XLF Options History — September 2013

In September 2013, XLF traded between $15.93 and $16.82. ATM implied volatility averaged 16.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.2% (HV 20d: 14.4%). Max pain ranged from $15.43 to $17.06. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.15.

Notable Days

  • 2013-09-20: Highest Volume — 1,158,119 contracts
  • 2013-09-20: Largest IV spike — 12.9% change
  • 2013-09-03: Highest IV Rank — 23.8%
  • 2013-09-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.37$15.93$16.82$15.93$16.21
Max Pain$16.10$15.43$17.06$15.84$15.84
ATM IV16.6%14.5%19.5%19.5%18.2%
Expected Move4.8%4.1%5.6%5.6%5.2%
HV 20d14.4%11.9%16.1%14.3%12.0%
HV 60d13.9%12.4%15.7%15.6%12.4%
IV Rank13.6%6.2%23.8%23.8%19.1%
IV Percentile53.5%13.9%87.7%87.7%78.2%
Term Structure0.4%-1.6%2.2%-1.6%-0.4%
VWIV17.5%15.1%19.6%19.2%19.2%
Skew 25d3.8%1.4%4.8%4.8%4.8%
Skew 10d9.0%-2.5%14.6%10.8%14.6%
Call IV 25d15.6%14.4%17.5%17.5%16.5%
Put IV 25d19.4%17.2%22.3%22.3%21.4%
Bid-Ask Spread %19.054.5393.295.5122.65
Gamma HHI0.230.200.300.220.21
Net GEX-52.1M-94.4M26.7M-84.5M-79.4M
Net DEX-168.6M-1.13B554.1M554.1M389.8M
Net VEX-10.7M-11.5M-9.9M-10.7M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.2320.680.641.43
Total Volume220,351.6567,3121,158,11983,981167,349
Total OI5,752,779.85,406,8126,013,9045,425,6785,783,021

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$15.93$15.8419.5%5.6%14.3%23.8%19.2%4.8%-1.6%-84.5M554.1M-10.7M0.645.5151,26632,7151,763,9583,661,720
2013-09-04$16.08$15.8417.6%5.1%14.8%17.1%19.6%4.5%0.2%-82.2M332.9M-10.7M2.426.9836,04987,0581,793,0773,678,186
2013-09-05$16.11$15.8417.5%5.0%14.7%16.7%17.5%4.4%0.3%-79.0M276.2M-10.4M1.518.4438,70058,2641,816,7493,747,250
2013-09-06$16.08$15.8416.7%4.8%14.6%13.9%17.1%4.5%0.1%-73.5M272.4M-10.4M12.2149.1916,012195,4361,844,0523,768,177
2013-09-09$16.24$15.8417.3%5.0%15.1%16.0%17.9%4.1%-0.0%-68.5M40.4M-10.4M0.236.06208,43548,1351,829,9813,781,751
2013-09-10$16.47$15.8415.5%4.5%16.0%9.9%16.8%4.3%1.9%-39.0M-470.2M-10.7M1.175.0469,47681,6092,003,4403,808,117
2013-09-11$16.50$15.8414.9%4.3%15.9%7.7%15.2%3.7%2.2%-35.0M-581.0M-10.3M2.546.3923,58359,8872,025,8533,803,199
2013-09-12$16.38$0.0016.6%4.7%16.1%13.4%19.3%3.8%0.1%-51.9M-301.6M-10.8M1.154.5331,27436,0382,021,3733,820,959
2013-09-13$16.41$15.4316.3%4.6%15.1%12.4%15.1%1.4%1.5%-48.2M-400.7M-10.6M0.3348.53161,39952,7802,033,5793,847,358
2013-09-16$16.58$16.2517.0%5.0%15.4%15.0%16.9%4.1%-0.1%-12.6M-759.6M-10.0M0.8218.1573,06460,1972,147,7973,821,235
2013-09-17$16.67$16.2515.0%4.2%14.6%8.0%17.4%4.0%0.4%-566.1K-877.6M-10.0M4.5318.5722,06299,9982,173,3993,840,505
2013-09-18$16.82$16.2514.8%4.2%14.6%7.5%15.3%3.4%0.9%26.7M-1.13B-9.9M0.5819.94103,65659,8452,158,0013,849,813
2013-09-19$16.74$16.2514.5%4.1%14.3%6.2%18.6%2.3%1.7%-4.3M-1.06B-10.2M0.8415.17183,110153,7212,165,1233,838,899
2013-09-20$16.57$16.2516.3%4.7%14.3%12.7%17.8%3.8%-0.8%-37.0M-458.2M-10.0M20.6893.2953,4181,104,7011,932,6823,937,888
2013-09-23$16.35$17.0616.9%4.9%15.2%14.5%17.1%3.8%0.2%-56.0M85.7M-11.3M2.444.9857,643140,4611,841,5383,565,274
2013-09-24$16.29$16.6516.7%4.8%15.0%13.9%17.1%3.9%0.2%-73.6M199.8M-11.0M2.116.8079,989168,4671,865,9873,734,440
2013-09-25$16.34$16.6516.6%4.8%11.9%13.7%18.0%3.5%0.1%-69.7M111.6M-11.5M2.875.9168,493196,8331,907,7903,800,635
2013-09-26$16.34$16.2516.9%4.8%11.9%14.5%18.3%3.6%0.4%-79.5M155.3M-11.5M0.947.7645,72843,1171,918,7633,881,312
2013-09-27$16.29$15.8417.4%5.0%12.0%16.3%17.3%4.2%0.0%-94.4M243.0M-11.5M3.6427.1951,050186,0151,947,3693,895,346
2013-09-30$16.21$15.8418.2%5.2%12.0%19.1%19.2%4.8%-0.4%-79.4M389.8M-11.5M1.4322.6568,95698,3931,938,1813,844,840