XLF Options History — April 2013

In April 2013, XLF traded between $14.47 and $15.19. ATM implied volatility averaged 16.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.7% (HV 20d: 14.3%). Max pain ranged from $14.22 to $15.03. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.99.

Notable Days

2013-04-12: Highest Volume — 814,300 contracts
2013-04-15: Largest IV spike — 17.3% change
2013-04-15: Highest IV Rank — 20.2%
2013-04-15: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.86	$14.47	$15.19	$14.71	$15.19
Max Pain	$14.62	$14.22	$15.03	$14.22	$15.03
ATM IV	16.0%	14.3%	18.5%	16.5%	15.5%
Expected Move	4.6%	4.1%	5.2%	4.7%	4.4%
HV 20d	14.3%	10.2%	17.7%	10.4%	17.6%
HV 60d	13.8%	12.4%	15.2%	12.4%	14.9%
IV Rank	11.4%	5.5%	20.2%	13.2%	9.8%
IV Percentile	26.3%	8.3%	55.6%	33.7%	21.0%
Term Structure	0.1%	-1.4%	2.1%	-0.1%	-0.9%
VWIV	16.8%	14.3%	20.3%	17.0%	15.2%
Skew 25d	4.1%	3.1%	5.5%	4.2%	3.7%
Skew 10d	9.7%	7.3%	13.1%	8.0%	8.2%
Call IV 25d	14.5%	13.2%	17.7%	14.3%	13.6%
Put IV 25d	18.6%	16.8%	22.1%	18.6%	17.4%
Bid-Ask Spread %	50.73	5.63	106.21	45.31	77.69
Gamma HHI	0.28	0.19	0.37	0.25	0.31
Net GEX	-27.9M	-111.6M	36.8M	-28.9M	24.7M
Net DEX	-275.4M	-819.8M	637.9M	-197.2M	-640.9M
Net VEX	-8.3M	-8.8M	-7.8M	-8.5M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.99	0.63	9.14	1.64	1.01
Total Volume	224,730.909	29,755	814,300	116,676	93,108
Total OI	5,065,843.955	4,143,028	5,882,172	5,098,297	4,375,592

Daily Data (22 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
2013-04-01	$14.71	$14.22	16.5%	4.7%	10.4%	13.2%	17.0%	4.2%	-0.1%	-28.9M	-197.2M	-8.5M	1.64	45.31	44,179	72,497	1,716,911	3,381,386
2013-04-02	$14.80	$14.22	16.1%	4.6%	10.2%	11.7%	17.5%	3.9%	0.1%	-9.4M	-400.5M	-8.2M	4.20	49.32	29,428	123,738	1,742,142	3,408,179
2013-04-03	$14.57	$14.22	16.5%	4.7%	11.5%	13.2%	16.7%	4.3%	-0.2%	-52.6M	72.0M	-8.7M	3.64	39.48	57,516	209,562	1,752,455	3,450,103
2013-04-04	$14.69	$14.62	16.3%	4.7%	11.6%	12.6%	18.0%	4.3%	0.2%	-29.2M	-173.0M	-8.6M	8.54	50.60	22,547	192,536	1,774,997	3,470,933
2013-04-05	$14.65	$14.62	16.8%	4.8%	11.4%	14.2%	17.4%	4.4%	-0.0%	-86.3M	-81.1M	-8.7M	2.97	76.00	36,995	109,744	1,783,200	3,611,494
2013-04-08	$14.81	$14.62	16.6%	4.8%	12.0%	13.6%	16.5%	4.3%	-0.3%	-13.5M	-322.3M	-8.2M	2.89	60.33	20,517	59,242	1,767,679	3,505,925
2013-04-09	$14.83	$14.62	14.3%	4.1%	11.7%	5.5%	17.1%	4.1%	1.8%	-2.0M	-381.4M	-8.2M	5.56	38.63	14,962	83,250	1,775,726	3,536,920
2013-04-10	$15.04	$14.62	14.8%	4.2%	12.6%	7.4%	15.3%	3.7%	-1.2%	28.5M	-703.5M	-8.0M	1.09	54.86	60,353	65,961	1,779,406	3,525,708
2013-04-11	$15.09	$0.00	15.0%	4.3%	12.6%	8.0%	14.3%	3.1%	-1.4%	36.8M	-819.8M	-7.8M	1.89	5.63	115,054	217,754	1,812,816	3,549,428
2013-04-12	$15.00	$15.03	15.8%	4.4%	12.6%	10.7%	15.4%	3.4%	1.5%	-27.6M	-591.7M	-8.0M	5.30	67.10	129,257	685,043	1,833,914	3,669,218
2013-04-15	$14.74	$14.62	18.5%	5.2%	14.0%	20.2%	18.5%	3.6%	0.1%	-79.3M	77.5M	-8.4M	1.49	106.21	122,892	183,601	1,781,694	3,930,391
2013-04-16	$14.92	$14.62	16.3%	4.7%	14.2%	12.4%	16.3%	4.2%	1.0%	-58.7M	-391.3M	-8.3M	0.91	24.61	70,571	63,976	1,816,260	4,065,912
2013-04-17	$14.65	$14.62	17.9%	5.1%	15.5%	18.3%	19.9%	5.2%	0.0%	-110.6M	276.2M	-8.8M	9.14	27.91	60,650	554,121	1,775,264	3,987,966
2013-04-18	$14.47	$14.62	17.6%	5.0%	16.0%	16.9%	20.3%	5.5%	0.8%	-111.6M	637.9M	-8.5M	4.80	23.77	70,602	339,218	1,756,031	3,940,216
2013-04-19	$14.68	$14.62	15.6%	4.4%	16.4%	10.2%	15.5%	4.5%	1.0%	-108.2M	32.6M	-8.1M	1.33	64.10	174,444	232,265	1,767,549	3,929,849
2013-04-22	$14.70	$14.62	16.0%	4.6%	16.2%	11.6%	16.8%	3.9%	0.3%	-33.0M	28.5M	-8.3M	3.08	55.75	18,522	57,116	1,519,540	2,623,488
2013-04-23	$14.97	$14.62	15.0%	4.3%	17.4%	8.2%	16.6%	3.8%	2.1%	-2.6M	-335.0M	-8.2M	1.73	73.16	27,009	46,620	1,527,283	2,656,084
2013-04-24	$15.08	$14.62	14.7%	4.2%	17.4%	6.9%	16.9%	4.1%	-0.3%	7.2M	-443.2M	-8.1M	0.65	41.62	63,299	41,117	1,538,178	2,672,604
2013-04-25	$15.17	$14.62	15.3%	4.4%	17.4%	8.9%	16.2%	3.5%	-0.2%	19.4M	-603.8M	-8.0M	2.27	37.93	31,029	70,421	1,578,282	2,697,585
2013-04-26	$15.05	$14.62	14.9%	4.3%	17.7%	7.7%	15.6%	4.2%	-0.3%	3.6M	-492.1M	-7.9M	0.63	54.86	149,493	94,116	1,589,552	2,708,946
2013-04-29	$15.16	$15.03	15.3%	4.4%	17.7%	9.1%	16.0%	3.7%	-1.1%	20.5M	-606.1M	-8.0M	1.04	41.23	14,601	15,154	1,623,994	2,737,767
2013-04-30	$15.19	$15.03	15.5%	4.4%	17.6%	9.8%	15.2%	3.7%	-0.9%	24.7M	-640.9M	-8.1M	1.01	77.69	46,323	46,785	1,632,759	2,742,833