XLF Options History — June 2013

In June 2013, XLF traded between $15.25 and $16.23. ATM implied volatility averaged 18.9%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.9% (HV 20d: 18.0%). Max pain ranged from $14.62 to $16.25. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.65.

Notable Days

  • 2013-06-25: Highest Volume — 721,866 contracts
  • 2013-06-20: Largest IV spike — 30.1% change
  • 2013-06-20: Highest IV Rank — 33.1%
  • 2013-06-20: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.87$15.25$16.23$16.13$15.78
Max Pain$15.88$14.62$16.25$16.25$15.84
ATM IV18.9%17.1%22.2%17.5%19.7%
Expected Move5.4%4.8%6.4%5.0%5.6%
HV 20d18.0%13.2%22.2%13.2%21.6%
HV 60d16.0%14.1%17.7%14.1%17.6%
IV Rank21.6%15.2%33.1%16.8%24.4%
IV Percentile71.1%53.6%90.5%58.7%81.0%
Term Structure-0.0%-1.6%1.8%0.2%-0.3%
VWIV20.1%17.6%22.4%18.6%20.1%
Skew 25d4.5%3.3%6.2%3.3%5.2%
Skew 10d7.9%-8.5%12.0%8.0%-8.5%
Call IV 25d17.5%15.8%20.4%16.6%17.6%
Put IV 25d22.0%19.7%26.0%19.9%22.8%
Bid-Ask Spread %21.235.4191.4311.3391.43
Gamma HHI0.200.150.350.150.25
Net GEX-47.8M-126.3M3.3M-18.1M-72.3M
Net DEX-247.9M-1.01B1.02B-821.4M190.3M
Net VEX-11.5M-12.3M-11.0M-11.1M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.446.791.844.37
Total Volume267,69966,844721,866410,784216,764
Total OI6,034,2024,933,9196,630,7855,900,9325,294,821

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$16.13$16.2517.5%5.0%13.2%16.8%18.6%3.3%0.2%-18.1M-821.4M-11.1M1.8411.33144,521266,2632,014,3393,886,593
2013-06-04$16.00$16.2518.9%5.4%13.3%21.7%20.6%3.5%-1.3%-28.0M-613.1M-11.5M2.7512.0046,447127,7132,033,7244,015,277
2013-06-05$15.74$16.2519.2%5.5%14.6%22.6%22.1%4.0%0.9%-49.6M-106.6M-12.1M1.959.3493,332182,1822,021,0294,054,519
2013-06-06$15.95$15.0318.9%5.4%15.1%21.5%19.6%4.5%-1.6%-36.9M-519.1M-12.1M1.3823.2289,460123,7282,066,4534,147,749
2013-06-07$16.20$15.8417.2%4.9%15.7%15.6%18.4%3.9%-0.1%-4.0M-1.01B-11.3M1.2442.2939,59049,2312,114,1604,191,926
2013-06-10$16.23$15.8417.5%5.0%15.7%16.9%19.3%4.4%-0.2%-8.8M-1.00B-11.6M2.7910.4458,833163,8992,088,0174,141,686
2013-06-11$15.97$15.8419.6%5.6%16.9%24.2%19.9%4.5%-1.6%-32.7M-511.1M-11.9M2.717.9241,106111,4172,119,5324,243,943
2013-06-12$15.77$15.8420.3%5.8%16.4%26.5%22.4%4.3%1.2%-49.3M-146.8M-12.3M6.799.1835,682242,1982,120,6354,302,487
2013-06-13$16.09$0.0018.0%5.2%17.8%18.4%20.5%4.1%-0.1%-30.8M-745.4M-11.4M2.945.4154,242159,6052,140,8854,455,504
2013-06-14$15.87$15.4318.4%5.4%18.4%20.0%20.7%3.9%-1.5%-63.2M-305.6M-12.1M1.9113.5690,142172,4112,143,3264,487,459
2013-06-17$16.05$16.2517.5%4.9%18.3%16.7%19.0%4.4%0.7%-10.8M-708.8M-11.3M1.9917.4127,85355,4772,149,9564,362,810
2013-06-18$16.13$16.2517.3%4.9%18.3%16.0%18.6%4.3%0.7%3.3M-890.0M-11.0M2.1613.4521,14445,7002,153,6374,346,639
2013-06-19$15.92$16.2517.1%4.8%18.8%15.2%18.6%4.8%0.4%-23.6M-488.0M-11.2M0.4417.42183,59180,1292,124,7224,349,523
2013-06-20$15.59$16.2522.2%6.4%19.9%33.1%21.9%6.2%0.2%-44.1M110.2M-11.4M3.7817.91131,145495,1782,123,0084,342,974
2013-06-21$15.52$16.2520.3%5.8%19.9%26.4%20.3%5.2%0.5%-126.3M671.9M-11.7M0.9888.93153,713150,2791,841,0064,535,154
2013-06-24$15.25$14.6221.6%6.2%20.6%30.9%22.0%5.6%-0.4%-104.2M1.02B-11.3M2.876.4889,795257,3911,500,5573,433,362
2013-06-25$15.54$15.8420.2%5.8%21.6%26.0%21.7%5.0%-0.3%-104.9M609.3M-11.2M2.458.50209,323512,5431,526,3923,510,126
2013-06-26$15.68$15.8418.5%5.3%22.0%20.3%20.0%4.5%1.8%-87.7M305.4M-11.2M2.538.7744,822113,2851,605,8073,536,581
2013-06-27$15.90$15.8418.4%5.3%22.2%19.9%17.6%4.7%0.4%-63.7M5.1M-11.2M5.169.6944,444229,4021,613,1493,544,573
2013-06-28$15.78$15.8419.7%5.6%21.6%24.4%20.1%5.2%-0.3%-72.3M190.3M-11.3M4.3791.4340,401176,3631,624,2063,670,615