XLF Options History — January 2014

In January 2014, XLF traded between $17.02 and $17.99. ATM implied volatility averaged 14.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.4% (HV 20d: 12.4%). Max pain ranged from $16.25 to $17.06. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2014-01-27: Highest Volume — 517,924 contracts
2014-01-24: Largest IV spike — 34.8% change
2014-01-31: Highest IV Rank — 54.5%
2014-01-27: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.62	$17.02	$17.99	$17.66	$17.13
Max Pain	$16.94	$16.25	$17.06	$16.25	$17.06
ATM IV	14.9%	12.5%	18.5%	14.8%	18.5%
Expected Move	5.5%	5.3%	6.9%	5.5%	5.8%
HV 20d	12.4%	9.8%	15.3%	12.8%	15.3%
HV 60d	12.3%	11.3%	13.5%	13.3%	13.5%
IV Rank	21.2%	0.0%	54.5%	20.7%	54.5%
IV Percentile	35.6%	0.0%	89.7%	36.5%	89.7%
Term Structure	0.1%	-1.5%	1.6%	0.1%	0.4%
VWIV	19.5%	17.5%	23.8%	19.3%	21.0%
Skew 25d	2.9%	1.9%	4.1%	2.7%	3.8%
Skew 10d	6.4%	4.1%	10.1%	6.5%	10.1%
Call IV 25d	14.1%	11.9%	17.3%	13.4%	17.3%
Put IV 25d	16.9%	14.3%	21.1%	16.1%	21.1%
Bid-Ask Spread %	11.89	5.97	50.41	10.72	16.39
Gamma HHI	0.49	0.19	0.79	0.60	0.20
Net GEX	109.3M	-53.3M	407.8M	110.1M	-53.3M
Net DEX	-647.6M	-1.63B	438.7M	-988.4M	426.4M
Net VEX	-7.4M	-9.4M	-6.5M	-7.0M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.12	8.30	1.31	0.63
Total Volume	213,482.143	79,850	517,924	109,862	264,234
Total OI	3,957,308.476	2,491,204	4,761,404	4,331,039	3,794,588

Daily Data (21 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
2014-01-02	$17.66	$16.25	14.8%	5.5%	12.8%	20.7%	19.3%	2.7%	0.1%	110.1M	-988.4M	-7.0M	1.31	10.72	47,528	62,334	1,619,401	2,711,638
2014-01-03	$17.78	$16.25	13.6%	5.4%	13.0%	10.0%	17.5%	3.2%	0.5%	105.4M	-1.13B	-7.0M	0.25	9.30	135,585	33,723	1,617,412	2,725,622
2014-01-06	$17.80	$16.25	14.2%	5.5%	12.5%	15.5%	19.0%	2.6%	0.0%	124.7M	-1.20B	-6.5M	0.32	7.19	117,741	37,245	1,626,249	2,728,307
2014-01-07	$17.80	$17.06	14.2%	5.4%	11.6%	15.5%	20.5%	2.4%	-0.1%	138.4M	-1.16B	-6.7M	0.28	10.71	261,672	72,716	1,686,039	2,745,713
2014-01-08	$17.86	$17.06	14.3%	5.5%	11.6%	15.8%	20.0%	2.4%	-0.5%	159.3M	-1.38B	-7.0M	0.66	11.75	59,722	39,404	1,811,959	2,748,451
2014-01-09	$17.93	$17.06	14.5%	5.5%	11.5%	17.5%	18.7%	2.3%	-0.1%	179.8M	-1.46B	-7.0M	1.94	12.50	36,297	70,428	1,832,829	2,764,830
2014-01-10	$17.90	$17.06	14.1%	5.4%	9.9%	14.5%	19.7%	2.4%	-0.2%	206.1M	-1.39B	-7.2M	1.20	7.40	56,088	67,487	1,830,906	2,814,807
2014-01-13	$17.64	$17.06	16.0%	5.4%	11.6%	31.8%	17.7%	2.7%	-1.5%	123.7M	-869.4M	-6.9M	0.13	9.56	212,259	28,344	1,804,038	2,854,311
2014-01-14	$17.77	$17.06	13.0%	5.4%	11.8%	4.1%	18.0%	2.8%	0.3%	220.6M	-1.16B	-6.9M	0.25	8.74	166,215	41,176	1,897,436	2,863,968
2014-01-15	$17.99	$17.06	13.2%	5.3%	12.3%	6.2%	18.8%	2.8%	0.1%	336.8M	-1.63B	-6.9M	0.24	9.84	182,919	44,029	1,869,110	2,864,059
2014-01-16	$17.83	$17.06	13.2%	5.4%	12.5%	6.4%	18.0%	2.5%	-0.4%	316.2M	-1.13B	-6.8M	0.12	5.97	96,965	11,563	1,840,189	2,870,936
2014-01-17	$17.81	$17.06	12.7%	5.4%	9.8%	1.9%	20.3%	2.6%	0.0%	407.8M	-897.7M	-6.9M	0.75	12.70	173,937	131,012	1,845,450	2,871,935
2014-01-21	$17.85	$17.06	12.6%	5.3%	9.8%	0.8%	18.4%	2.4%	1.4%	33.6M	-476.2M	-6.8M	1.32	10.02	57,978	76,577	1,177,173	1,314,031
2014-01-22	$17.84	$17.06	12.5%	5.3%	9.8%	0.0%	19.1%	1.9%	1.5%	31.5M	-488.5M	-7.0M	0.78	9.80	111,514	86,688	1,195,022	1,346,576
2014-01-23	$17.55	$17.06	13.5%	5.3%	11.4%	8.7%	19.3%	2.4%	1.6%	10.9M	-185.9M	-7.4M	0.89	6.91	106,653	94,600	1,275,261	1,411,189
2014-01-24	$17.15	$17.06	18.1%	5.6%	14.0%	51.0%	20.8%	4.1%	-0.4%	-9.9M	239.2M	-7.6M	2.62	12.71	100,168	262,649	1,321,210	1,469,276
2014-01-27	$17.02	$17.06	17.7%	6.9%	14.0%	47.2%	23.8%	3.7%	-0.4%	-23.4M	371.1M	-7.8M	4.96	50.41	86,900	431,024	1,358,657	1,646,791
2014-01-28	$17.25	$17.06	16.8%	5.6%	15.1%	39.1%	20.7%	3.5%	0.0%	-25.9M	208.1M	-8.2M	8.30	7.65	41,455	344,199	1,405,434	2,017,350
2014-01-29	$17.12	$17.06	17.4%	5.6%	15.3%	44.3%	19.2%	3.5%	0.3%	-51.5M	438.7M	-9.1M	1.47	10.81	61,724	90,523	1,424,517	2,293,591
2014-01-30	$17.25	$17.06	16.9%	5.6%	15.3%	39.7%	19.3%	3.5%	-0.3%	-45.1M	267.6M	-9.1M	0.69	8.59	47,167	32,683	1,459,732	2,347,485
2014-01-31	$17.13	$17.06	18.5%	5.8%	15.3%	54.5%	21.0%	3.8%	0.4%	-53.3M	426.4M	-9.4M	0.63	16.39	162,077	102,157	1,445,913	2,348,675