%5.4%15.5%12.1%21.2%7.8%1.4%50.4M-593.4M-7.8M0.855.81147,297124,5722,412,3193,101,905
2012-02-29$11.99$11.3725.8%5.8%15.7%17.8%22.1%4.7%-0.0%39.2M-458.2M-7.8M1.1713.2359,73370,1402,422,9803,180,212