XLF Options History — November 2012

In November 2012, XLF traded between $12.35 and $13.15. ATM implied volatility averaged 19.5%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.3% (HV 20d: 19.3%). Max pain ranged from $12.19 to $13.81. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.56.

Notable Days

2012-11-07: Highest Volume — 436,710 contracts
2012-11-07: Largest IV drop — 33.1% change
2012-11-06: Highest IV Rank — 50.6%
2012-11-08: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.72	$12.35	$13.15	$13.06	$12.80
Max Pain	$13.12	$12.19	$13.81	$13.00	$13.00
ATM IV	19.5%	15.5%	30.9%	20.2%	16.2%
Expected Move	5.4%	4.4%	6.6%	5.4%	4.7%
HV 20d	19.3%	14.7%	21.1%	15.5%	19.2%
HV 60d	15.9%	13.3%	17.0%	13.3%	16.9%
IV Rank	17.2%	6.1%	50.6%	17.1%	8.5%
IV Percentile	31.3%	4.8%	85.3%	38.1%	9.5%
Term Structure	0.1%	-1.7%	1.2%	0.9%	0.9%
VWIV	19.3%	15.8%	22.1%	18.8%	17.8%
Skew 25d	5.4%	1.5%	28.2%	1.5%	2.6%
Skew 10d	11.5%	3.1%	64.5%	3.4%	3.1%
Call IV 25d	17.4%	12.7%	20.9%	20.9%	16.5%
Put IV 25d	22.8%	18.4%	46.6%	22.3%	19.1%
Bid-Ask Spread %	48.88	6.11	106.68	32.83	106.58
Gamma HHI	0.28	0.21	0.41	0.25	0.29
Net GEX	-25.4M	-92.6M	72.9M	26.1M	-12.3M
Net DEX	103.6M	-778.7M	837.9M	-504.7M	-101.5M
Net VEX	-8.8M	-9.7M	-7.8M	-9.6M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.23	4.19	0.38	2.58
Total Volume	234,958.143	49,376	436,710	423,384	138,960
Total OI	7,429,677.524	6,690,282	8,110,733	7,193,821	7,297,390

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
2012-11-01	$13.06	$13.00	20.2%	5.4%	15.5%	17.1%	18.8%	1.5%	0.9%	26.1M	-504.7M	-9.6M	0.38	32.83	307,874	115,510	3,009,027	4,184,794
2012-11-02	$12.97	$13.00	21.7%	5.7%	15.6%	21.0%	20.0%	2.7%	-0.2%	18.7M	-350.9M	-9.7M	0.99	30.94	186,780	184,948	3,202,222	4,240,490
2012-11-05	$12.92	$13.00	26.9%	5.8%	14.7%	34.4%	19.8%	5.0%	-0.2%	29.9M	-339.6M	-9.5M	0.35	35.24	234,709	82,125	3,263,056	4,295,509
2012-11-06	$13.15	$13.00	30.9%	5.8%	16.0%	50.6%	19.4%	4.3%	-0.5%	72.9M	-778.7M	-9.5M	0.24	31.66	305,687	72,231	3,411,886	4,342,503
2012-11-07	$12.66	$13.00	20.7%	5.8%	21.0%	20.9%	22.1%	5.0%	-0.0%	-15.4M	291.5M	-9.6M	0.96	33.07	223,122	213,588	3,590,943	4,377,985
2012-11-08	$12.58	$13.00	20.6%	6.6%	21.0%	20.5%	22.0%	4.8%	-0.8%	-46.6M	475.5M	-9.3M	1.97	28.39	140,980	277,939	3,519,619	4,405,444
2012-11-09	$12.59	$13.00	20.0%	6.5%	21.1%	18.8%	21.9%	4.3%	-0.7%	-40.2M	380.3M	-9.3M	4.19	68.18	41,703	174,888	3,578,214	4,532,519
2012-11-12	$12.63	$13.00	19.7%	5.3%	21.0%	17.8%	21.3%	4.8%	0.9%	-37.6M	315.6M	-8.7M	1.67	93.41	77,047	128,909	3,300,515	4,486,594
2012-11-13	$12.53	$13.00	19.0%	6.2%	20.4%	16.0%	20.6%	3.5%	-0.8%	-64.5M	574.3M	-8.9M	0.89	26.89	99,904	89,085	3,334,582	4,534,089
2012-11-14	$12.35	$13.00	21.5%	6.2%	20.4%	23.2%	21.4%	3.9%	0.0%	-91.3M	831.8M	-8.9M	2.42	30.30	55,223	133,788	3,377,658	4,527,324
2012-11-15	$12.35	$0.00	20.8%	5.9%	20.0%	21.1%	20.1%	3.6%	0.8%	-92.6M	837.9M	-8.8M	2.04	6.11	44,492	90,709	3,371,629	4,536,244
2012-11-16	$12.44	$12.19	20.3%	5.8%	19.4%	19.7%	19.5%	28.2%	1.1%	-65.2M	665.4M	-8.9M	0.52	106.68	266,326	137,751	3,398,749	4,574,161
2012-11-19	$12.65	$13.00	16.4%	4.7%	20.6%	8.2%	16.8%	4.5%	1.2%	-39.9M	157.9M	-8.4M	0.23	31.72	170,031	38,887	2,512,257	4,178,025
2012-11-20	$12.71	$13.00	16.1%	4.7%	20.2%	7.5%	17.7%	4.4%	0.9%	-28.9M	34.4M	-8.4M	1.47	30.97	54,772	80,436	2,605,043	4,205,883
2012-11-21	$12.71	$13.00	15.7%	4.5%	20.1%	6.6%	18.3%	4.4%	0.8%	-29.0M	39.1M	-8.2M	2.76	31.82	24,672	68,077	2,624,939	4,224,882
2012-11-23	$12.87	$13.00	15.5%	4.4%	19.6%	6.1%	15.8%	5.7%	0.5%	-15.3M	-195.9M	-8.3M	0.78	32.74	27,778	21,598	2,637,147	4,269,749
2012-11-26	$12.82	$13.81	16.3%	4.7%	19.6%	8.5%	18.9%	4.3%	0.0%	-18.5M	-98.6M	-8.2M	2.46	85.64	27,534	67,763	2,635,404	4,271,382
2012-11-27	$12.71	$13.81	17.6%	5.1%	19.8%	12.4%	17.2%	4.6%	-0.7%	-34.6M	73.7M	-7.9M	2.14	74.75	56,476	120,823	2,641,389	4,319,733
2012-11-28	$12.75	$13.81	18.2%	5.2%	19.7%	14.6%	20.6%	5.0%	-1.7%	-29.3M	34.9M	-8.3M	3.24	67.07	33,834	109,644	2,660,909	4,405,117
2012-11-29	$12.84	$13.81	16.1%	4.6%	19.7%	8.1%	15.8%	5.4%	0.7%	-19.1M	-166.8M	-7.9M	0.57	41.55	132,470	75,048	2,674,972	4,463,251
2012-11-30	$12.80	$13.00	16.2%	4.7%	19.2%	8.5%	17.8%	2.6%	0.9%	-12.3M	-101.5M	-7.8M	2.58	106.58	38,859	100,101	2,793,043	4,504,347