XLF Options History — November 2013

In November 2013, XLF traded between $16.56 and $17.50. ATM implied volatility averaged 14.0%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.9% (HV 20d: 13.0%). Max pain ranged from $13.00 to $17.47. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.73.

Notable Days

  • 2013-11-14: Highest Volume — 1,022,236 contracts
  • 2013-11-12: Largest IV spike — 11.5% change
  • 2013-11-21: Highest IV Rank — 8.5%
  • 2013-11-29: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.08$16.56$17.50$16.72$17.45
Max Pain$16.20$13.00$17.47$16.65$16.25
ATM IV14.0%12.9%15.1%13.8%14.5%
Expected Move5.1%3.7%5.8%4.0%5.8%
HV 20d13.0%11.4%16.2%16.2%11.5%
HV 60d14.1%13.3%14.9%14.3%13.3%
IV Rank4.4%0.6%8.5%3.7%6.2%
IV Percentile14.3%0.8%35.7%8.3%25.0%
Term Structure0.1%-1.6%2.6%-0.2%-0.1%
VWIV18.0%13.3%24.3%13.4%18.8%
Skew 25d2.6%2.1%3.1%2.9%3.1%
Skew 10d7.8%4.0%34.8%6.2%4.9%
Call IV 25d13.0%12.5%13.8%12.6%13.7%
Put IV 25d15.7%14.8%16.8%15.5%16.8%
Bid-Ask Spread %16.654.8084.0070.315.27
Gamma HHI0.290.210.370.230.34
Net GEX38.6M-36.0M106.0M-1.3M100.6M
Net DEX-1.10B-1.69B-351.4M-650.2M-1.56B
Net VEX-8.8M-9.5M-8.0M-9.0M-9.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.176.490.580.81
Total Volume190,394.2523,3351,022,23643,43723,335
Total OI5,374,477.14,917,9275,667,9885,387,0585,656,790

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$16.72$16.6513.8%4.0%16.2%3.7%13.4%2.9%-0.2%-1.3M-650.2M-9.0M0.5870.3127,57715,8601,931,4283,455,630
2013-11-04$16.75$16.6514.0%4.0%15.3%4.4%14.0%2.7%-0.0%699.7K-659.9M-8.9M1.8621.4339,62373,8701,911,9373,424,619
2013-11-05$16.66$17.0614.0%4.0%14.8%4.5%13.7%2.8%0.1%-15.9M-512.2M-8.9M5.0816.6011,51258,4861,923,6573,457,314
2013-11-06$16.73$17.4713.8%4.0%14.9%3.8%13.9%2.3%-0.1%-10.5M-637.7M-8.9M6.4918.108,00851,9571,931,8553,491,418
2013-11-07$16.56$17.0613.9%4.0%11.4%4.2%14.5%2.8%2.6%-36.0M-351.4M-9.0M4.4333.4141,789185,1611,933,9923,531,291
2013-11-08$16.95$16.6512.9%3.7%13.8%0.6%13.3%2.2%0.9%25.5M-985.6M-8.7M1.0984.0096,673105,7471,959,6503,659,188
2013-11-11$16.92$0.0012.9%5.5%13.8%0.7%23.2%2.2%0.4%24.8M-925.6M-8.6M0.646.7842,57227,4371,953,0893,635,905
2013-11-12$16.80$13.0014.4%5.5%13.7%5.9%19.0%2.8%-0.8%2.2M-673.4M-8.8M1.295.8325,64033,1931,947,2333,656,421
2013-11-13$16.93$13.0013.0%5.5%12.2%0.9%18.6%2.5%0.6%24.0M-852.5M-8.7M0.667.19101,37066,4831,952,3553,676,620
2013-11-14$17.07$13.0013.6%5.6%12.1%3.2%19.4%2.7%0.3%58.4M-1.19B-8.3M4.146.09198,912823,3241,960,0933,707,895
2013-11-15$17.17$17.0613.9%5.6%12.3%4.1%24.3%2.3%0.5%65.1M-1.37B-8.7M0.705.73118,55582,8292,026,9173,444,615
2013-11-18$17.25$17.0614.0%5.7%12.3%4.5%19.4%2.2%0.4%54.4M-1.30B-8.0M1.078.2444,43247,5031,890,4273,027,500
2013-11-19$17.18$17.0614.8%5.7%12.3%7.3%18.2%2.4%0.5%49.4M-1.21B-8.8M0.646.9567,40043,4431,911,9743,042,889
2013-11-20$17.16$17.0614.2%5.7%11.9%5.4%18.2%2.5%0.4%49.3M-1.17B-8.8M1.356.5384,466113,7171,956,5193,066,455
2013-11-21$17.35$17.0615.1%5.8%12.4%8.5%19.2%2.6%-1.6%60.7M-1.43B-8.9M0.579.06153,55088,2012,001,6383,113,482
2013-11-22$17.46$17.0614.5%5.8%12.5%6.2%20.8%2.1%-1.5%72.7M-1.61B-8.8M1.075.64109,001116,6722,047,2513,110,699
2013-11-25$17.48$16.2513.6%5.6%12.4%3.1%19.3%3.0%-0.3%70.9M-1.61B-8.7M0.905.8049,08744,2402,056,1693,183,000
2013-11-26$17.47$16.2514.1%5.6%12.4%4.9%19.0%3.0%-0.0%71.7M-1.58B-9.0M0.174.80338,61659,1882,073,4933,214,200
2013-11-27$17.50$16.2514.2%5.6%12.4%5.1%19.1%3.1%0.0%106.0M-1.69B-9.5M0.975.2395,57092,8862,318,8993,245,035
2013-11-29$17.45$16.2514.5%5.8%11.5%6.2%18.8%3.1%-0.1%100.6M-1.56B-9.5M0.815.2712,89610,4392,352,2353,304,555