XLF Options History — July 2012

In July 2012, XLF traded between $11.52 and $12.03. ATM implied volatility averaged 21.4%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.9% (HV 20d: 20.5%). Max pain ranged from $11.37 to $11.37. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.34.

Notable Days

2012-07-30: Highest Volume — 282,345 contracts
2012-07-30: Largest IV spike — 30.5% change
2012-07-11: Highest IV Rank — 14.0%
2012-07-09: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.81	$11.52	$12.03	$11.97	$11.91
Max Pain	$11.37	$11.37	$11.37	$11.37	$11.37
ATM IV	21.4%	18.3%	26.3%	18.9%	24.6%
Expected Move	6.0%	4.9%	7.0%	5.5%	5.9%
HV 20d	20.5%	18.3%	22.6%	22.6%	18.3%
HV 60d	21.3%	20.5%	22.0%	22.0%	21.6%
IV Rank	8.5%	4.7%	14.0%	10.1%	12.0%
IV Percentile	21.0%	5.2%	43.7%	9.1%	37.7%
Term Structure	1.5%	-0.5%	2.6%	1.4%	-0.5%
VWIV	22.3%	19.2%	27.2%	22.5%	20.7%
Skew 25d	5.8%	2.6%	7.7%	7.3%	2.6%
Skew 10d	13.0%	7.4%	18.0%	15.7%	12.6%
Call IV 25d	18.6%	15.9%	20.8%	17.4%	19.0%
Put IV 25d	24.4%	21.5%	27.2%	24.7%	21.5%
Bid-Ask Spread %	31.23	10.19	66.29	21.46	34.78
Gamma HHI	0.24	0.19	0.36	0.26	0.19
Net GEX	-6.1M	-27.2M	28.0M	2.8M	-14.4M
Net DEX	10.8M	-339.2M	397.6M	-189.4M	130.7M
Net VEX	-7.9M	-8.8M	-7.4M	-8.8M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	0.53	11.94	0.93	0.65
Total Volume	127,570.857	41,459	282,345	76,212	86,343
Total OI	5,161,459.333	3,993,307	5,768,822	5,486,991	4,468,193

Daily Data (21 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
2012-07-02	$11.97	$11.37	18.9%	5.5%	22.6%	10.1%	22.5%	7.3%	1.4%	2.8M	-189.4M	-8.8M	0.93	21.46	39,444	36,768	2,088,992	3,397,999
2012-07-03	$12.03	$11.37	18.8%	5.3%	22.2%	5.3%	19.2%	7.7%	2.2%	10.7M	-297.0M	-8.5M	0.53	36.80	62,023	33,062	2,102,877	3,365,969
2012-07-05	$11.84	$11.37	19.0%	5.9%	21.3%	5.4%	22.4%	2.6%	1.0%	789.4K	-105.3M	-8.5M	1.85	33.67	38,012	70,381	2,108,745	3,381,573
2012-07-06	$11.75	$11.37	20.8%	6.9%	21.6%	7.6%	21.3%	7.1%	1.7%	-5.4M	5.3M	-8.5M	1.28	28.23	58,656	74,958	2,116,318	3,413,903
2012-07-09	$11.74	$11.37	23.0%	7.0%	21.2%	10.2%	25.5%	6.6%	1.3%	-8.2M	32.1M	-8.3M	1.54	10.19	16,353	25,106	2,143,556	3,452,207
2012-07-10	$11.65	$11.37	26.2%	6.9%	20.2%	13.9%	24.3%	6.4%	0.8%	-15.8M	150.4M	-8.3M	1.36	25.23	30,738	41,888	2,114,551	3,451,649
2012-07-11	$11.75	$11.37	26.3%	6.9%	19.8%	14.0%	27.2%	6.4%	0.8%	-9.1M	60.0M	-8.4M	3.43	31.59	14,393	49,326	2,134,863	3,469,970
2012-07-12	$11.62	$11.37	23.3%	6.7%	20.1%	10.6%	23.7%	5.9%	1.7%	-16.9M	116.4M	-8.0M	2.39	17.72	60,662	144,719	2,139,149	3,480,235
2012-07-13	$11.93	$11.37	19.4%	5.6%	21.7%	5.9%	21.7%	5.9%	1.6%	16.4M	-272.1M	-7.8M	1.62	25.48	76,241	123,745	2,157,481	3,552,751
2012-07-16	$11.92	$11.37	19.7%	5.7%	21.6%	6.3%	22.6%	7.6%	1.1%	10.8M	-202.6M	-7.8M	1.50	26.00	32,575	48,766	2,165,796	3,558,809
2012-07-17	$12.01	$11.37	18.6%	5.3%	21.6%	5.0%	22.5%	5.2%	2.3%	28.0M	-339.2M	-7.6M	1.37	28.22	29,061	39,892	2,157,489	3,574,412
2012-07-18	$11.93	$11.37	18.7%	5.4%	21.0%	5.1%	21.9%	7.0%	1.3%	20.3M	-265.9M	-7.6M	1.63	29.23	16,159	26,279	2,157,849	3,599,710
2012-07-19	$11.85	$11.37	18.3%	5.2%	21.2%	4.7%	21.3%	3.9%	1.5%	-241.1K	-116.5M	-7.4M	0.79	22.74	49,166	38,948	2,154,955	3,595,329
2012-07-20	$11.67	$11.37	21.4%	6.1%	20.3%	8.3%	21.4%	5.3%	2.3%	-22.4M	23.1M	-7.4M	1.01	58.15	106,251	107,752	2,152,873	3,615,949
2012-07-23	$11.58	$11.37	21.0%	6.0%	20.2%	7.8%	21.1%	5.1%	2.6%	-23.4M	352.0M	-7.4M	1.91	31.80	41,595	79,481	1,497,819	2,495,488
2012-07-24	$11.52	$11.37	22.4%	6.4%	18.8%	9.4%	23.0%	5.9%	1.7%	-25.4M	397.6M	-7.4M	6.31	29.38	23,698	149,436	1,505,469	2,522,970
2012-07-25	$11.60	$11.37	22.2%	6.4%	18.9%	9.2%	22.7%	5.6%	1.4%	-27.2M	363.0M	-7.6M	1.78	32.11	26,400	47,101	1,515,539	2,632,836
2012-07-26	$11.76	$11.37	21.7%	6.2%	18.9%	8.7%	21.7%	4.6%	2.3%	-20.9M	222.6M	-7.6M	11.94	32.74	17,198	205,323	1,519,393	2,644,914
2012-07-27	$12.02	$11.37	19.8%	4.9%	20.3%	6.4%	22.4%	6.7%	2.6%	-16.2M	72.0M	-7.8M	0.88	66.29	121,854	106,890	1,521,377	2,813,888
2012-07-30	$11.95	$11.37	25.8%	5.7%	18.4%	13.4%	20.0%	5.6%	0.5%	-12.8M	89.2M	-7.9M	4.35	34.03	52,755	229,590	1,605,862	2,840,939
2012-07-31	$11.91	$11.37	24.6%	5.9%	18.3%	12.0%	20.7%	2.6%	-0.5%	-14.4M	130.7M	-7.8M	0.65	34.78	52,335	34,008	1,588,886	2,879,307