XLF Options History — October 2013

In October 2013, XLF traded between $15.90 and $16.99. ATM implied volatility averaged 16.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.5% (HV 20d: 15.1%). Max pain ranged from $16.25 to $18.28. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.92.

Notable Days

2013-10-10: Highest Volume — 362,876 contracts
2013-10-16: Largest IV drop — 20.6% change
2013-10-08: Highest IV Rank — 37.9%
2013-10-08: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.59	$15.90	$16.99	$16.32	$16.70
Max Pain	$16.49	$16.25	$18.28	$16.25	$16.65
ATM IV	16.6%	12.9%	23.6%	17.5%	13.9%
Expected Move	4.8%	3.6%	6.8%	5.0%	4.0%
HV 20d	15.1%	11.4%	17.5%	11.8%	16.4%
HV 60d	13.7%	12.2%	14.6%	12.3%	14.4%
IV Rank	13.5%	0.7%	37.9%	16.7%	4.1%
IV Percentile	45.3%	0.8%	98.0%	71.4%	9.1%
Term Structure	-0.1%	-2.9%	1.1%	-0.4%	0.2%
VWIV	17.6%	14.3%	24.3%	18.4%	14.5%
Skew 25d	4.1%	2.7%	6.4%	4.2%	2.7%
Skew 10d	9.5%	5.4%	14.1%	11.8%	5.4%
Call IV 25d	15.3%	12.1%	21.0%	15.9%	12.9%
Put IV 25d	19.5%	15.3%	27.4%	20.1%	15.6%
Bid-Ask Spread %	30.62	4.23	96.59	18.61	27.81
Gamma HHI	0.26	0.20	0.56	0.22	0.23
Net GEX	-27.6M	-131.8M	164.4M	-84.3M	-1.4M
Net DEX	-323.9M	-1.16B	1.07B	201.6M	-613.8M
Net VEX	-10.5M	-12.0M	-8.9M	-11.4M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	0.44	4.32	1.76	1.77
Total Volume	171,625.522	27,340	362,876	60,200	49,784
Total OI	5,914,041.304	5,210,361	6,613,150	5,921,577	5,385,878

Daily Data (23 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
2013-10-01	$16.32	$16.25	17.5%	5.0%	11.8%	16.7%	18.4%	4.2%	-0.4%	-84.3M	201.6M	-11.4M	1.76	18.61	21,816	38,384	1,969,632	3,951,945
2013-10-02	$16.28	$16.25	17.8%	5.1%	11.4%	17.9%	19.6%	4.4%	-0.0%	-96.6M	315.6M	-11.5M	4.32	15.06	32,065	138,521	1,982,246	3,969,681
2013-10-03	$16.14	$16.25	18.7%	5.4%	11.9%	20.9%	19.5%	4.8%	-0.1%	-108.5M	579.3M	-11.8M	1.19	17.57	153,309	181,806	1,995,392	4,058,449
2013-10-04	$16.28	$16.25	18.7%	5.4%	12.2%	21.0%	19.1%	5.1%	-0.3%	-109.3M	291.7M	-11.9M	3.83	19.36	56,656	216,772	2,027,558	4,140,470
2013-10-07	$16.07	$16.25	20.9%	6.0%	12.7%	28.6%	21.2%	6.0%	-1.0%	-113.2M	694.3M	-11.9M	4.04	16.63	19,051	77,002	2,030,782	4,158,743
2013-10-08	$15.90	$16.25	23.6%	6.8%	11.8%	37.9%	23.9%	6.4%	-2.8%	-130.3M	1.07B	-11.9M	4.12	16.13	54,554	224,774	2,039,138	4,204,823
2013-10-09	$15.92	$16.25	23.4%	6.7%	11.8%	37.3%	24.3%	6.1%	-2.9%	-131.8M	1.03B	-12.0M	1.61	12.51	114,316	183,573	2,061,338	4,211,023
2013-10-10	$16.41	$0.00	19.6%	5.6%	16.2%	24.0%	20.9%	4.8%	-0.7%	-94.7M	-27.5M	-11.4M	0.75	4.23	207,500	155,376	2,099,797	4,263,896
2013-10-11	$16.50	$18.28	17.1%	4.8%	16.3%	15.3%	17.9%	4.8%	0.9%	-58.3M	-308.5M	-10.9M	0.98	72.08	123,118	120,050	2,140,700	4,320,102
2013-10-14	$16.59	$16.25	18.4%	5.3%	16.0%	19.8%	18.0%	5.3%	-0.0%	-32.7M	-466.4M	-10.6M	1.98	28.32	30,217	59,958	2,163,817	4,258,542
2013-10-15	$16.46	$16.25	19.6%	5.6%	16.1%	24.0%	18.7%	5.3%	-0.6%	-73.1M	-184.6M	-11.0M	4.04	28.68	51,295	207,079	2,171,498	4,281,119
2013-10-16	$16.77	$16.25	15.6%	4.4%	17.2%	10.0%	18.1%	4.6%	0.8%	19.3M	-835.7M	-10.6M	2.07	29.42	96,693	200,259	2,176,765	4,379,540
2013-10-17	$16.94	$16.25	14.3%	4.1%	17.5%	5.6%	15.7%	3.1%	0.5%	120.6M	-1.11B	-10.2M	0.57	31.91	159,696	90,575	2,163,086	4,433,541
2013-10-18	$16.98	$16.25	12.9%	3.6%	17.0%	0.7%	14.4%	3.2%	1.1%	164.4M	-1.16B	-9.7M	0.49	89.82	133,168	65,839	2,138,481	4,474,669
2013-10-21	$16.94	$16.65	13.3%	3.9%	16.2%	2.2%	14.8%	3.1%	1.1%	16.3M	-897.4M	-9.4M	0.99	23.94	65,979	65,486	1,857,765	3,352,596
2013-10-22	$16.99	$16.65	14.0%	4.0%	16.0%	4.5%	15.3%	3.2%	0.6%	18.2M	-947.3M	-9.4M	2.01	21.83	36,377	73,272	1,876,652	3,366,960
2013-10-23	$16.84	$16.65	15.1%	4.3%	16.5%	8.4%	15.7%	3.1%	-0.5%	-1.0M	-755.2M	-9.8M	0.55	21.47	72,784	40,240	1,882,578	3,405,501
2013-10-24	$16.88	$16.25	13.5%	3.9%	16.5%	2.8%	15.1%	2.9%	-0.1%	-68.0K	-772.7M	-9.7M	1.97	22.91	13,087	25,831	1,893,443	3,430,285
2013-10-25	$16.94	$16.25	13.3%	3.8%	16.4%	1.9%	14.3%	2.9%	-0.0%	20.2M	-890.7M	-9.5M	2.74	96.59	24,416	66,922	1,892,775	3,441,082
2013-10-28	$16.91	$16.65	13.7%	3.9%	16.3%	3.4%	15.9%	3.0%	0.8%	8.2M	-794.7M	-9.5M	0.44	22.29	67,379	29,972	1,868,487	3,405,377
2013-10-29	$16.91	$17.06	13.4%	3.8%	16.2%	2.5%	14.7%	2.7%	0.8%	19.8M	-1.01B	-8.9M	1.28	24.52	11,976	15,364	1,924,649	3,417,551
2013-10-30	$16.90	$16.65	13.3%	3.8%	16.1%	2.1%	14.7%	3.0%	0.8%	14.1M	-850.3M	-9.3M	0.69	42.61	44,488	30,608	1,930,608	3,423,990
2013-10-31	$16.70	$16.65	13.9%	4.0%	16.4%	4.1%	14.5%	2.7%	0.2%	-1.4M	-613.8M	-9.3M	1.77	27.81	17,959	31,825	1,945,293	3,440,585