XLF Options History — February 2013

In February 2013, XLF traded between $14.04 and $14.56. ATM implied volatility averaged 15.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.3% (HV 20d: 11.8%). Max pain ranged from $10.97 to $14.62. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.04.

Notable Days

  • 2013-02-05: Highest Volume — 633,541 contracts
  • 2013-02-20: Largest IV spike — 16.4% change
  • 2013-02-25: Highest IV Rank — 19.9%
  • 2013-02-25: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.31$14.04$14.56$14.31$14.26
Max Pain$14.10$10.97$14.62$14.62$14.22
ATM IV15.2%13.4%18.4%14.1%16.4%
Expected Move4.3%3.8%5.3%4.0%4.7%
HV 20d11.8%9.5%17.1%9.5%17.1%
HV 60d15.0%14.0%16.9%16.9%15.9%
IV Rank8.6%2.5%19.9%4.9%13.0%
IV Percentile13.3%1.6%45.6%3.6%28.2%
Term Structure0.3%-1.2%2.8%-0.0%-0.4%
VWIV15.7%13.3%22.2%13.5%15.3%
Skew 25d3.9%1.5%5.8%2.2%4.0%
Skew 10d9.1%4.1%12.6%4.7%8.4%
Call IV 25d13.7%11.0%17.3%13.3%15.1%
Put IV 25d17.6%15.5%22.1%15.5%19.1%
Bid-Ask Spread %62.555.47129.0575.8582.29
Gamma HHI0.250.180.370.180.26
Net GEX12.9M-24.6M65.9M24.3M3.9M
Net DEX-677.3M-1.14B-10.1M-915.7M-312.1M
Net VEX-8.4M-8.9M-7.7M-7.7M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.299.770.882.29
Total Volume244,763.84286,800633,541413,908154,915
Total OI5,107,314.2114,570,8615,611,1224,570,8615,301,879

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$14.31$14.6214.1%4.0%9.5%4.9%13.5%2.2%-0.0%24.3M-915.7M-7.7M0.8875.85220,155193,7531,860,7122,710,149
2013-02-04$14.13$14.6214.8%4.2%10.2%7.2%14.8%2.1%2.8%22.6M-678.3M-8.1M2.4784.8561,303151,5301,945,2032,786,668
2013-02-05$14.29$14.6214.5%4.2%10.7%6.2%14.4%1.5%0.4%20.1M-826.3M-8.2M9.7778.3858,804574,7371,993,1862,878,109
2013-02-06$14.31$14.6214.8%4.3%10.6%7.4%15.1%2.4%-0.0%8.1M-771.0M-8.9M3.9540.5139,863157,5882,007,8953,173,939
2013-02-07$14.25$0.0015.3%4.4%10.8%9.1%15.3%2.7%-0.7%4.5M-734.8M-8.4M3.175.4731,800100,7462,009,9993,100,262
2013-02-08$14.30$10.9714.0%4.0%10.1%4.4%14.3%5.3%-0.8%3.1M-816.7M-8.4M0.54129.05160,02886,1922,013,2023,167,892
2013-02-11$14.36$13.8114.4%4.0%10.0%6.0%15.9%4.3%1.5%4.5M-885.8M-8.2M1.3629.3436,75450,0461,955,5593,172,362
2013-02-12$14.48$13.8114.0%4.0%10.1%4.7%15.8%5.8%0.9%9.8M-1.05B-8.1M0.5528.27194,255106,2831,972,4983,196,299
2013-02-13$14.43$13.8114.4%4.1%10.3%5.9%16.1%4.6%0.6%5.4M-1.01B-8.2M1.0429.93105,185109,7012,040,6213,274,952
2013-02-14$14.46$13.8113.8%3.9%10.3%3.7%14.2%4.6%-0.1%17.3M-1.04B-8.2M0.3731.37283,871104,9772,046,9013,328,186
2013-02-15$14.43$13.8113.4%3.8%10.3%2.5%13.3%5.5%0.7%41.6M-1.14B-8.6M0.2932.89286,44582,5482,287,1663,323,956
2013-02-19$14.56$14.6213.6%3.9%10.6%3.0%14.4%4.0%0.6%65.9M-862.4M-8.0M1.7479.9648,90885,1771,980,2402,966,678
2013-02-20$14.35$14.6215.8%4.5%11.5%10.7%15.5%3.6%-1.1%20.9M-501.3M-8.5M2.1282.3740,14785,0881,991,7413,002,595
2013-02-21$14.23$14.6216.5%4.8%11.9%13.3%16.7%4.2%-0.4%-2.4M-291.8M-8.7M1.9266.9789,561172,0091,999,9433,040,507
2013-02-22$14.41$14.6216.2%4.6%12.5%12.0%16.2%4.1%0.1%27.5M-596.2M-8.6M0.7471.5251,30737,8472,028,5393,121,370
2013-02-25$14.04$14.2218.4%5.3%15.7%19.9%22.2%4.8%0.7%-21.0M-10.1M-8.8M1.6986.5376,084128,2432,011,6983,045,773
2013-02-26$14.05$14.2217.3%5.0%15.7%16.1%18.8%5.0%1.3%-24.6M-19.7M-8.6M3.2874.9064,125210,0522,010,7183,083,246
2013-02-27$14.31$14.2216.3%4.7%17.1%12.5%17.3%4.2%-1.2%13.9M-410.4M-8.6M0.5877.99133,26877,2182,008,4253,199,902
2013-02-28$14.26$14.2216.4%4.7%17.1%13.0%15.3%4.0%-0.4%3.9M-312.1M-8.8M2.2982.2947,134107,7812,095,6103,206,269