XLF Options History — August 2013

In August 2013, XLF traded between $15.79 and $16.91. ATM implied volatility averaged 16.1%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 5.0% (HV 20d: 11.1%). Max pain ranged from $15.84 to $17.47. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.89.

Notable Days

2013-08-06: Highest Volume — 505,818 contracts
2013-08-27: Largest IV spike — 20.7% change
2013-08-30: Highest IV Rank — 23.6%
2013-08-30: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.36	$15.79	$16.91	$16.91	$15.79
Max Pain	$16.52	$15.84	$17.47	$16.65	$16.25
ATM IV	16.1%	13.6%	19.5%	15.2%	19.5%
Expected Move	4.6%	3.9%	5.6%	4.4%	5.6%
HV 20d	11.1%	9.5%	14.7%	11.0%	13.7%
HV 60d	15.8%	15.4%	16.4%	15.8%	15.8%
IV Rank	11.7%	3.2%	23.6%	8.7%	23.6%
IV Percentile	40.3%	5.2%	87.3%	23.8%	87.3%
Term Structure	1.1%	-0.8%	3.3%	0.0%	0.1%
VWIV	16.7%	14.4%	20.4%	16.2%	19.5%
Skew 25d	3.9%	2.2%	5.1%	2.2%	4.7%
Skew 10d	8.1%	5.3%	13.0%	5.3%	10.7%
Call IV 25d	15.0%	13.3%	18.1%	15.3%	18.1%
Put IV 25d	18.9%	16.5%	22.8%	17.5%	22.8%
Bid-Ask Spread %	12.02	4.26	35.15	8.87	35.15
Gamma HHI	0.25	0.19	0.34	0.34	0.22
Net GEX	-62.3M	-117.0M	30.5M	30.5M	-86.2M
Net DEX	11.9M	-1.06B	847.6M	-1.06B	750.0M
Net VEX	-10.6M	-11.2M	-9.2M	-9.6M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.89	0.30	18.16	5.47	2.27
Total Volume	207,676.091	66,145	505,818	350,192	88,525
Total OI	5,671,996.636	5,038,335	6,358,814	5,483,114	5,462,368

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
2013-08-01	$16.91	$16.65	15.2%	4.4%	11.0%	8.7%	16.2%	2.2%	0.0%	30.5M	-1.06B	-9.6M	5.47	8.87	54,141	296,051	1,787,455	3,695,659
2013-08-02	$16.90	$16.65	14.2%	4.1%	9.6%	5.3%	15.3%	2.8%	0.1%	26.6M	-1.06B	-9.2M	2.15	18.82	40,803	87,762	1,800,193	3,884,003
2013-08-05	$16.88	$17.47	13.6%	3.9%	9.5%	3.2%	14.4%	3.1%	0.6%	21.2M	-935.8M	-9.6M	1.43	7.38	58,475	83,691	1,759,985	3,889,849
2013-08-06	$16.72	$17.06	15.1%	4.3%	10.1%	8.3%	15.8%	3.7%	-0.8%	-1.5M	-726.1M	-9.5M	18.16	7.29	26,398	479,420	1,777,514	3,939,715
2013-08-07	$16.60	$17.06	15.2%	4.4%	10.3%	8.7%	15.8%	3.7%	2.5%	-42.2M	-349.0M	-10.7M	4.30	5.68	40,794	175,234	1,776,263	4,204,384
2013-08-08	$16.65	$16.65	14.7%	4.2%	10.0%	7.1%	16.1%	3.6%	3.1%	-55.4M	-349.6M	-10.7M	5.69	5.25	14,319	81,449	1,787,735	4,311,483
2013-08-09	$16.59	$16.65	14.5%	4.2%	9.7%	6.4%	15.2%	3.9%	3.3%	-44.5M	-320.6M	-10.8M	11.80	22.74	26,133	308,277	1,792,921	4,315,311
2013-08-12	$16.52	$16.65	14.4%	4.1%	9.6%	6.0%	15.7%	3.8%	3.0%	-68.8M	-156.7M	-10.8M	1.35	6.09	28,155	37,990	1,789,776	4,438,874
2013-08-13	$16.60	$16.65	14.2%	4.1%	9.7%	5.4%	14.9%	3.7%	3.1%	-61.5M	-279.7M	-10.6M	1.48	6.24	42,169	62,588	1,821,890	4,473,652
2013-08-14	$16.55	$16.65	14.7%	4.2%	9.7%	6.8%	16.2%	4.2%	2.6%	-66.7M	-191.6M	-10.8M	0.64	6.10	103,159	66,151	1,830,759	4,482,991
2013-08-15	$16.30	$0.00	16.6%	4.8%	9.7%	13.7%	15.4%	4.5%	0.2%	-102.6M	331.3M	-11.1M	3.19	5.01	90,216	288,175	1,851,355	4,466,173
2013-08-16	$16.25	$16.65	16.6%	4.8%	9.6%	13.7%	17.1%	4.3%	0.1%	-117.0M	347.7M	-11.1M	1.92	23.94	76,535	147,309	1,864,932	4,493,882
2013-08-19	$16.04	$16.25	17.0%	4.8%	9.9%	15.1%	18.3%	5.1%	0.8%	-88.1M	547.3M	-10.9M	1.92	10.14	36,888	70,832	1,491,531	3,546,804
2013-08-20	$16.21	$16.25	16.2%	4.7%	10.9%	12.2%	17.7%	3.7%	0.9%	-87.9M	311.8M	-10.6M	12.48	12.49	34,004	424,337	1,511,152	3,553,248
2013-08-21	$16.07	$16.25	16.2%	4.7%	11.1%	12.3%	16.8%	3.7%	0.9%	-103.1M	569.8M	-11.1M	2.59	16.49	68,083	176,106	1,519,433	3,690,367
2013-08-22	$16.28	$16.25	16.3%	4.7%	12.4%	12.5%	16.0%	3.1%	0.4%	-77.6M	213.7M	-10.7M	0.42	20.26	104,103	43,785	1,548,191	3,727,142
2013-08-23	$16.30	$16.25	15.7%	4.5%	12.4%	10.5%	15.8%	3.1%	0.7%	-74.9M	110.0M	-10.7M	3.07	19.01	23,395	71,856	1,616,264	3,685,868
2013-08-26	$16.19	$15.84	15.9%	4.6%	12.3%	11.1%	16.5%	4.3%	0.2%	-83.3M	247.3M	-10.3M	2.81	5.32	37,060	104,192	1,591,399	3,657,403
2013-08-27	$15.80	$16.25	19.2%	5.4%	14.7%	22.5%	19.8%	5.0%	1.5%	-99.1M	847.6M	-10.8M	1.05	9.04	105,055	110,733	1,582,433	3,618,789
2013-08-28	$15.82	$16.25	19.1%	5.5%	14.6%	22.2%	19.6%	4.8%	1.2%	-99.3M	769.2M	-10.8M	0.30	8.92	173,204	51,924	1,647,222	3,670,661
2013-08-29	$15.87	$16.25	19.4%	5.6%	13.7%	23.3%	20.4%	4.4%	-0.3%	-89.9M	651.0M	-11.2M	1.11	4.26	61,466	67,932	1,767,992	3,658,905
2013-08-30	$15.79	$16.25	19.5%	5.6%	13.7%	23.6%	19.5%	4.7%	0.1%	-86.2M	750.0M	-10.9M	2.27	35.15	27,057	61,468	1,789,630	3,672,738