XLF Options History — June 2012

In June 2012, XLF traded between $10.85 and $11.89. ATM implied volatility averaged 26.8%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.7% (HV 20d: 25.1%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2012-06-29: Highest Volume — 448,130 contracts
  • 2012-06-29: Largest IV drop — 33.9% change
  • 2012-06-04: Highest IV Rank — 33.8%
  • 2012-06-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.46$10.85$11.89$10.96$11.89
Max Pain$11.41$11.37$12.19$12.19$11.37
ATM IV26.8%16.1%40.2%34.9%16.1%
Expected Move7.7%5.5%10.6%10.6%5.5%
HV 20d25.1%21.1%27.6%21.3%23.2%
HV 60d20.9%20.1%22.0%20.6%22.0%
IV Rank18.9%7.0%33.8%27.8%7.0%
IV Percentile42.7%2.8%74.6%63.9%2.8%
Term Structure0.6%-2.5%2.2%-2.5%2.2%
VWIV28.1%23.2%33.6%33.4%23.3%
Skew 25d7.7%4.7%9.8%8.9%7.4%
Skew 10d15.1%8.7%19.7%16.0%14.3%
Call IV 25d23.7%17.2%31.1%31.1%17.2%
Put IV 25d31.4%24.6%40.0%40.0%24.6%
Bid-Ask Spread %23.8011.2537.9919.1326.33
Gamma HHI0.250.220.330.290.23
Net GEX-37.3M-65.5M-6.3M-57.3M-6.3M
Net DEX613.6M-113.4M1.60B1.41B-113.4M
Net VEX-9.7M-10.1M-9.1M-9.7M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.445.221.605.22
Total Volume224,056.524107,093448,130445,696448,130
Total OI6,380,830.3335,491,5597,396,3996,608,2105,734,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$10.96$12.1934.9%10.6%21.3%27.8%33.4%8.9%-2.5%-57.3M1.41B-9.7M1.6019.13171,621274,0752,724,3433,883,867
2012-06-04$10.85$11.3740.2%9.9%21.1%33.8%33.4%9.3%-0.6%-65.5M1.60B-9.4M1.9326.2569,597134,3612,795,8824,008,591
2012-06-05$11.03$11.3733.3%8.1%22.2%26.1%33.6%9.0%1.0%-61.3M1.34B-9.7M2.3724.1144,110104,4232,817,1834,038,958
2012-06-06$11.36$11.3727.1%8.1%25.3%19.2%32.0%8.8%-0.0%-49.7M914.1M-9.8M1.1123.82118,110130,8322,838,9964,070,533
2012-06-07$11.35$11.3726.5%8.0%25.2%18.6%32.7%9.2%0.5%-44.2M910.0M-9.9M1.6524.3574,175122,1802,904,2484,099,855
2012-06-08$11.49$11.3727.7%8.1%25.7%19.9%28.7%9.8%-0.4%-43.1M697.8M-9.8M0.9024.04139,461125,5322,912,1414,159,193
2012-06-11$11.28$11.3730.2%8.2%26.1%22.7%29.1%7.7%0.0%-55.8M1.02B-9.8M1.0722.8979,72185,2522,973,4454,217,276
2012-06-12$11.45$11.3725.4%8.1%26.0%17.3%31.3%9.3%-0.1%-42.5M710.8M-9.8M1.2813.4671,81492,0693,009,6654,237,901
2012-06-13$11.41$11.3726.5%8.4%26.0%18.5%30.9%8.6%0.0%-46.5M825.5M-9.8M1.8825.4896,730182,2513,004,2674,269,647
2012-06-14$11.54$11.3728.9%8.3%25.9%21.2%28.1%9.4%-0.1%-42.8M587.4M-10.0M0.4428.17292,832127,7593,029,1834,367,216
2012-06-15$11.65$11.3728.7%8.2%24.9%21.0%28.1%9.2%-0.1%-34.7M475.1M-10.1M1.0621.70154,878164,4282,959,3794,420,365
2012-06-18$11.58$11.3725.7%7.4%24.6%17.7%27.1%8.1%0.9%-26.5M287.0M-9.7M1.7030.1368,375116,1871,945,2893,546,270
2012-06-19$11.78$11.3725.0%7.2%25.0%16.8%23.2%5.9%1.5%-19.7M109.6M-9.6M0.7226.06117,33584,8391,970,8683,560,687
2012-06-20$11.80$11.3720.1%5.7%24.9%11.4%23.7%6.4%2.1%-16.4M41.6M-9.6M1.4025.3044,53662,5572,008,7463,603,656
2012-06-21$11.54$11.3724.5%7.0%26.3%16.3%24.0%4.7%1.7%-29.5M323.7M-9.7M1.7137.9982,553140,9382,011,0183,619,645
2012-06-22$11.65$11.3723.4%6.7%26.5%15.1%23.5%7.2%1.9%-23.3M253.9M-9.5M2.1611.2535,79777,2612,050,8793,627,502
2012-06-25$11.41$11.3725.6%7.3%27.6%17.5%27.3%6.2%0.4%-35.9M525.5M-9.4M3.2420.6845,898148,6312,044,3043,546,537
2012-06-26$11.46$11.3724.9%7.1%27.2%16.8%25.8%6.2%1.1%-32.4M436.7M-9.4M2.0621.3741,05884,5392,059,0463,583,347
2012-06-27$11.62$11.3724.0%6.9%26.2%15.7%26.3%5.8%1.7%-23.6M243.5M-9.3M3.3522.9130,665102,8462,076,4633,546,533
2012-06-28$11.59$11.3724.4%7.0%26.1%16.2%23.9%5.2%1.4%-26.2M282.4M-9.5M1.8424.4741,13475,6972,098,3633,621,932
2012-06-29$11.89$11.3716.1%5.5%23.2%7.0%23.3%7.4%2.2%-6.3M-113.4M-9.1M5.2226.3372,048376,0822,100,7963,633,422