XLF Options History — May 2012

In May 2012, XLF traded between $11.19 and $12.66. ATM implied volatility averaged 25.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.0% (HV 20d: 16.7%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.46.

Notable Days

2012-05-17: Highest Volume — 867,029 contracts
2012-05-29: Largest IV spike — 54.5% change
2012-05-29: Highest IV Rank — 25.3%
2012-05-18: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.80	$11.19	$12.66	$12.66	$11.38
Max Pain	$12.19	$12.19	$12.19	$12.19	$12.19
ATM IV	25.7%	15.5%	32.6%	21.3%	29.0%
Expected Move	7.4%	5.1%	8.8%	5.1%	8.0%
HV 20d	16.7%	13.8%	19.7%	19.5%	17.9%
HV 60d	18.7%	17.9%	19.8%	17.9%	19.3%
IV Rank	17.6%	6.3%	25.3%	12.7%	21.4%
IV Percentile	44.5%	2.4%	62.3%	26.2%	56.3%
Term Structure	0.5%	-1.1%	2.2%	1.9%	1.8%
VWIV	27.2%	18.6%	34.1%	19.0%	29.9%
Skew 25d	7.1%	2.4%	10.1%	3.7%	7.2%
Skew 10d	14.8%	6.9%	21.5%	14.2%	15.0%
Call IV 25d	23.1%	17.3%	28.6%	17.8%	25.8%
Put IV 25d	30.2%	21.3%	38.5%	21.4%	33.0%
Bid-Ask Spread %	16.15	6.33	28.22	19.27	10.86
Gamma HHI	0.28	0.21	0.48	0.24	0.28
Net GEX	-40.7M	-85.0M	23.2M	23.2M	-54.7M
Net DEX	635.4M	-345.8M	1.40B	-345.8M	1.01B
Net VEX	-9.0M	-10.3M	-8.2M	-8.7M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.46	0.97	12.11	2.33	0.97
Total Volume	295,627.682	70,961	867,029	123,083	203,123
Total OI	5,636,712.045	5,031,483	6,535,240	5,031,483	6,502,382

Daily Data (22 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
2012-05-01	$12.66	$12.19	21.3%	5.1%	19.5%	12.7%	19.0%	3.7%	1.9%	23.2M	-345.8M	-8.7M	2.33	19.27	36,930	86,153	2,446,544	2,584,939
2012-05-02	$12.57	$12.19	15.5%	6.1%	19.6%	6.3%	19.8%	4.0%	1.3%	8.7M	-160.8M	-8.8M	1.32	18.80	40,939	54,062	2,450,493	2,631,387
2012-05-03	$12.46	$12.19	22.2%	5.9%	19.0%	13.8%	18.6%	2.4%	2.2%	-6.1M	-17.3M	-8.7M	1.78	28.22	40,297	71,738	2,456,287	2,639,330
2012-05-04	$12.27	$12.19	21.5%	6.5%	19.7%	13.0%	23.7%	6.1%	-0.4%	-24.2M	200.1M	-8.7M	2.35	7.51	24,977	58,756	2,467,138	2,683,128
2012-05-07	$12.34	$12.19	24.7%	6.6%	19.1%	16.6%	24.6%	7.2%	0.1%	-18.5M	107.8M	-8.6M	2.17	16.54	22,372	48,589	2,464,103	2,681,588
2012-05-08	$12.26	$12.19	25.1%	6.8%	17.5%	17.0%	23.0%	5.8%	-0.4%	-28.9M	226.6M	-8.5M	1.99	8.54	51,711	102,712	2,478,732	2,687,960
2012-05-09	$12.12	$12.19	22.5%	6.8%	17.0%	14.1%	25.6%	5.6%	-0.4%	-48.5M	422.1M	-8.4M	1.87	11.10	61,001	113,770	2,483,735	2,743,171
2012-05-10	$12.17	$12.19	23.2%	6.7%	15.6%	14.9%	25.5%	6.2%	-0.2%	-47.9M	272.1M	-8.5M	4.95	8.32	35,992	178,104	2,517,444	2,761,490
2012-05-11	$12.03	$12.19	23.2%	6.7%	13.8%	14.9%	25.7%	6.2%	-0.2%	-51.4M	560.1M	-8.5M	2.40	18.58	100,421	240,566	2,514,146	2,862,086
2012-05-14	$11.79	$12.19	25.9%	7.4%	15.0%	17.8%	28.7%	5.6%	-1.1%	-42.4M	702.1M	-8.4M	4.62	20.01	60,707	280,712	2,566,774	2,811,870
2012-05-15	$11.72	$12.19	29.0%	8.3%	14.1%	21.4%	28.3%	7.1%	-0.7%	-46.2M	789.4M	-8.5M	4.26	18.61	57,819	246,113	2,591,473	2,880,102
2012-05-16	$11.55	$12.19	28.4%	8.1%	14.7%	20.6%	28.9%	6.7%	0.5%	-63.4M	951.5M	-8.5M	12.11	19.96	19,678	238,382	2,622,780	3,011,630
2012-05-17	$11.32	$12.19	29.9%	8.6%	15.8%	22.4%	31.3%	6.0%	-0.6%	-85.0M	1.21B	-8.2M	8.52	18.28	91,073	775,956	2,627,835	3,013,407
2012-05-18	$11.19	$12.19	30.6%	8.8%	16.0%	23.0%	31.9%	9.8%	-0.5%	-57.2M	1.40B	-9.1M	1.87	18.23	272,177	508,213	2,688,945	3,376,026
2012-05-21	$11.30	$12.19	26.8%	7.7%	16.9%	18.9%	28.2%	9.9%	0.9%	-49.4M	1.02B	-9.4M	2.39	14.92	84,630	202,054	2,389,206	3,304,324
2012-05-22	$11.38	$12.19	27.8%	8.0%	16.4%	19.9%	32.4%	10.1%	0.8%	-47.1M	969.8M	-9.7M	1.80	20.87	110,679	198,935	2,417,971	3,336,393
2012-05-23	$11.42	$12.19	28.1%	8.1%	16.0%	20.3%	32.8%	8.8%	0.9%	-44.3M	887.3M	-9.8M	3.29	19.33	105,500	347,306	2,447,408	3,364,307
2012-05-24	$11.43	$12.19	27.6%	7.9%	15.4%	19.7%	28.7%	9.7%	1.9%	-54.9M	886.7M	-9.9M	7.86	14.50	70,033	550,605	2,505,350	3,578,178
2012-05-25	$11.39	$12.19	21.1%	7.7%	15.3%	12.5%	28.4%	9.5%	2.0%	-53.0M	1.00B	-10.3M	1.82	6.33	67,544	122,792	2,539,772	3,862,034
2012-05-29	$11.55	$12.19	32.6%	7.8%	16.7%	25.3%	34.1%	9.8%	1.0%	-48.2M	783.6M	-10.1M	3.33	20.77	69,723	231,860	2,585,250	3,895,307
2012-05-30	$11.28	$12.19	29.2%	8.2%	17.2%	21.5%	29.7%	8.0%	0.1%	-57.0M	1.11B	-9.9M	2.19	15.84	68,725	150,380	2,611,744	3,923,496
2012-05-31	$11.38	$12.19	29.0%	8.0%	17.9%	21.4%	29.9%	7.2%	1.8%	-54.7M	1.01B	-9.8M	0.97	10.86	102,923	100,200	2,662,796	3,839,586