XLF Options History — February 2014

In February 2014, XLF traded between $16.67 and $17.67. ATM implied volatility averaged 16.3%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.7% (HV 20d: 18.1%). Max pain ranged from $17.06 to $17.06. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.83.

Notable Days

  • 2014-02-03: Highest Volume — 473,944 contracts
  • 2014-02-19: Largest IV spike — 18.6% change
  • 2014-02-03: Highest IV Rank — 80.9%
  • 2014-02-05: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.34$16.67$17.67$16.67$17.67
Max Pain$17.06$17.06$17.06$17.06$17.06
ATM IV16.3%14.3%21.5%21.5%15.1%
Expected Move5.5%5.2%5.8%5.8%5.4%
HV 20d18.1%15.4%19.8%17.5%15.4%
HV 60d14.4%14.1%14.7%14.6%14.5%
IV Rank34.8%16.1%80.9%80.9%23.7%
IV Percentile56.1%25.0%98.4%98.4%42.5%
Term Structure-0.5%-1.8%1.5%-1.0%-0.4%
VWIV19.5%16.5%23.0%20.2%19.4%
Skew 25d3.7%2.9%4.9%4.8%3.2%
Skew 10d8.0%4.3%10.6%9.2%7.8%
Call IV 25d14.9%13.3%19.7%19.7%13.4%
Put IV 25d18.7%16.1%24.5%24.5%16.6%
Bid-Ask Spread %9.057.1113.289.4013.28
Gamma HHI0.200.180.230.200.23
Net GEX-27.5M-71.1M725.0K-62.4M725.0K
Net DEX33.5M-398.6M912.7M912.7M-398.6M
Net VEX-8.9M-9.6M-8.5M-9.1M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.504.782.781.34
Total Volume126,64931,230473,944473,944264,779
Total OI4,018,585.7893,682,7474,204,5553,754,0223,882,623

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$16.67$17.0621.5%5.8%17.5%80.9%20.2%4.8%-1.0%-62.4M912.7M-9.1M2.789.40125,416348,5281,421,5852,332,437
2014-02-04$16.84$17.0620.0%5.7%18.1%67.2%23.0%4.4%-1.0%-71.1M804.7M-9.6M1.188.4529,51434,7611,503,2702,497,820
2014-02-05$16.82$17.0620.2%5.8%18.0%69.8%20.3%4.1%-1.5%-68.9M794.9M-9.6M1.279.2446,29558,7891,515,9372,497,944
2014-02-06$17.05$17.0617.4%5.7%18.9%43.9%21.7%4.2%0.1%-57.0M454.5M-9.4M0.508.2080,23240,1421,549,1672,516,517
2014-02-07$17.31$17.0615.8%5.6%19.8%30.0%18.8%4.9%0.2%-29.0M94.9M-9.3M2.2710.5840,63792,0901,598,8812,533,107
2014-02-10$17.31$17.0616.0%5.6%19.8%31.7%16.5%3.4%1.2%-31.8M81.9M-9.1M3.087.7217,76354,7431,552,7692,508,917
2014-02-11$17.49$17.0615.2%5.3%19.6%24.6%16.9%3.5%-1.0%-16.1M-149.2M-9.0M1.677.1146,14076,9081,558,1652,537,500
2014-02-12$17.49$17.0615.6%5.3%19.4%28.1%17.1%3.4%-1.1%-17.3M-185.3M-9.0M1.077.2849,33252,5671,582,8212,557,878
2014-02-13$17.47$17.0615.2%5.4%18.7%24.4%19.4%3.4%-1.4%-17.8M-221.3M-8.9M1.108.2855,97861,3851,581,0412,571,166
2014-02-14$17.57$17.0614.5%5.2%18.7%17.8%22.8%2.9%-1.3%-7.6M-303.8M-8.9M1.149.1245,39451,6951,614,3622,590,193
2014-02-18$17.61$17.0614.3%5.4%18.7%16.1%18.8%3.0%1.5%-3.0M-266.9M-8.7M1.088.8515,01216,2181,585,2882,592,488
2014-02-19$17.38$17.0616.9%5.5%19.2%40.0%17.5%4.0%-1.6%-37.1M42.8M-8.8M4.789.6915,80475,5121,592,1032,600,816
2014-02-20$17.39$17.0616.4%5.5%19.2%34.8%20.4%3.5%-1.2%-26.2M-68.9M-8.7M0.7310.5732,55523,8411,582,2302,584,658
2014-02-21$17.43$17.0616.3%5.5%18.5%34.6%21.3%4.2%-1.8%-31.5M-84.6M-8.6M2.557.4931,61980,7491,598,1412,588,326
2014-02-24$17.57$17.0614.9%5.3%16.5%21.9%19.5%4.0%0.2%-8.0M-280.1M-8.5M3.8411.2231,842122,2651,428,5642,254,183
2014-02-25$17.49$17.0615.2%5.3%16.3%24.1%17.1%3.5%0.1%-13.4M-198.3M-8.6M1.029.8059,10660,2021,440,1732,309,121
2014-02-26$17.45$17.0615.2%5.5%15.7%24.5%17.7%3.5%0.5%-15.9M-155.1M-8.7M2.817.4127,72577,8821,482,9602,340,580
2014-02-27$17.53$17.0615.0%5.4%15.4%22.3%22.6%3.3%0.2%-9.4M-236.9M-8.6M0.638.1538,63224,2791,486,8882,382,511
2014-02-28$17.67$17.0615.1%5.4%15.4%23.7%19.4%3.2%-0.4%725.0K-398.6M-8.7M1.3413.28113,391151,3881,494,6642,387,959