XLF Options History — January 2013

In January 2013, XLF traded between $13.69 and $14.19. ATM implied volatility averaged 15.0%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.0% (HV 20d: 18.0%). Max pain ranged from $13.00 to $14.62. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2013-01-08: Highest Volume — 393,868 contracts
2013-01-22: Largest IV drop — 9.9% change
2013-01-14: Highest IV Rank — 10.3%
2013-01-14: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.95	$13.69	$14.19	$13.71	$14.11
Max Pain	$13.97	$13.00	$14.62	$14.62	$14.62
ATM IV	15.0%	12.7%	16.4%	16.1%	14.1%
Expected Move	4.3%	3.6%	4.7%	4.6%	4.0%
HV 20d	18.0%	8.6%	20.4%	20.0%	8.6%
HV 60d	17.6%	16.7%	18.3%	18.3%	16.7%
IV Rank	6.2%	0.0%	10.3%	9.1%	5.0%
IV Percentile	6.1%	0.0%	17.1%	7.9%	3.6%
Term Structure	1.2%	-0.4%	2.9%	0.9%	2.5%
VWIV	15.8%	13.8%	18.6%	17.4%	14.0%
Skew 25d	3.0%	2.1%	3.9%	3.9%	2.8%
Skew 10d	5.3%	-43.7%	10.7%	10.5%	10.2%
Call IV 25d	14.1%	11.9%	15.5%	15.2%	13.8%
Put IV 25d	17.1%	14.9%	19.1%	19.1%	16.6%
Bid-Ask Spread %	58.54	5.42	119.87	47.77	56.86
Gamma HHI	0.37	0.16	0.55	0.48	0.18
Net GEX	66.0M	15.6M	115.9M	86.1M	15.6M
Net DEX	-978.8M	-1.30B	-652.0M	-1.05B	-652.0M
Net VEX	-7.4M	-8.1M	-6.5M	-6.9M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.25	6.37	0.25	0.96
Total Volume	204,324.667	62,349	393,868	147,883	142,312
Total OI	5,379,486.476	4,092,461	6,694,413	5,535,317	4,526,916

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
2013-01-02	$13.71	$14.62	16.1%	4.6%	20.0%	9.1%	17.4%	3.9%	0.9%	86.1M	-1.05B	-6.9M	0.25	47.77	118,409	29,474	2,257,094	3,278,223
2013-01-03	$13.69	$13.81	15.7%	4.5%	19.9%	7.9%	16.6%	3.9%	0.6%	82.3M	-1.00B	-6.7M	0.64	35.66	82,116	52,231	2,223,472	3,275,509
2013-01-04	$13.85	$14.22	16.2%	4.6%	19.8%	9.5%	18.2%	3.4%	1.1%	94.9M	-1.23B	-6.5M	0.33	114.66	225,796	75,421	2,223,195	3,298,959
2013-01-07	$13.82	$14.22	16.2%	4.6%	19.9%	9.5%	18.6%	3.3%	0.3%	92.6M	-1.16B	-6.6M	0.54	64.07	107,890	58,224	2,251,163	3,298,606
2013-01-08	$13.78	$14.22	16.3%	4.7%	20.0%	10.1%	17.6%	2.8%	0.3%	92.6M	-1.12B	-6.7M	3.44	67.49	88,633	305,235	2,289,836	3,335,414
2013-01-09	$13.76	$13.81	16.0%	4.6%	20.0%	8.8%	16.3%	3.0%	0.2%	89.3M	-1.02B	-7.1M	1.11	78.89	88,740	98,617	2,335,883	3,598,340
2013-01-10	$13.93	$0.00	16.2%	4.6%	20.3%	9.6%	17.8%	2.8%	0.3%	89.4M	-1.30B	-7.1M	1.46	5.42	98,652	143,740	2,356,097	3,668,626
2013-01-11	$13.90	$13.81	15.7%	4.5%	20.4%	7.8%	15.7%	3.1%	-0.4%	94.2M	-1.30B	-7.2M	2.52	119.87	84,826	213,395	2,399,849	3,724,824
2013-01-14	$13.85	$13.00	16.4%	4.7%	20.2%	10.3%	16.4%	2.8%	1.2%	86.1M	-1.07B	-7.4M	3.22	27.68	68,201	219,729	2,345,827	3,829,717
2013-01-15	$13.92	$13.81	16.2%	4.7%	20.1%	9.6%	16.3%	3.6%	0.9%	82.7M	-1.12B	-7.7M	0.83	21.09	143,698	118,968	2,372,979	4,015,458
2013-01-16	$13.92	$13.81	15.4%	4.4%	18.9%	6.7%	15.4%	2.3%	1.9%	98.8M	-1.11B	-7.8M	0.28	27.91	280,003	79,585	2,404,281	4,125,141
2013-01-17	$13.89	$13.81	15.0%	4.3%	18.9%	5.5%	15.0%	2.5%	1.0%	115.9M	-1.13B	-8.1M	0.39	29.80	131,040	50,526	2,558,377	4,136,036
2013-01-18	$13.92	$13.81	14.6%	4.2%	18.8%	3.8%	14.5%	2.1%	-0.0%	66.3M	-1.04B	-7.9M	0.33	31.50	219,625	73,142	2,475,306	4,164,680
2013-01-22	$14.09	$13.40	13.1%	3.7%	18.5%	0.0%	15.3%	3.3%	2.5%	32.5M	-727.0M	-7.4M	1.14	70.30	85,641	97,435	1,747,061	2,345,400
2013-01-23	$14.05	$13.81	12.7%	3.6%	16.6%	0.0%	13.8%	2.9%	2.9%	27.2M	-697.7M	-7.6M	3.55	45.58	25,069	88,892	1,809,862	2,400,052
2013-01-24	$14.13	$13.81	13.0%	3.7%	16.6%	1.1%	14.6%	2.6%	0.4%	38.0M	-810.2M	-7.4M	5.45	79.88	29,988	163,444	1,814,125	2,457,496
2013-01-25	$14.19	$13.81	13.3%	3.8%	16.5%	2.0%	14.1%	2.5%	0.3%	35.9M	-802.7M	-7.7M	0.69	46.91	74,804	51,567	1,807,858	2,578,312
2013-01-28	$14.13	$14.22	13.9%	4.0%	16.4%	4.2%	14.7%	3.2%	2.7%	21.9M	-747.1M	-7.7M	6.37	96.15	11,792	75,105	1,810,881	2,557,588
2013-01-29	$14.18	$14.22	14.0%	4.0%	14.7%	4.6%	14.7%	3.2%	2.6%	22.8M	-770.8M	-7.7M	1.03	80.29	30,669	31,680	1,814,697	2,609,075
2013-01-30	$14.13	$14.62	14.0%	4.0%	12.6%	4.4%	13.9%	2.8%	2.7%	20.3M	-697.9M	-7.8M	1.86	81.66	44,282	82,222	1,820,299	2,626,702
2013-01-31	$14.11	$14.62	14.1%	4.0%	8.6%	5.0%	14.0%	2.8%	2.5%	15.6M	-652.0M	-7.9M	0.96	56.86	72,597	69,715	1,851,218	2,675,698