XLF Options History — August 2012

In August 2012, XLF traded between $11.76 and $12.34. ATM implied volatility averaged 17.6%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.4% (HV 20d: 15.1%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.29.

Notable Days

2012-08-15: Highest Volume — 463,815 contracts
2012-08-03: Largest IV drop — 30.8% change
2012-08-01: Highest IV Rank — 12.9%
2012-08-02: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.19	$11.76	$12.34	$11.88	$12.32
Max Pain	$12.08	$11.37	$12.19	$11.37	$12.19
ATM IV	17.6%	13.5%	25.4%	25.4%	14.9%
Expected Move	5.2%	4.7%	6.4%	5.6%	5.2%
HV 20d	15.1%	6.0%	19.8%	18.2%	6.0%
HV 60d	20.3%	16.9%	22.2%	21.6%	16.9%
IV Rank	5.1%	0.0%	12.9%	12.9%	2.1%
IV Percentile	9.2%	0.0%	39.7%	39.7%	1.6%
Term Structure	1.7%	0.3%	2.4%	0.3%	1.8%
VWIV	19.1%	16.8%	22.0%	20.1%	18.8%
Skew 25d	4.1%	2.6%	6.4%	2.6%	3.5%
Skew 10d	8.4%	5.2%	13.4%	13.4%	6.1%
Call IV 25d	17.0%	14.1%	19.2%	19.2%	18.1%
Put IV 25d	21.2%	19.1%	22.5%	21.8%	21.6%
Bid-Ask Spread %	23.53	10.00	39.51	28.85	24.81
Gamma HHI	0.20	0.18	0.22	0.21	0.19
Net GEX	1.5M	-23.7M	21.3M	-16.3M	12.1M
Net DEX	-129.6M	-358.5M	285.9M	166.2M	-208.9M
Net VEX	-7.8M	-8.4M	-7.3M	-8.1M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.14	4.68	0.70	0.59
Total Volume	145,750.261	26,795	463,815	135,821	129,835
Total OI	4,947,845.217	4,694,369	5,419,417	4,706,356	5,249,276

Daily Data (23 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
2012-08-01	$11.88	$11.37	25.4%	5.6%	18.2%	12.9%	20.1%	2.6%	0.3%	-16.3M	166.2M	-8.1M	0.70	28.85	79,903	55,918	1,664,276	3,042,080
2012-08-02	$11.76	$11.37	24.5%	6.4%	17.6%	11.9%	22.0%	3.7%	1.5%	-23.7M	285.9M	-7.9M	3.06	31.22	41,631	127,528	1,679,365	3,062,414
2012-08-03	$12.08	$11.37	17.0%	4.7%	19.8%	3.1%	16.8%	6.4%	2.4%	-10.7M	-26.4M	-7.6M	0.95	27.23	78,742	75,145	1,668,687	3,080,992
2012-08-06	$12.06	$12.19	20.2%	5.5%	19.8%	6.8%	20.6%	4.4%	0.7%	-10.5M	-31.7M	-7.6M	1.80	22.62	40,411	72,846	1,648,337	3,106,794
2012-08-07	$12.14	$12.19	20.3%	5.5%	19.5%	7.0%	20.1%	4.7%	0.9%	-5.2M	-107.0M	-7.6M	1.25	12.01	49,758	62,239	1,674,682	3,163,544
2012-08-08	$12.16	$12.19	15.3%	5.3%	19.4%	1.5%	20.8%	4.6%	1.6%	-6.3M	-131.3M	-7.4M	0.72	10.00	38,983	28,259	1,664,330	3,205,817
2012-08-09	$12.15	$12.19	15.0%	5.2%	18.9%	1.1%	19.1%	5.3%	1.4%	-6.7M	-110.4M	-7.6M	1.66	18.82	38,522	64,065	1,674,755	3,213,100
2012-08-10	$12.14	$12.19	14.1%	5.2%	16.6%	0.0%	19.6%	4.9%	1.4%	-5.5M	-58.8M	-7.6M	1.47	11.08	19,895	29,235	1,681,097	3,239,097
2012-08-13	$12.14	$12.19	14.8%	5.2%	16.6%	1.0%	20.7%	4.7%	1.4%	-2.7M	-128.5M	-7.3M	0.33	13.96	72,918	23,884	1,667,854	3,215,206
2012-08-14	$12.14	$12.19	13.5%	5.3%	16.4%	0.0%	19.4%	4.5%	1.3%	-84.3K	-108.5M	-7.3M	2.36	22.68	42,552	100,242	1,697,534	3,219,834
2012-08-15	$12.19	$12.19	15.1%	5.2%	16.2%	2.3%	17.7%	3.3%	2.3%	443.2K	-156.1M	-7.4M	0.29	30.97	358,215	105,600	1,716,389	3,281,121
2012-08-16	$12.27	$12.19	18.3%	5.3%	16.0%	7.1%	19.5%	3.8%	1.9%	21.3M	-307.7M	-7.8M	0.96	24.96	72,295	69,140	2,001,398	3,333,778
2012-08-17	$12.31	$12.19	17.2%	4.9%	14.7%	5.5%	18.4%	4.6%	2.2%	9.7M	-358.5M	-7.9M	0.32	23.44	272,855	88,189	2,047,479	3,371,938
2012-08-20	$12.32	$12.19	17.5%	5.0%	14.2%	5.9%	19.0%	4.2%	1.8%	8.5M	-213.8M	-7.9M	1.63	23.19	37,250	60,793	1,886,249	2,808,120
2012-08-21	$12.34	$12.19	17.3%	5.0%	13.9%	5.6%	17.4%	3.3%	1.8%	10.4M	-204.7M	-8.1M	1.22	29.10	79,243	96,501	1,894,923	2,857,286
2012-08-22	$12.32	$12.19	17.1%	4.9%	13.9%	5.3%	17.6%	3.0%	2.0%	9.0M	-216.5M	-7.8M	0.78	39.51	138,356	108,557	1,927,017	2,899,539
2012-08-23	$12.23	$12.19	17.3%	5.0%	13.7%	5.6%	17.7%	3.2%	2.1%	4.6M	-157.1M	-8.2M	1.50	26.65	48,021	72,258	2,023,334	2,947,302
2012-08-24	$12.30	$12.19	17.1%	4.9%	11.7%	5.3%	17.4%	4.5%	2.0%	11.7M	-232.8M	-8.0M	0.39	21.33	64,186	24,739	2,050,344	2,963,498
2012-08-27	$12.30	$12.19	17.7%	5.1%	11.4%	6.1%	21.7%	4.7%	1.9%	9.0M	-176.6M	-8.2M	1.98	26.36	9,000	17,795	2,088,222	2,959,744
2012-08-28	$12.27	$12.19	17.7%	5.1%	11.3%	6.2%	17.6%	3.5%	1.7%	9.2M	-180.6M	-8.1M	4.68	25.28	11,190	52,411	2,071,394	2,970,980
2012-08-29	$12.29	$12.19	17.5%	5.0%	11.2%	5.9%	17.6%	4.2%	1.9%	9.0M	-178.6M	-8.0M	0.14	28.23	76,035	10,334	2,069,966	2,989,284
2012-08-30	$12.23	$12.19	19.0%	5.4%	10.7%	8.1%	19.7%	3.9%	1.7%	7.7M	-137.4M	-8.4M	0.98	19.00	104,198	102,584	2,127,344	2,994,720
2012-08-31	$12.32	$12.19	14.9%	5.2%	6.0%	2.1%	18.8%	3.5%	1.8%	12.1M	-208.9M	-8.4M	0.59	24.81	81,613	48,222	2,184,933	3,064,343