XLF Options History — April 2012

In April 2012, XLF traded between $12.16 and $12.93. ATM implied volatility averaged 23.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.4% (HV 20d: 19.7%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.99.

Notable Days

  • 2012-04-10: Highest Volume — 348,353 contracts
  • 2012-04-09: Largest IV spike — 80.4% change
  • 2012-04-10: Highest IV Rank — 23.8%
  • 2012-04-10: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.49$12.16$12.93$12.93$12.53
Max Pain$12.19$12.19$12.19$12.19$12.19
ATM IV23.1%16.0%31.2%18.1%22.2%
Expected Move6.4%4.8%7.6%5.1%6.3%
HV 20d19.7%17.9%21.8%20.7%19.3%
HV 60d18.0%16.5%18.8%16.6%18.5%
IV Rank14.7%6.8%23.8%9.2%13.7%
IV Percentile35.4%4.8%61.1%12.7%31.3%
Term Structure1.0%-0.3%2.8%1.6%1.2%
VWIV22.5%18.6%28.0%18.6%20.0%
Skew 25d5.5%2.5%7.7%3.1%5.5%
Skew 10d11.5%4.6%18.4%6.8%12.9%
Call IV 25d20.2%16.9%23.8%18.9%17.6%
Put IV 25d25.6%21.0%30.5%22.0%23.2%
Bid-Ask Spread %16.613.1925.3024.5818.27
Gamma HHI0.240.190.330.330.22
Net GEX27.0M-3.7M79.9M79.9M10.7M
Net DEX-345.8M-1.07B83.9M-1.07B-130.7M
Net VEX-9.3M-9.7M-8.8M-9.5M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.545.070.570.79
Total Volume192,579.7535,067348,35370,90435,067
Total OI5,417,721.154,782,4126,161,7895,115,1485,021,494

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$12.93$12.1918.1%5.1%20.7%9.2%18.6%3.1%1.6%79.9M-1.07B-9.5M0.5724.5845,02525,8792,829,8932,285,255
2012-04-03$12.87$12.1919.7%5.3%18.2%11.0%19.6%2.9%0.9%76.6M-987.1M-9.5M0.6617.39131,54086,7032,842,6362,293,198
2012-04-04$12.66$12.1927.4%5.8%19.4%19.6%23.3%3.9%-0.3%62.8M-733.0M-9.5M2.9022.8382,323238,4942,846,7202,322,231
2012-04-05$12.62$12.1916.0%5.9%19.4%6.8%21.6%2.5%-0.3%49.6M-627.8M-9.6M1.6524.92100,981166,8372,844,0252,424,692
2012-04-09$12.43$12.1928.9%7.1%20.3%21.2%24.6%6.2%-0.0%39.4M-383.9M-9.5M2.5915.5647,876124,0212,873,3262,551,885
2012-04-10$12.16$12.1931.2%7.6%21.8%23.8%28.0%6.8%-0.1%12.6M-14.1M-9.4M0.8325.30190,518157,8352,881,6382,621,659
2012-04-11$12.36$12.1926.5%7.2%17.9%18.5%23.7%7.1%0.5%28.2M-239.9M-9.7M3.4420.8759,159203,7212,944,8402,722,630
2012-04-12$12.58$12.1924.5%7.0%19.1%16.3%21.7%4.8%0.5%45.2M-578.3M-9.6M0.5420.48161,94588,0232,953,8872,797,542
2012-04-13$12.29$12.1925.6%7.3%19.8%17.5%25.6%6.3%0.9%9.6M-148.7M-9.6M2.1416.1587,967188,0072,982,9412,827,779
2012-04-16$12.38$12.1926.0%7.4%20.0%18.0%25.0%6.7%0.1%13.3M-170.6M-9.6M5.077.8732,682165,7763,002,5312,920,551
2012-04-17$12.53$12.1924.3%7.0%20.4%16.1%22.2%6.6%0.9%31.5M-449.9M-9.6M0.6014.15138,09282,2112,984,3882,924,176
2012-04-18$12.46$12.1923.8%6.8%20.4%15.5%22.6%5.8%1.4%18.3M-340.5M-9.5M0.8415.02107,48590,1612,988,6922,957,683
2012-04-19$12.40$12.1924.3%7.0%20.4%16.1%25.5%7.7%0.7%12.8M-268.8M-9.4M2.9814.7060,409180,3013,012,1203,009,455
2012-04-20$12.34$12.1922.1%6.3%19.9%13.6%22.8%7.0%2.4%621.6K-191.6M-9.2M1.073.1981,31986,7693,032,3083,129,481
2012-04-23$12.25$12.1923.5%6.7%19.7%15.2%24.8%6.1%0.9%-3.7M83.9M-8.9M3.164.7342,031132,7042,393,6492,388,763
2012-04-24$12.39$12.1921.7%6.2%19.2%13.2%22.3%7.3%2.1%3.6M-47.6M-8.9M2.9418.4340,745119,6672,405,3272,452,463
2012-04-25$12.49$12.1920.8%6.0%19.4%12.2%18.8%5.2%2.2%9.8M-145.3M-8.8M1.0124.1838,86339,2272,427,4882,487,037
2012-04-26$12.60$12.1916.6%4.8%19.7%7.5%19.7%4.1%2.8%19.3M-210.1M-8.8M4.276.1724,022102,6902,439,3912,512,675
2012-04-27$12.61$12.1918.4%4.8%19.4%9.5%18.9%4.0%2.1%19.9M-262.5M-9.1M1.7817.4923,18541,3352,442,2672,575,707
2012-04-30$12.53$12.1922.2%6.3%19.3%13.7%20.0%5.5%1.2%10.7M-130.7M-8.9M0.7918.2719,62815,4392,442,8812,578,613