XLF Options History — March 2014 In March 2014, XLF traded between $17.49 and $18.27. ATM implied volatility averaged 15.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.1% (HV 20d: 13.1%). Max pain ranged from $17.06 to $17.06. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.15.
Notable Days 2014-03-20 : Highest Volume — 872,715 contracts2014-03-26 : Largest IV spike — 11.5% change2014-03-14 : Highest IV Rank — 43.2%2014-03-26 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $18.00 $17.49 $18.27 $17.49 $18.13 Max Pain $17.06 $17.06 $17.06 $17.06 $17.06 ATM IV 15.2% 13.7% 17.3% 16.4% 13.7% Expected Move 5.4% 5.3% 6.3% 5.3% 5.4% HV 20d 13.1% 11.5% 15.7% 15.7% 13.7% HV 60d 14.7% 14.2% 15.1% 14.5% 14.9% IV Rank 24.4% 10.6% 43.2% 35.6% 10.6% IV Percentile 41.6% 10.3% 77.8% 63.1% 10.3% Term Structure 0.1% -0.7% 1.0% -0.1% -0.1% VWIV 19.1% 14.0% 24.4% 22.3% 16.7% Skew 25d 3.6% 3.0% 4.4% 3.8% 3.6% Skew 10d 7.8% 4.3% 10.4% 7.6% 9.8% Call IV 25d 14.1% 13.1% 16.6% 15.0% 13.1% Put IV 25d 17.7% 16.2% 21.0% 18.8% 16.7% Bid-Ask Spread % 15.13 5.54 126.34 7.99 10.49 Gamma HHI 0.22 0.14 0.36 0.22 0.20 Net GEX 38.5M -14.3M 88.1M -14.3M 52.7M Net DEX -658.7M -1.30B -143.1M -143.1M -557.9M Net VEX -8.8M -9.6M -8.2M -8.7M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.12 3.74 2.45 1.61 Total Volume 194,078.238 36,228 872,715 199,886 75,453 Total OI 4,163,556.81 3,850,311 4,583,553 3,857,397 3,850,311
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 2014-03-03 $17.49 $17.06 16.4% 5.3% 15.7% 35.6% 22.3% 3.8% -0.1% -14.3M -143.1M -8.7M 2.45 7.99 57,857 142,029 1,478,446 2,378,951 2014-03-04 $17.83 $17.06 14.7% 5.3% 13.0% 19.7% 21.8% 3.3% 0.4% 26.6M -715.6M -8.7M 0.36 24.53 205,779 73,957 1,607,424 2,477,694 2014-03-05 $17.98 $17.06 15.2% 5.3% 12.9% 24.2% 17.9% 3.2% 0.1% 88.1M -854.6M -8.5M 0.46 7.73 126,964 58,347 1,625,625 2,540,401 2014-03-06 $18.10 $17.06 13.9% 5.3% 12.8% 12.7% 18.4% 3.0% 0.4% 81.2M -1.07B -8.4M 0.63 7.10 109,429 68,556 1,664,547 2,585,162 2014-03-07 $18.19 $17.06 14.0% 5.3% 12.3% 13.7% 18.6% 3.2% 0.1% 55.9M -1.22B -8.4M 0.56 7.41 174,765 97,611 1,685,152 2,632,938 2014-03-10 $18.18 $17.06 14.2% 5.4% 11.5% 15.5% 18.9% 3.3% 1.0% 48.8M -967.5M -8.3M 0.89 6.17 19,180 17,048 1,575,771 2,633,558 2014-03-11 $18.05 $17.06 15.4% 5.3% 12.0% 26.5% 20.6% 3.5% -0.4% 38.5M -827.6M -8.4M 2.24 6.81 53,366 119,691 1,576,449 2,643,389 2014-03-12 $18.02 $17.06 15.4% 5.3% 11.6% 25.9% 20.1% 3.7% -0.5% 33.6M -790.1M -8.4M 3.74 9.03 24,663 92,193 1,585,080 2,650,533 2014-03-13 $17.82 $17.06 16.0% 5.5% 12.4% 32.0% 21.1% 3.8% -0.4% 9.6M -463.0M -8.9M 1.85 6.47 44,784 82,915 1,587,793 2,633,683 2014-03-14 $17.69 $17.06 17.3% 5.5% 12.8% 43.2% 14.2% 4.4% -0.7% -1.3M -230.0M -9.1M 2.00 10.32 62,084 124,313 1,590,713 2,674,285 2014-03-17 $17.90 $17.06 15.6% 5.6% 13.3% 27.8% 14.2% 4.3% 0.3% 29.0M -554.1M -8.8M 0.48 6.41 45,867 21,838 1,591,783 2,707,184 2014-03-18 $18.00 $17.06 15.0% 5.3% 13.4% 22.8% 19.8% 3.9% 0.5% 43.4M -767.2M -8.3M 1.49 13.51 69,986 104,228 1,602,986 2,717,494 2014-03-19 $17.98 $17.06 15.3% 5.4% 12.3% 25.8% 14.0% 3.5% 0.0% 56.3M -749.5M -8.2M 0.18 7.29 260,488 45,674 1,623,317 2,773,935 2014-03-20 $18.27 $17.06 15.7% 5.5% 13.3% 28.7% 19.9% 3.3% -0.5% 50.8M -1.30B -8.8M 0.12 9.97 776,478 96,237 1,807,346 2,776,207 2014-03-21 $18.16 $17.06 14.6% 5.4% 13.6% 19.3% 18.5% 3.6% -0.3% 56.9M -584.8M -9.3M 0.88 7.47 152,948 133,903 1,676,985 2,811,714 2014-03-24 $18.16 $17.06 15.1% 5.4% 13.5% 23.5% 16.1% 3.6% 0.1% 51.0M -584.5M -9.3M 0.80 15.83 60,336 48,355 1,478,493 2,388,011 2014-03-25 $18.17 $17.06 14.6% 5.5% 13.3% 19.0% 19.7% 3.7% 0.3% 50.9M -539.6M -9.4M 0.49 5.54 54,562 26,693 1,489,996 2,415,425 2014-03-26 $17.94 $17.06 16.3% 6.3% 14.2% 34.1% 24.4% 3.1% 0.3% 22.1M -339.8M -9.6M 0.92 126.34 27,187 25,026 1,506,124 2,432,004 2014-03-27 $17.89 $17.06 15.5% 5.5% 14.2% 26.8% 20.4% 3.3% 0.3% 14.6M -251.5M -9.3M 0.49 6.32 120,521 58,841 1,516,687 2,440,691 2014-03-28 $17.96 $17.06 15.3% 5.4% 14.0% 25.3% 22.9% 4.3% 0.5% 13.8M -318.7M -9.3M 1.52 14.95 45,804 69,687 1,543,614 2,456,792 2014-03-31 $18.13 $17.06 13.7% 5.4% 13.7% 10.6% 16.7% 3.6% -0.1% 52.7M -557.9M -8.8M 1.61 10.49 28,893 46,560 1,460,295 2,390,016
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