XLF Options History — December 2012

In December 2012, XLF traded between $12.71 and $13.57. ATM implied volatility averaged 20.6%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.4% (HV 20d: 14.2%). Max pain ranged from $11.78 to $13.81. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2012-12-20: Highest Volume — 1,811,151 contracts
  • 2012-12-14: Largest IV spike — 148.4% change
  • 2012-12-14: Highest IV Rank — 100.0%
  • 2012-12-14: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.12$12.71$13.57$12.75$13.34
Max Pain$12.73$11.78$13.81$13.00$13.81
ATM IV20.6%15.4%41.4%18.6%20.0%
Expected Move5.6%4.4%13.8%5.3%5.7%
HV 20d14.2%10.8%19.1%19.1%18.0%
HV 60d16.2%15.3%17.5%17.0%17.5%
IV Rank25.0%5.8%100.0%15.9%23.3%
IV Percentile35.2%4.0%100.0%30.2%47.6%
Term Structure4.2%-2.1%76.4%-1.9%1.4%
VWIV19.2%16.4%26.7%19.6%18.9%
Skew 25d9.3%2.6%64.4%5.2%4.7%
Skew 10d9.1%-54.2%61.4%13.9%10.4%
Call IV 25d19.1%14.0%71.2%15.1%18.5%
Put IV 25d28.4%17.8%80.2%20.2%23.2%
Bid-Ask Spread %62.803.40168.4348.543.40
Gamma HHI0.270.220.340.290.29
Net GEX16.7M-30.6M75.7M-17.4M32.3M
Net DEX-539.0M-1.54B46.7M-35.7M-483.4M
Net VEX-7.5M-8.3M-6.8M-8.0M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.112.631.561.31
Total Volume270,122.850,1841,811,151117,504144,656
Total OI6,995,460.055,300,2617,896,6647,264,4645,564,576

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$12.75$13.0018.6%5.3%19.1%15.9%19.6%5.2%-1.9%-17.4M-35.7M-8.0M1.5648.5445,87771,6272,775,2664,489,198
2012-12-04$12.71$13.0018.9%5.4%19.1%16.8%17.0%4.8%-2.1%-30.6M46.7M-8.0M2.6364.77142,491374,9792,781,6124,524,119
2012-12-05$12.88$13.0016.9%4.8%18.7%10.6%16.4%4.1%0.5%686.2K-257.8M-8.3M0.6357.9052,91533,1452,828,5514,672,320
2012-12-06$12.92$0.0016.7%4.8%12.7%9.9%20.3%4.2%0.0%14.9M-342.3M-8.3M1.667.0918,84531,3392,815,5654,675,941
2012-12-07$13.01$13.0015.4%4.4%12.5%5.8%16.5%6.6%0.8%-614.9K-505.1M-7.7M0.30156.18136,20841,4192,825,4654,683,994
2012-12-10$13.00$13.0016.3%4.7%12.6%9.5%17.7%3.9%0.5%4.8M-475.4M-7.4M2.63129.8130,93781,2452,764,3344,683,935
2012-12-11$13.07$13.0016.3%4.7%12.6%9.3%22.0%3.4%0.6%16.7M-645.2M-7.1M0.93117.6195,43388,3372,764,7884,700,173
2012-12-12$13.11$12.1916.1%4.6%12.0%9.5%26.7%3.8%1.0%19.8M-670.0M-7.1M0.81116.7434,54228,0342,761,5744,717,575
2012-12-13$13.03$0.0016.7%4.8%10.8%11.8%16.6%4.1%0.3%13.7M-549.0M-7.0M1.8813.2147,68689,4262,749,4564,719,464
2012-12-14$13.00$13.0041.4%13.8%11.0%100.0%17.7%64.4%0.9%3.2M-463.3M-7.4M1.15168.43134,722154,5192,767,3084,759,552
2012-12-17$13.29$12.1930.8%4.9%12.9%62.0%17.4%3.7%1.0%39.8M-1.05B-6.8M0.6327.6760,28338,2302,805,1294,782,098
2012-12-18$13.27$12.1917.1%5.1%12.0%12.7%16.7%2.6%-1.0%64.1M-1.30B-6.8M0.5019.43311,458156,6202,833,7744,766,693
2012-12-19$13.37$12.1919.3%5.6%12.1%20.6%19.0%4.5%-0.8%55.1M-1.19B-7.5M0.8119.20148,717120,1552,965,5934,865,817
2012-12-20$13.57$12.1916.1%4.6%12.9%9.4%17.8%2.8%1.3%75.7M-1.54B-6.8M0.1127.801,625,612185,5392,972,1814,924,483
2012-12-21$13.30$13.0019.5%5.6%15.0%21.3%21.6%5.8%0.8%12.8M-381.9M-7.5M2.4418.7683,777204,0922,402,1414,942,810
2012-12-24$13.30$13.4019.1%5.3%14.8%19.9%20.2%4.3%1.8%21.4M-371.0M-7.8M2.056.3232,21565,9582,126,8183,173,443
2012-12-26$13.27$13.4018.3%5.3%14.4%17.3%22.4%4.3%1.8%17.5M-336.5M-7.5M1.1070.0525,78328,3612,149,7253,267,986
2012-12-27$13.21$11.7819.5%5.6%14.6%21.5%18.6%4.4%0.5%7.3M-252.3M-7.7M1.3563.2632,61744,1622,155,1813,273,373
2012-12-28$13.00$11.7839.6%6.4%15.7%93.4%20.9%44.2%76.4%-18.0M16.5M-7.7M0.52119.91237,593122,9022,172,2263,304,964
2012-12-31$13.34$13.8120.0%5.7%18.0%23.3%18.9%4.7%1.4%32.3M-483.4M-7.7M1.313.4062,75181,9052,282,2813,282,295