XLF Options History — July 2013

In July 2013, XLF traded between $15.82 and $16.95. ATM implied volatility averaged 16.5%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.2% (HV 20d: 16.3%). Max pain ranged from $14.62 to $18.28. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.06.

Notable Days

2013-07-09: Highest Volume — 1,033,410 contracts
2013-07-18: Largest IV drop — 13.3% change
2013-07-02: Highest IV Rank — 21.1%
2013-07-02: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.50	$15.82	$16.95	$15.83	$16.71
Max Pain	$16.15	$14.62	$18.28	$15.43	$16.25
ATM IV	16.5%	14.3%	18.8%	18.7%	16.2%
Expected Move	4.7%	4.1%	5.4%	5.4%	4.6%
HV 20d	16.3%	10.5%	21.7%	21.7%	10.7%
HV 60d	16.6%	15.7%	17.7%	17.6%	15.7%
IV Rank	13.3%	5.6%	21.1%	20.8%	12.0%
IV Percentile	44.1%	11.1%	74.2%	72.6%	40.1%
Term Structure	0.5%	-1.3%	1.6%	1.3%	-0.7%
VWIV	17.3%	14.7%	22.1%	19.7%	15.6%
Skew 25d	3.4%	1.9%	5.0%	4.7%	3.2%
Skew 10d	7.1%	3.8%	12.6%	9.5%	5.7%
Call IV 25d	15.4%	14.2%	17.4%	17.2%	15.1%
Put IV 25d	18.9%	16.2%	22.1%	21.9%	18.3%
Bid-Ask Spread %	26.52	3.76	99.45	13.00	14.23
Gamma HHI	0.24	0.19	0.29	0.27	0.28
Net GEX	-19.7M	-85.9M	17.2M	-79.5M	-6.3M
Net DEX	-655.0M	-1.33B	211.3M	134.5M	-758.2M
Net VEX	-10.2M	-11.4M	-9.0M	-10.9M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.06	0.38	17.20	5.91	2.19
Total Volume	231,036.364	52,825	1,033,410	345,734	128,548
Total OI	5,554,177.318	5,175,683	6,050,440	5,299,457	5,482,774

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
2013-07-01	$15.83	$15.43	18.7%	5.4%	21.7%	20.8%	19.7%	4.7%	1.3%	-79.5M	134.5M	-10.9M	5.91	13.00	50,007	295,727	1,603,666	3,695,791
2013-07-02	$15.87	$15.03	18.8%	5.4%	21.5%	21.1%	20.9%	4.0%	-1.3%	-76.2M	104.2M	-10.9M	0.85	8.19	93,657	79,720	1,609,683	3,715,112
2013-07-03	$15.82	$14.62	18.6%	5.3%	20.7%	20.5%	22.1%	5.0%	1.6%	-85.9M	211.3M	-11.4M	7.74	51.57	12,229	94,607	1,647,791	3,772,727
2013-07-05	$16.10	$14.62	16.6%	4.8%	21.2%	13.6%	18.9%	4.6%	0.2%	-45.5M	-303.0M	-10.5M	1.23	40.24	61,432	75,772	1,654,130	3,845,419
2013-07-08	$16.22	$15.03	16.6%	4.8%	20.6%	13.6%	17.7%	4.0%	0.3%	-37.2M	-430.1M	-10.4M	4.42	10.29	35,842	158,442	1,627,780	3,798,894
2013-07-09	$16.35	$15.84	16.8%	4.8%	20.8%	14.4%	17.7%	4.0%	-0.0%	-24.6M	-609.7M	-10.2M	17.20	10.60	56,781	976,629	1,631,836	3,896,338
2013-07-10	$16.26	$15.84	17.9%	5.1%	20.0%	18.2%	16.8%	4.4%	-0.2%	-35.3M	-398.5M	-11.0M	7.70	37.59	49,346	380,173	1,653,647	3,919,172
2013-07-11	$16.39	$0.00	18.3%	5.3%	19.5%	19.6%	20.5%	3.6%	-0.4%	-45.2M	-485.0M	-11.2M	1.64	4.42	72,889	119,466	1,678,520	4,135,053
2013-07-12	$16.52	$18.28	16.5%	4.7%	18.4%	13.3%	16.4%	2.9%	1.0%	-20.2M	-767.3M	-10.2M	0.71	81.35	187,106	133,011	1,727,312	4,199,118
2013-07-15	$16.62	$16.25	17.2%	5.1%	17.6%	15.7%	18.7%	3.5%	0.8%	-18.8M	-864.1M	-10.2M	1.43	20.44	37,147	53,199	1,684,202	4,196,377
2013-07-16	$16.56	$16.25	17.1%	4.9%	17.3%	15.2%	17.3%	3.2%	1.0%	-25.0M	-755.3M	-10.3M	1.31	14.15	42,062	54,908	1,675,860	4,188,295
2013-07-17	$16.60	$16.25	17.0%	4.9%	17.3%	15.0%	17.1%	3.6%	0.8%	-20.4M	-835.8M	-10.1M	0.75	27.78	96,843	72,206	1,680,916	4,192,905
2013-07-18	$16.83	$16.25	14.8%	4.2%	17.0%	7.1%	16.1%	2.6%	1.4%	3.4M	-1.20B	-9.0M	1.00	41.27	185,155	185,155	1,698,680	4,167,587
2013-07-19	$16.86	$16.25	14.3%	4.1%	14.4%	5.6%	15.3%	2.6%	0.6%	9.4M	-1.33B	-9.3M	0.38	99.45	126,488	47,812	1,842,654	4,207,786
2013-07-22	$16.95	$16.65	14.4%	4.2%	14.1%	6.0%	14.7%	1.9%	0.4%	15.3M	-1.09B	-9.3M	2.34	7.89	98,571	230,332	1,605,830	3,569,853
2013-07-23	$16.89	$16.65	14.7%	4.2%	11.9%	6.9%	15.6%	2.7%	0.5%	12.4M	-1.01B	-9.8M	1.93	6.29	44,413	85,843	1,680,482	3,630,289
2013-07-24	$16.81	$16.65	16.1%	4.6%	11.2%	11.7%	14.9%	2.8%	-0.6%	6.7M	-852.6M	-10.0M	1.22	5.64	79,685	97,403	1,704,768	3,622,512
2013-07-25	$16.78	$16.65	15.7%	4.5%	11.2%	10.5%	16.0%	2.6%	0.6%	15.5M	-909.0M	-10.0M	2.03	3.76	61,163	123,999	1,736,213	3,618,023
2013-07-26	$16.78	$16.65	15.3%	4.3%	10.5%	9.0%	15.6%	2.5%	0.5%	17.2M	-921.9M	-9.5M	0.52	71.29	67,193	34,855	1,764,927	3,661,577
2013-07-29	$16.65	$17.06	15.8%	4.6%	10.6%	10.9%	15.7%	3.4%	1.3%	8.9M	-725.7M	-10.0M	1.44	5.79	21,618	31,207	1,754,179	3,631,531
2013-07-30	$16.64	$16.65	16.0%	4.6%	10.7%	11.5%	17.1%	3.6%	1.5%	-2.1M	-613.3M	-10.4M	3.40	8.13	32,735	111,424	1,758,364	3,623,328
2013-07-31	$16.71	$16.25	16.2%	4.6%	10.7%	12.0%	15.6%	3.2%	-0.7%	-6.3M	-758.2M	-9.5M	2.19	14.23	40,283	88,265	1,779,867	3,702,907