XLF Options History — September 2012

In September 2012, XLF traded between $12.32 and $13.24. ATM implied volatility averaged 18.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.1% (HV 20d: 12.9%). Max pain ranged from $12.19 to $12.19. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.44.

Notable Days

  • 2012-09-20: Highest Volume — 1,196,674 contracts
  • 2012-09-12: Largest IV drop — 31.4% change
  • 2012-09-11: Highest IV Rank — 15.1%
  • 2012-09-26: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.79$12.32$13.24$12.32$12.66
Max Pain$12.19$12.19$12.19$12.19$12.19
ATM IV18.0%15.5%23.8%20.5%16.2%
Expected Move5.0%4.6%6.1%5.5%4.6%
HV 20d12.9%5.6%16.6%5.9%16.5%
HV 60d16.2%15.1%17.1%16.8%15.1%
IV Rank6.6%2.9%15.1%10.2%3.9%
IV Percentile14.5%4.0%45.2%25.4%6.7%
Term Structure0.8%-0.3%1.6%1.1%1.3%
VWIV18.1%16.6%20.2%19.3%16.8%
Skew 25d3.1%0.7%6.9%4.0%2.8%
Skew 10d6.8%0.6%17.1%7.3%4.5%
Call IV 25d17.2%14.9%19.2%18.4%16.7%
Put IV 25d20.3%18.1%22.5%22.4%19.5%
Bid-Ask Spread %34.001.9696.0512.6781.79
Gamma HHI0.290.190.420.190.22
Net GEX67.7M12.8M128.7M12.8M31.7M
Net DEX-810.3M-1.70B-176.4M-251.8M-281.4M
Net VEX-8.8M-9.6M-8.3M-8.4M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0512.320.800.47
Total Volume359,463.89560,2321,196,67460,232171,076
Total OI6,223,072.7895,260,1446,955,4985,260,1446,780,170

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$12.32$12.1920.5%5.5%5.9%10.2%19.3%4.0%1.1%12.8M-251.8M-8.4M0.8012.6733,38026,8522,182,9643,077,180
2012-09-05$12.33$12.1921.3%5.4%5.6%11.5%18.5%3.5%1.2%13.6M-242.5M-8.4M1.6011.5169,660111,1842,203,3453,093,195
2012-09-06$12.59$12.1915.5%5.4%9.1%2.9%18.7%3.3%0.7%29.6M-528.5M-8.4M0.7522.4590,37068,1082,247,4343,199,797
2012-09-07$12.75$12.1916.0%4.8%9.8%3.6%17.3%3.9%0.8%38.6M-753.8M-8.3M0.1896.05531,15994,9722,253,1053,217,827
2012-09-10$12.62$12.1920.0%5.0%10.8%9.5%19.5%3.9%0.2%51.9M-667.9M-8.7M1.0133.41104,951106,0062,645,7723,219,930
2012-09-11$12.71$12.1923.8%5.0%11.0%15.1%17.7%6.9%0.6%58.0M-837.9M-9.1M0.6137.71112,04367,8752,748,4963,236,742
2012-09-12$12.82$12.1916.4%4.7%11.2%4.2%16.7%4.2%1.6%70.9M-1.01B-8.3M0.2031.08218,52244,1462,703,2583,264,857
2012-09-13$13.13$12.1917.9%5.1%13.5%6.4%19.3%1.0%0.8%84.2M-1.48B-8.4M0.2030.99589,970118,9182,730,8733,275,888
2012-09-14$13.24$12.1918.7%5.4%13.6%7.7%17.4%2.8%0.5%100.5M-1.70B-8.7M0.1377.59889,570112,7903,039,9403,330,648
2012-09-17$13.11$12.1918.2%5.2%14.4%6.9%18.6%1.8%0.8%124.0M-1.59B-8.7M0.5623.74167,02194,3063,470,2713,319,747
2012-09-18$13.04$12.1917.4%5.0%14.7%5.8%17.6%2.2%1.0%121.8M-1.41B-9.0M1.1726.8863,33774,1123,509,9293,374,874
2012-09-19$13.00$12.1916.8%4.8%14.9%4.8%17.8%0.7%0.8%125.0M-1.25B-8.8M0.7122.8451,94936,7063,492,9963,416,116
2012-09-20$12.96$12.1916.3%4.7%14.9%4.1%16.6%1.9%1.3%128.7M-1.14B-9.0M0.0515.751,144,67252,0023,524,8233,430,675
2012-09-21$12.86$12.1916.7%4.8%15.0%4.7%17.2%2.5%0.7%108.2M-734.0M-8.9M0.6483.94102,21065,5633,392,4243,444,179
2012-09-24$12.86$12.1916.3%4.7%15.0%4.1%19.5%2.2%0.8%78.6M-687.5M-8.8M12.321.9648,604598,8803,133,3462,766,994
2012-09-25$12.68$12.1916.7%4.8%16.0%4.7%17.5%2.9%-0.1%41.3M-339.3M-9.1M0.632.84193,540121,4543,168,0773,238,858
2012-09-26$12.59$12.1921.2%6.1%16.2%11.3%20.2%3.7%-0.3%28.6M-176.4M-9.6M2.612.0375,480196,8713,191,3883,280,951
2012-09-27$12.72$12.1915.9%4.6%16.6%3.5%17.7%5.1%1.6%37.9M-318.8M-9.5M2.6730.7749,512132,0433,204,3503,426,964
2012-09-28$12.66$12.1916.2%4.6%16.5%3.9%16.8%2.8%1.3%31.7M-281.4M-9.4M0.4781.79116,25754,8193,231,3163,548,854