XLF Options History — April 2014

In April 2014, XLF traded between $17.31 and $18.22. ATM implied volatility averaged 14.8%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.9% (HV 20d: 13.9%). Max pain ranged from $17.06 to $17.87. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2014-04-10: Highest Volume — 300,266 contracts
  • 2014-04-10: Largest IV spike — 16.8% change
  • 2014-04-11: Highest IV Rank — 51.0%
  • 2014-04-11: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.80$17.31$18.22$18.19$17.86
Max Pain$17.64$17.06$17.87$17.06$17.87
ATM IV14.8%13.1%18.1%13.4%13.1%
Expected Move5.3%5.0%5.6%5.4%5.0%
HV 20d13.9%11.6%15.6%12.1%14.1%
HV 60d15.0%13.2%15.8%14.8%13.2%
IV Rank20.6%5.4%51.0%8.5%5.4%
IV Percentile33.3%4.8%85.3%7.5%4.8%
Term Structure-0.0%-1.4%1.9%0.3%-0.3%
VWIV18.7%10.9%20.9%18.0%18.4%
Skew 25d3.7%2.9%5.2%3.2%3.0%
Skew 10d9.1%6.0%12.1%8.2%7.7%
Call IV 25d13.7%12.1%17.3%12.8%12.1%
Put IV 25d17.5%15.2%21.4%16.0%15.2%
Bid-Ask Spread %11.396.4041.816.4011.31
Gamma HHI0.180.150.220.170.17
Net GEX4.2M-50.4M57.1M39.8M3.8M
Net DEX-134.3M-652.1M534.7M-571.3M-245.6M
Net VEX-8.8M-9.3M-8.2M-8.7M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.279.741.580.72
Total Volume132,825.85741,822300,26680,29353,828
Total OI3,866,358.0483,156,9734,597,4383,896,4713,299,003

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$18.19$17.0613.4%5.4%12.1%8.5%18.0%3.2%0.3%39.8M-571.3M-8.7M1.586.4031,09449,1991,450,9552,445,516
2014-04-02$18.22$17.0614.6%5.5%11.8%19.3%19.2%3.1%0.1%40.2M-599.3M-8.9M0.2710.73212,77056,6741,449,6772,459,800
2014-04-03$18.20$17.0614.4%5.4%11.6%17.3%10.9%2.9%0.2%57.1M-652.1M-9.2M0.2841.8197,86227,5651,587,1782,493,927
2014-04-04$18.01$17.0615.7%5.5%12.0%28.5%19.9%3.7%0.8%31.4M-442.4M-9.0M1.448.6274,008106,2861,636,1272,509,093
2014-04-07$17.73$17.0615.8%5.4%13.1%30.0%18.4%4.7%-0.3%-13.6M-14.7M-9.3M0.9613.7252,17050,0451,588,0862,518,487
2014-04-08$17.77$17.0615.6%5.4%13.0%27.5%18.7%4.5%-0.4%1.9M-116.0M-9.1M1.927.1743,48083,5041,603,5222,526,303
2014-04-09$17.91$17.8715.1%5.3%13.4%23.9%18.4%4.3%-0.2%15.0M-268.5M-9.2M0.428.43101,01542,8201,618,5682,577,291
2014-04-10$17.51$17.8717.7%5.5%15.1%46.9%20.6%4.5%-1.3%-33.9M200.6M-9.3M1.5316.97118,719181,5471,655,2962,620,307
2014-04-11$17.31$17.8718.1%5.6%15.4%51.0%20.9%4.0%0.9%-50.4M534.7M-9.3M5.429.1946,433251,6771,719,1722,713,416
2014-04-14$17.42$17.8717.9%5.6%14.9%48.8%19.6%5.2%-1.4%-45.1M361.0M-9.1M9.7411.5826,114254,2781,696,2162,796,681
2014-04-15$17.61$17.8715.3%5.4%15.4%25.2%19.5%5.0%1.9%-22.6M153.6M-9.1M0.999.1457,53456,9091,695,3462,864,153
2014-04-16$17.72$17.8714.1%5.1%15.6%14.0%18.7%3.1%0.3%8.8M-64.2M-8.7M0.967.6850,44448,3731,699,4092,884,354
2014-04-17$17.76$17.8713.3%5.1%14.3%7.7%18.7%2.9%0.3%13.3M-86.3M-8.7M1.049.6388,58892,5581,716,6102,880,828
2014-04-21$17.74$17.8713.6%5.2%14.2%9.9%17.2%3.7%-0.1%1.1M-80.0M-8.2M2.1014.2114,22529,8851,406,5751,750,398
2014-04-22$17.87$17.8713.5%5.2%14.5%9.2%19.4%3.7%-0.5%11.7M-195.4M-8.5M2.958.9410,59531,2271,417,4781,770,369
2014-04-23$17.93$17.8713.4%5.1%14.6%8.5%19.5%3.0%-0.3%20.5M-274.5M-8.3M2.528.4113,25233,4501,420,7851,781,266
2014-04-24$17.90$17.8713.4%5.1%13.9%8.2%18.5%3.2%-0.1%16.4M-255.8M-8.4M1.418.0018,65926,3001,424,2021,797,810
2014-04-25$17.76$17.8714.0%5.1%14.1%13.2%19.7%3.5%-0.1%3.4M-65.4M-8.6M2.4611.4525,97063,9861,433,7051,809,529
2014-04-28$17.64$17.8715.0%5.2%14.2%22.6%19.9%4.0%-0.3%-12.3M25.3M-8.5M1.208.3239,31847,1981,402,9881,818,603
2014-04-29$17.78$17.8713.4%5.1%14.0%7.8%18.5%3.5%0.2%2.0M-163.3M-8.2M1.587.4530,89748,8871,426,8001,827,690
2014-04-30$17.86$17.8713.1%5.0%14.1%5.4%18.4%3.0%-0.3%3.8M-245.6M-8.4M0.7211.3131,21322,6151,439,7871,859,216