XLF Options History — May 2013

In May 2013, XLF traded between $15.02 and $16.38. 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 0.8% (HV 20d: 14.4%). Max pain ranged from $14.62 to $16.25. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.24.

Notable Days

2013-05-22: Highest Volume — 542,668 contracts
2013-05-09: Largest IV spike — 13.7% change
2013-05-31: Highest IV Rank — 18.9%
2013-05-31: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.86	$15.02	$16.38	$15.02	$16.12
Max Pain	$15.34	$14.62	$16.25	$15.03	$15.84
ATM IV	15.2%	12.8%	18.1%	15.9%	18.1%
Expected Move	4.3%	3.7%	5.2%	4.6%	5.2%
HV 20d	14.4%	11.4%	17.3%	17.1%	13.4%
HV 60d	14.6%	13.6%	15.4%	14.9%	14.1%
IV Rank	8.6%	0.5%	18.9%	11.2%	18.9%
IV Percentile	22.7%	0.4%	64.3%	25.0%	64.3%
Term Structure	0.6%	-0.9%	2.7%	1.9%	-0.5%
VWIV	16.1%	14.3%	18.6%	15.6%	18.6%
Skew 25d	3.2%	1.8%	6.1%	4.5%	2.8%
Skew 10d	8.3%	4.7%	20.4%	10.0%	5.4%
Call IV 25d	14.2%	10.5%	17.6%	14.1%	17.6%
Put IV 25d	17.4%	15.9%	20.4%	18.6%	20.4%
Bid-Ask Spread %	42.60	4.16	114.08	51.43	28.05
Gamma HHI	0.29	0.15	0.73	0.28	0.15
Net GEX	40.5M	-15.2M	203.9M	8.4M	-15.2M
Net DEX	-1.14B	-1.75B	-436.9M	-436.9M	-816.0M
Net VEX	-9.1M	-11.3M	-7.4M	-8.3M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.24	0.23	7.59	7.59	1.09
Total Volume	262,215.682	71,687	542,668	85,673	168,442
Total OI	5,155,111.409	4,436,690	5,894,819	4,436,690	5,894,819

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
2013-05-01	$15.02	$15.03	15.9%	4.6%	17.1%	11.2%	15.6%	4.5%	1.9%	8.4M	-436.9M	-8.3M	7.59	51.43	9,975	75,698	1,661,403	2,775,287
2013-05-02	$15.15	$15.03	15.5%	4.4%	17.1%	9.8%	15.4%	4.0%	0.0%	22.4M	-602.9M	-8.1M	0.86	45.80	38,624	33,063	1,665,577	2,822,698
2013-05-03	$15.29	$15.03	13.9%	3.9%	17.2%	4.1%	15.9%	6.1%	0.5%	45.4M	-814.3M	-7.8M	2.77	63.64	68,394	189,633	1,664,653	2,838,127
2013-05-06	$15.47	$15.03	14.2%	4.1%	17.3%	5.1%	14.4%	3.6%	0.5%	55.5M	-943.5M	-8.1M	1.75	46.43	52,739	92,085	1,698,181	2,959,745
2013-05-07	$15.56	$15.43	14.1%	4.1%	17.3%	4.8%	14.6%	3.1%	0.7%	63.5M	-1.15B	-7.7M	0.95	52.24	60,025	56,982	1,713,513	2,979,642
2013-05-08	$15.67	$15.84	13.0%	3.7%	16.9%	1.0%	15.9%	3.4%	2.5%	55.6M	-1.22B	-7.7M	0.23	52.32	237,550	54,621	1,714,750	3,014,829
2013-05-09	$15.58	$15.84	14.8%	4.2%	17.1%	7.2%	15.4%	4.0%	0.8%	63.4M	-1.15B	-8.1M	3.12	45.18	53,361	166,562	1,828,648	3,022,772
2013-05-10	$15.65	$15.43	12.8%	3.7%	16.9%	0.5%	14.3%	3.6%	2.7%	53.7M	-1.23B	-8.3M	0.37	114.08	165,907	61,274	1,866,262	3,172,829
2013-05-13	$15.69	$15.43	14.0%	4.0%	15.3%	4.3%	15.8%	3.9%	2.1%	68.6M	-1.31B	-8.5M	2.34	57.69	37,377	87,285	1,937,816	3,176,779
2013-05-14	$15.97	$15.43	14.6%	4.2%	15.8%	6.8%	14.6%	3.4%	-0.3%	81.5M	-1.74B	-7.4M	0.93	44.15	199,123	184,379	1,961,744	3,229,849
2013-05-15	$16.08	$15.84	14.5%	4.2%	13.6%	6.4%	15.5%	2.7%	0.5%	83.6M	-1.75B	-8.8M	0.65	45.35	165,158	107,437	2,052,967	3,356,205
2013-05-16	$16.00	$0.00	15.4%	4.4%	12.5%	9.4%	15.4%	2.6%	-0.9%	58.3M	-1.54B	-8.7M	5.19	4.16	68,836	356,936	2,042,735	3,391,023
2013-05-17	$16.21	$15.84	14.5%	4.1%	12.4%	6.3%	15.1%	2.2%	0.1%	203.9M	-1.75B	-8.9M	0.96	46.66	218,466	210,474	2,048,692	3,557,797
2013-05-20	$16.26	$14.62	14.9%	4.3%	12.4%	7.6%	15.9%	2.1%	0.5%	35.3M	-1.36B	-9.1M	5.59	17.53	77,569	433,546	1,797,288	3,068,849
2013-05-21	$16.27	$14.62	15.1%	4.3%	11.4%	8.2%	15.6%	2.3%	0.9%	12.1M	-1.23B	-10.0M	1.47	90.29	62,399	91,436	1,818,533	3,656,753
2013-05-22	$16.13	$14.62	15.6%	4.5%	12.3%	10.0%	16.4%	1.8%	0.2%	15.4M	-1.12B	-9.8M	0.41	41.75	386,102	156,566	1,823,373	3,427,550
2013-05-23	$16.01	$14.62	15.7%	4.5%	12.8%	10.6%	17.6%	2.8%	1.7%	5.2M	-923.0M	-10.4M	2.58	16.19	117,612	302,876	1,937,619	3,417,571
2013-05-24	$16.04	$14.62	16.0%	4.5%	12.1%	11.3%	17.9%	3.3%	1.2%	-9.3M	-841.6M	-10.9M	2.20	54.89	42,261	93,123	1,951,629	3,615,038
2013-05-28	$16.20	$15.84	16.5%	4.7%	12.3%	13.2%	18.5%	3.2%	-0.7%	-5.2M	-1.02B	-10.5M	3.32	7.63	48,233	160,236	1,903,671	3,619,349
2013-05-29	$16.19	$16.25	17.1%	4.9%	12.3%	15.4%	17.8%	3.1%	-0.6%	-9.2M	-969.7M	-10.9M	2.47	5.97	59,479	146,871	1,908,277	3,715,313
2013-05-30	$16.38	$15.84	17.4%	5.0%	11.4%	16.4%	18.4%	2.7%	-0.5%	-1.9M	-1.22B	-10.4M	2.47	5.75	106,746	263,284	1,947,604	3,754,692
2013-05-31	$16.12	$15.84	18.1%	5.2%	13.4%	18.9%	18.6%	2.8%	-0.5%	-15.2M	-816.0M	-11.3M	1.09	28.05	80,425	88,017	1,994,885	3,899,934