XLF Options History — October 2012

In October 2012, XLF traded between $12.74 and $13.25. ATM implied volatility averaged 18.0%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.4% (HV 20d: 14.6%). Max pain ranged from $12.19 to $13.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2012-10-25: Highest Volume — 488,516 contracts
  • 2012-10-04: Largest IV drop — 19.1% change
  • 2012-10-31: Highest IV Rank — 18.8%
  • 2012-10-26: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.97$12.74$13.25$12.74$12.92
Max Pain$12.69$12.19$13.00$12.19$13.00
ATM IV18.0%14.7%20.9%19.7%20.9%
Expected Move5.0%4.2%5.6%4.7%5.5%
HV 20d14.6%11.6%16.5%16.5%15.1%
HV 60d14.2%13.1%15.1%15.0%13.1%
IV Rank10.3%2.8%18.8%9.0%18.8%
IV Percentile19.1%1.2%41.7%26.6%41.7%
Term Structure1.4%0.3%2.6%1.3%0.5%
VWIV17.9%15.6%19.5%17.3%19.1%
Skew 25d3.0%1.6%5.5%1.6%2.4%
Skew 10d6.8%1.2%11.2%4.1%2.8%
Call IV 25d17.5%13.7%20.4%17.2%20.4%
Put IV 25d20.5%18.5%22.8%18.8%22.8%
Bid-Ask Spread %30.505.63103.1631.2833.56
Gamma HHI0.290.200.550.250.20
Net GEX65.8M-1.1M230.7M43.7M-88.2K
Net DEX-609.1M-1.31B-89.6M-313.3M-213.5M
Net VEX-9.3M-10.1M-8.7M-9.5M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.313.620.870.71
Total Volume252,824.85787,843488,516163,216170,823
Total OI7,130,967.2866,220,1097,733,5926,838,9207,095,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$12.74$12.1919.7%4.7%16.5%9.0%17.3%1.6%1.3%43.7M-313.3M-9.5M0.8731.2887,36575,8513,284,3293,554,591
2012-10-02$12.78$12.1920.2%4.2%16.4%9.8%18.1%5.5%2.6%50.3M-372.5M-9.2M1.7723.9331,75556,0883,278,5433,528,058
2012-10-03$12.87$12.1919.9%4.4%16.5%12.5%15.6%1.6%1.7%64.7M-528.0M-9.3M0.3725.91110,06440,8733,292,1843,529,785
2012-10-04$13.05$12.1916.1%4.5%15.7%5.4%15.7%1.9%2.1%107.0M-951.3M-9.3M0.3116.71179,76755,8843,360,3143,555,803
2012-10-05$13.05$12.1914.7%5.0%15.2%2.8%17.1%2.8%1.7%126.5M-991.8M-9.1M0.4542.86229,236102,6323,440,9233,586,649
2012-10-08$13.04$12.1916.9%5.0%14.5%7.7%17.2%2.5%1.7%92.4M-873.9M-9.2M2.0912.4336,78077,0513,447,3193,620,520
2012-10-09$12.96$12.1917.8%5.3%14.6%9.7%19.0%3.7%1.4%75.8M-595.3M-9.6M3.6222.05100,035362,4373,435,7373,670,825
2012-10-10$12.95$12.1916.4%5.2%14.3%6.9%18.5%3.6%1.6%75.1M-662.6M-9.7M1.1423.6895,212108,3133,473,5473,936,440
2012-10-11$13.02$13.0017.9%5.1%11.6%11.3%17.8%3.7%1.4%89.5M-729.6M-9.9M0.8521.06116,78198,7213,544,1283,954,507
2012-10-12$12.81$13.0018.0%5.2%12.4%11.4%18.4%3.6%1.3%55.2M-197.3M-9.7M1.5981.5084,507134,2273,557,3284,018,276
2012-10-15$12.96$13.0017.4%5.0%12.8%9.9%17.7%3.3%1.4%94.4M-619.1M-9.3M1.1025.8695,673104,7953,528,9313,992,462
2012-10-16$13.07$13.0016.7%4.8%13.1%8.2%16.8%3.6%1.6%114.1M-873.8M-9.0M0.3321.68153,32550,9863,557,6124,034,152
2012-10-17$13.25$13.0017.3%5.0%13.9%9.6%16.3%3.5%1.5%89.3M-1.30B-8.7M1.1726.8592,712108,4023,600,0714,046,583
2012-10-18$13.24$13.0017.5%5.0%13.8%10.1%17.4%3.0%1.5%60.8M-1.31B-8.8M1.3022.2154,31870,3573,590,4104,105,499
2012-10-19$13.05$13.0018.1%5.2%14.6%11.7%18.1%3.7%1.0%230.7M-916.4M-8.8M0.55103.16248,838137,3713,594,8654,138,727
2012-10-22$13.11$13.0018.0%5.2%14.7%11.5%18.0%2.1%1.1%12.3M-514.8M-8.9M0.3422.23365,005123,0132,486,4933,733,616
2012-10-23$12.87$13.0018.3%5.3%15.4%12.3%18.6%2.8%1.2%-879.9K-207.4M-9.2M1.4327.10139,626199,4702,783,7353,808,612
2012-10-24$12.91$13.0018.7%5.4%15.1%13.4%19.3%3.0%0.8%3.7M-302.7M-9.2M2.7720.7264,362178,4772,856,9263,874,192
2012-10-25$12.92$13.0019.1%5.5%14.8%14.2%19.5%2.4%1.0%-556.0K-230.1M-9.7M0.555.63314,263174,2532,815,9773,933,109
2012-10-26$12.82$13.0017.7%5.6%15.0%10.8%19.5%2.2%0.3%-1.1M-89.6M-10.1M0.4030.15200,34379,3312,985,4314,118,038
2012-10-31$12.92$13.0020.9%5.5%15.1%18.8%19.1%2.4%0.5%-88.2K-213.5M-9.4M0.7133.5699,83470,9892,964,8784,130,188