XLF Options History — December 2013

In December 2013, XLF traded between $17.12 and $17.79. ATM implied volatility averaged 14.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.7% (HV 20d: 11.9%). Max pain ranged from $16.25 to $16.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2013-12-19: Highest Volume — 1,089,998 contracts
  • 2013-12-06: Largest IV drop — 19.3% change
  • 2013-12-05: Highest IV Rank — 14.5%
  • 2013-12-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.43$17.12$17.79$17.42$17.79
Max Pain$16.25$16.25$16.25$16.25$16.25
ATM IV14.7%12.5%16.9%14.8%13.7%
Expected Move5.6%5.4%5.8%5.8%5.4%
HV 20d11.9%9.9%13.4%11.6%13.0%
HV 60d13.5%13.1%13.8%13.3%13.5%
IV Rank7.4%0.0%14.5%7.5%11.0%
IV Percentile30.0%0.0%71.0%32.5%11.5%
Term Structure0.0%-8.0%2.3%1.6%-0.3%
VWIV19.9%17.0%23.5%20.1%20.7%
Skew 25d3.7%1.4%11.8%3.0%2.2%
Skew 10d7.3%2.3%14.6%9.5%5.3%
Call IV 25d13.6%7.6%15.4%14.2%13.4%
Put IV 25d17.3%14.3%20.6%17.2%15.5%
Bid-Ask Spread %12.955.7017.495.709.71
Gamma HHI0.360.230.660.320.62
Net GEX116.6M44.4M239.0M96.7M119.1M
Net DEX-1.27B-2.00B-793.5M-1.43B-1.12B
Net VEX-8.7M-10.0M-7.1M-9.6M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.174.670.361.97
Total Volume239,314.14342,5801,089,99896,85386,471
Total OI5,640,929.7144,257,7476,680,6775,625,1454,278,434

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$17.42$16.2514.8%5.8%11.6%7.5%20.1%3.0%1.6%96.7M-1.43B-9.6M0.365.7071,21125,6422,334,0623,291,083
2013-12-03$17.26$16.2516.2%5.8%12.2%12.1%19.2%3.3%0.1%78.9M-1.16B-9.5M0.948.6435,92733,7532,379,9903,309,551
2013-12-04$17.28$16.2514.8%5.8%12.0%7.2%18.8%3.4%1.8%84.1M-1.21B-9.5M0.2910.31283,69381,8442,395,1173,326,769
2013-12-05$17.14$16.2516.9%5.8%12.4%14.5%18.3%3.9%0.2%97.1M-1.06B-10.0M0.3311.00239,47879,9472,617,5363,390,602
2013-12-06$17.38$16.2513.6%5.7%12.4%3.1%20.8%3.1%2.3%187.3M-1.76B-9.7M0.1711.05272,61447,5562,799,1223,427,177
2013-12-09$17.45$16.2513.8%5.6%9.9%3.9%21.1%3.2%2.0%239.0M-2.00B-9.4M0.2412.6193,72622,2822,907,5323,418,800
2013-12-10$17.38$16.2514.0%5.6%10.0%4.4%19.3%3.0%2.1%229.4M-1.76B-9.5M0.5116.8966,42733,9872,867,2233,410,934
2013-12-11$17.12$16.2515.0%5.7%11.1%8.1%19.4%11.8%-8.0%131.1M-1.25B-9.0M4.6715.1880,014373,8472,917,9983,455,448
2013-12-12$17.14$16.2516.7%5.8%10.9%13.8%18.9%5.4%0.0%108.3M-1.08B-9.9M0.8317.49101,88184,3162,959,4033,671,398
2013-12-13$17.16$16.2516.0%5.7%10.5%11.4%23.5%5.4%0.1%72.6M-1.05B-9.8M1.3211.61121,125159,5942,976,0533,704,624
2013-12-16$17.27$16.2515.6%5.6%10.5%10.0%20.9%5.5%0.4%66.0M-1.25B-9.1M0.2412.43154,50337,0202,688,4473,742,013
2013-12-17$17.16$16.2516.5%5.8%10.7%14.0%21.7%5.3%-0.1%44.4M-917.6M-9.0M0.7111.9670,85150,5302,611,1903,733,607
2013-12-18$17.55$16.2513.3%5.5%13.4%2.2%22.1%5.0%0.7%124.5M-1.83B-8.5M0.6915.15184,953127,3412,632,6783,750,887
2013-12-19$17.55$16.2514.5%5.5%13.4%6.7%19.5%2.2%-0.3%90.8M-1.87B-8.3M0.2613.93866,953223,0452,675,9353,746,313
2013-12-20$17.55$16.2514.7%5.4%12.8%7.4%19.0%1.4%-0.0%82.4M-793.5M-8.0M0.7715.17303,967233,5971,941,4723,642,913
2013-12-23$17.64$16.2514.2%5.4%12.8%5.7%20.3%2.0%-0.4%104.0M-959.2M-7.7M0.5913.7861,82936,4351,649,3642,637,293
2013-12-24$17.67$16.2514.2%5.6%12.8%5.6%17.0%2.1%-0.5%107.2M-1.01B-7.6M0.4116.2430,09212,4881,649,5652,653,874
2013-12-26$17.72$16.2512.9%5.5%12.8%0.8%19.2%1.6%0.0%164.7M-1.04B-7.1M1.9816.6524,23547,9081,634,4872,660,788
2013-12-27$17.70$16.2512.5%5.4%12.8%0.0%19.2%1.8%0.1%104.7M-1.10B-7.2M1.1113.5546,57951,6551,633,9742,678,121
2013-12-30$17.66$16.2514.1%5.4%12.8%5.7%19.9%2.5%-1.0%116.9M-995.1M-7.1M0.7912.8437,11729,1641,609,4082,648,339
2013-12-31$17.79$16.2513.7%5.4%13.0%11.0%20.7%2.2%-0.3%119.1M-1.12B-7.1M1.979.7129,06957,4021,612,0312,666,403