XLF Options History — March 2013

In March 2013, XLF traded between $14.33 and $15.00. ATM implied volatility averaged 15.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.2% (HV 20d: 15.0%). Max pain ranged from $14.22 to $15.84. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.95.

Notable Days

  • 2013-03-14: Highest Volume — 1,203,807 contracts
  • 2013-03-04: Largest IV drop — 11.7% change
  • 2013-03-22: Highest IV Rank — 14.9%
  • 2013-03-22: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.76$14.33$15.00$14.33$14.78
Max Pain$14.75$14.22$15.84$14.22$15.43
ATM IV15.2%13.2%17.0%16.6%15.9%
Expected Move4.4%3.8%4.9%4.8%4.6%
HV 20d15.0%10.2%17.1%17.1%10.2%
HV 60d15.3%13.4%15.8%15.8%13.4%
IV Rank8.8%1.8%14.9%13.7%11.3%
IV Percentile17.1%1.2%38.1%29.4%21.4%
Term Structure0.4%-0.2%1.4%-0.2%0.1%
VWIV15.9%12.8%18.6%16.8%16.4%
Skew 25d3.6%2.5%4.6%4.6%3.6%
Skew 10d8.3%5.6%10.8%9.2%7.3%
Call IV 25d14.1%12.2%16.0%14.6%13.9%
Put IV 25d17.7%15.1%19.6%19.2%17.5%
Bid-Ask Spread %60.814.96115.15100.65103.67
Gamma HHI0.250.180.380.280.26
Net GEX61.4M-40.0M148.7M13.4M-22.1M
Net DEX-770.1M-1.58B-182.6M-414.3M-294.0M
Net VEX-8.6M-9.1M-8.1M-9.1M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0620.472.386.63
Total Volume309,192.1564,7001,203,807213,113126,607
Total OI5,447,3094,668,4816,242,4165,415,6595,351,201

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$14.33$14.2216.6%4.8%17.1%13.7%16.8%4.6%-0.2%13.4M-414.3M-9.1M2.38100.6563,025150,0882,124,4603,291,199
2013-03-04$14.45$14.2214.7%4.2%16.7%6.9%18.6%4.2%0.0%61.4M-582.3M-8.7M1.3188.7645,34959,6222,099,7883,327,074
2013-03-05$14.57$14.6214.3%4.1%16.1%5.7%15.8%3.2%0.0%76.5M-830.8M-8.5M0.6175.31188,068114,0712,109,0963,349,337
2013-03-06$14.68$14.6215.1%4.3%15.9%8.3%15.6%3.3%-0.2%69.9M-956.1M-8.4M0.3150.18184,16956,6762,066,6213,419,411
2013-03-07$14.77$14.6215.8%4.5%16.0%10.6%15.1%3.1%0.2%80.7M-1.15B-8.4M0.1679.82609,78298,1752,173,0983,449,754
2013-03-08$14.83$14.6215.0%4.3%15.8%8.1%14.4%2.5%0.1%136.2M-1.38B-8.5M0.464.96213,65997,4832,526,0073,519,076
2013-03-11$14.93$14.6213.4%3.8%15.9%2.4%15.2%2.7%1.4%140.1M-1.48B-8.1M0.2663.05275,15670,9842,423,7763,521,258
2013-03-12$14.85$14.6213.8%3.9%16.1%3.7%15.6%2.6%0.8%143.8M-1.37B-8.3M7.3948.0939,891294,8872,595,6833,573,125
2013-03-13$14.90$14.6213.2%3.8%15.9%1.8%12.8%3.0%0.9%143.6M-1.41B-8.4M3.0467.6153,695163,2262,578,5173,663,899
2013-03-14$14.99$0.0013.6%3.8%15.9%3.1%13.4%4.0%1.4%148.7M-1.58B-8.1M0.06105.041,135,95867,8492,549,5343,646,202
2013-03-15$15.00$15.0313.5%3.8%15.9%2.6%13.8%2.6%1.0%135.7M-931.6M-8.2M1.39115.1569,33196,3042,068,6403,693,288
2013-03-18$14.84$14.6215.0%4.4%16.4%8.0%15.7%3.6%0.7%72.4M-674.5M-8.3M2.6725.1854,136144,3111,949,2482,719,233
2013-03-19$14.76$14.6216.5%4.7%16.4%13.2%18.2%4.6%0.5%33.7M-392.1M-8.9M2.0924.56158,532330,9311,966,1472,766,431
2013-03-20$14.84$14.6215.9%4.6%15.5%11.2%16.3%3.9%0.5%38.8M-516.7M-8.9M1.1926.12129,613154,8401,975,5832,995,497
2013-03-21$14.67$14.6216.5%4.7%15.8%13.4%17.7%3.5%0.4%-17.3M-182.6M-9.1M2.1324.1554,163115,4871,937,3343,088,830
2013-03-22$14.78$14.6217.0%4.9%15.4%14.9%17.4%4.3%0.5%14.6M-363.6M-8.9M3.7659.9845,530171,3901,961,5993,119,358
2013-03-25$14.71$15.8416.6%4.8%11.7%13.7%16.6%4.4%-0.1%-12.6M-237.2M-8.8M1.8243.0672,377131,4721,943,7713,153,794
2013-03-26$14.82$15.0315.9%4.6%11.8%11.0%17.4%3.9%0.8%9.8M-376.5M-8.5M0.7958.8036,19928,5011,935,1263,187,122
2013-03-27$14.76$15.0316.4%4.7%10.4%12.8%14.7%4.3%-0.0%-40.0M-279.4M-8.5M20.4752.0313,148269,1581,932,9223,194,141
2013-03-28$14.78$15.4315.9%4.6%10.2%11.3%16.4%3.6%0.1%-22.1M-294.0M-8.5M6.63103.6716,594110,0131,939,8893,411,312