XLF Options History — May 2014

In May 2014, XLF traded between $17.55 and $18.12. ATM implied volatility averaged 12.8%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.2% (HV 20d: 11.6%). Max pain ranged from $17.06 to $20.31. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.27.

Notable Days

  • 2014-05-08: Highest Volume — 157,167 contracts
  • 2014-05-12: Largest IV spike — 16.1% change
  • 2014-05-15: Highest IV Rank — 20.7%
  • 2014-05-08: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.85$17.55$18.12$17.86$18.12
Max Pain$18.56$17.06$20.31$17.87$18.68
ATM IV12.8%11.2%14.2%12.6%12.5%
Expected Move4.9%4.5%5.1%5.1%4.6%
HV 20d11.6%10.0%14.1%14.0%10.7%
HV 60d12.8%12.1%13.0%13.0%12.1%
IV Rank10.4%0.0%20.7%0.5%11.0%
IV Percentile6.6%0.0%27.4%0.8%3.6%
Term Structure0.5%-0.8%3.9%0.1%0.1%
VWIV17.9%15.3%19.8%19.5%15.3%
Skew 25d3.0%2.3%3.9%2.7%2.3%
Skew 10d6.8%-1.0%8.8%7.1%7.0%
Call IV 25d12.0%11.5%12.8%11.9%12.3%
Put IV 25d15.1%14.4%16.6%14.6%14.6%
Bid-Ask Spread %16.867.24123.0416.579.20
Gamma HHI0.180.160.230.190.16
Net GEX3.3M-33.6M25.1M8.8M25.1M
Net DEX-174.2M-478.8M174.5M-265.0M-478.8M
Net VEX-7.9M-8.3M-7.6M-8.1M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.156.671.210.49
Total Volume81,775.85734,410157,16759,44287,784
Total OI3,370,149.813,096,8293,673,0983,304,2133,293,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$17.86$17.8712.6%5.1%14.0%0.5%19.5%2.7%0.1%8.8M-265.0M-8.1M1.2116.5726,94232,5001,449,4251,854,788
2014-05-02$17.84$17.8713.3%5.0%14.0%7.3%19.8%3.0%3.0%18.4M-268.6M-8.1M3.12123.0423,23572,4281,449,7551,871,206
2014-05-05$17.79$17.8713.0%5.0%13.6%4.1%19.3%3.6%0.4%-12.3M-102.7M-8.1M6.6710.2914,66497,7771,432,9781,875,302
2014-05-06$17.55$17.8714.2%5.1%13.3%15.8%18.3%3.8%-0.1%-33.6M173.7M-8.2M2.238.3028,16262,6871,440,9431,952,290
2014-05-07$17.77$17.8712.8%5.1%14.1%2.8%18.5%3.4%0.3%-2.3M-136.7M-8.0M6.388.1821,229135,5281,458,5001,995,370
2014-05-08$17.83$17.8712.9%5.1%13.8%3.6%19.0%2.8%0.0%-4.2M-154.2M-8.1M0.9718.5479,63677,5311,466,7702,090,794
2014-05-09$17.82$17.8711.2%5.1%11.0%0.0%18.5%3.1%0.6%-8.1M-121.3M-8.2M0.8912.2018,23216,1781,489,2932,112,700
2014-05-12$17.99$17.8712.9%5.0%10.4%14.4%19.0%3.0%0.4%13.3M-403.6M-7.8M5.118.0111,90660,8381,483,1052,049,078
2014-05-13$17.95$17.8712.9%5.1%10.3%13.9%17.2%2.7%0.6%6.2M-371.5M-7.9M1.3913.1231,85144,3331,481,2492,102,113
2014-05-14$17.85$17.8712.5%5.0%10.0%10.9%18.9%2.6%0.3%-10.0K-163.2M-7.7M3.1118.2532,449100,8721,499,8862,121,760
2014-05-15$17.66$17.8713.7%5.0%10.6%20.7%19.1%2.8%-0.8%-6.0M163.4M-8.3M2.3210.3935,09281,2511,503,0742,144,601
2014-05-16$17.67$17.0611.7%5.1%10.5%4.1%17.3%2.5%3.9%-4.9M174.5M-7.9M4.1721.6414,33359,7011,519,7362,153,362
2014-05-19$17.76$0.0012.1%4.6%10.7%8.0%16.9%3.2%0.7%-4.6M-50.6M-7.8M1.3510.0126,22635,2831,273,0081,823,821
2014-05-20$17.63$20.3113.1%4.5%10.6%16.1%0.0%3.1%1.3%-15.7M66.8M-7.7M1.207.2418,01421,6391,279,4211,845,454
2014-05-21$17.77$20.3112.2%4.6%11.0%8.6%16.7%3.9%0.5%1.5M-90.8M-7.6M0.197.7529,6685,5681,289,5701,871,689
2014-05-22$17.85$20.3112.4%4.7%11.1%9.9%18.8%3.2%0.2%17.9M-174.3M-7.8M0.158.1753,2897,9071,310,3061,874,207
2014-05-23$17.89$20.3112.3%4.6%10.8%9.4%15.8%2.9%0.3%11.5M-231.5M-8.0M2.218.3214,24131,4581,346,8431,875,522
2014-05-27$18.07$20.3113.4%4.7%11.0%18.3%17.4%3.2%-0.1%13.4M-388.5M-7.8M1.1210.8652,71159,2111,332,5601,857,840
2014-05-28$18.03$18.6813.5%4.7%10.7%19.3%15.5%3.0%-0.3%23.3M-399.6M-7.9M0.947.2520,57219,4201,370,0131,870,181
2014-05-29$18.07$18.6813.7%4.7%10.7%20.5%0.0%2.3%-0.6%22.5M-435.3M-7.7M2.4016.6316,16138,7861,378,1451,883,207
2014-05-30$18.12$18.6812.5%4.6%10.7%11.0%15.3%2.3%0.1%25.1M-478.8M-7.9M0.499.2058,74529,0391,387,7991,905,482