XLF Options History — June 2014

In June 2014, XLF traded between $18.16 and $18.63. ATM implied volatility averaged 11.8%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.0% (HV 20d: 8.8%). Max pain ranged from $16.25 to $18.68. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.93.

Notable Days

  • 2014-06-20: Highest Volume — 433,859 contracts
  • 2014-06-16: Largest IV spike — 14.6% change
  • 2014-06-16: Highest IV Rank — 23.6%
  • 2014-06-16: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.44$18.16$18.63$18.16$18.48
Max Pain$17.33$16.25$18.68$17.87$16.25
ATM IV11.8%9.6%13.8%12.6%12.3%
Expected Move4.5%4.3%4.8%4.6%4.4%
HV 20d8.8%8.0%10.7%10.7%8.3%
HV 60d11.6%11.1%12.2%12.0%11.2%
IV Rank10.5%0.0%23.6%11.9%19.5%
IV Percentile3.8%0.0%26.2%4.8%7.9%
Term Structure0.2%-1.3%1.1%-0.1%0.2%
VWIV19.7%14.7%22.3%21.0%15.2%
Skew 25d3.2%2.5%4.9%2.9%2.8%
Skew 10d8.3%5.6%10.6%10.4%7.3%
Call IV 25d10.9%8.0%12.8%12.4%11.1%
Put IV 25d14.1%12.9%16.1%15.3%13.9%
Bid-Ask Spread %10.287.3816.517.679.38
Gamma HHI0.250.150.350.160.24
Net GEX25.9M-1.9M46.1M32.9M9.7M
Net DEX-590.2M-934.9M-225.2M-520.2M-315.1M
Net VEX-7.1M-7.7M-6.6M-7.3M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0410.963.141.67
Total Volume81,638.14318,754433,859148,29750,509
Total OI3,248,284.9052,867,1043,458,0093,282,5862,924,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$18.16$17.8712.6%4.6%10.7%11.9%21.0%2.9%-0.1%32.9M-520.2M-7.3M3.147.6735,795112,5021,371,1371,911,449
2014-06-03$18.17$17.8712.4%4.7%10.6%10.3%21.4%2.8%0.4%27.9M-503.4M-7.7M4.598.947,27833,3771,345,8082,001,191
2014-06-04$18.24$17.8712.3%4.7%9.1%9.7%21.4%2.8%0.1%34.6M-556.3M-7.5M0.938.0534,90532,3411,347,8611,997,238
2014-06-05$18.42$17.8712.4%4.4%8.8%9.7%21.3%2.5%0.2%46.1M-760.2M-7.6M1.5310.2630,35846,5951,372,7672,008,645
2014-06-06$18.55$17.8710.8%4.4%9.0%0.0%20.5%2.8%0.5%41.6M-914.8M-7.2M1.8611.7722,95042,6661,369,0842,021,778
2014-06-09$18.58$17.8711.4%4.4%9.0%4.8%22.2%3.3%0.1%37.8M-906.5M-7.2M0.829.6547,32038,6231,341,0302,025,315
2014-06-10$18.63$17.8711.2%4.5%8.5%3.6%22.3%3.6%0.1%34.4M-934.9M-6.9M2.308.0912,04427,7121,344,1332,030,978
2014-06-11$18.47$17.8712.0%4.4%9.1%9.9%21.6%2.9%-0.6%39.4M-763.1M-7.2M9.909.045,82557,6661,348,8502,037,239
2014-06-12$18.37$18.6812.1%4.5%9.1%10.5%22.3%2.7%0.1%26.1M-642.0M-7.3M10.967.387,32380,2381,349,7732,083,916
2014-06-13$18.38$18.6812.0%4.4%8.0%9.9%16.1%3.1%-0.0%32.2M-702.5M-6.8M1.8811.286,52312,2311,348,9352,109,074
2014-06-16$18.26$18.6813.8%4.8%8.5%23.6%19.7%3.3%-1.3%27.5M-554.5M-7.3M0.708.6528,38319,8421,337,9862,073,926
2014-06-17$18.46$18.6812.2%4.4%9.0%11.3%20.1%3.7%1.0%30.5M-766.0M-7.0M1.209.6017,34520,8321,344,1352,084,502
2014-06-18$18.59$16.2511.5%4.5%8.5%6.0%17.1%4.9%0.5%34.5M-865.2M-6.8M2.4910.0611,20727,9141,352,8432,098,222
2014-06-19$18.55$16.2510.3%4.4%8.5%0.0%18.2%4.4%0.9%27.4M-833.2M-6.7M0.0410.99187,3106,8421,340,5252,105,601
2014-06-20$18.54$16.259.6%4.4%8.5%0.0%21.8%4.9%1.1%19.8M-373.5M-6.6M4.189.6583,835350,0241,080,2232,104,430
2014-06-23$18.56$16.2510.8%4.4%8.5%8.3%21.4%2.7%0.3%16.4M-363.2M-6.9M0.9710.4215,06714,5491,044,4851,822,619
2014-06-24$18.46$16.2511.8%4.3%8.3%15.5%22.2%2.8%-0.1%9.9M-295.2M-7.0M2.7513.5512,98335,7531,051,1781,831,806
2014-06-25$18.46$16.2512.2%4.4%8.2%18.7%14.7%2.8%0.0%9.2M-290.4M-7.0M5.0214.469,84849,4301,055,3081,864,042
2014-06-26$18.42$16.2512.2%4.4%8.3%18.3%17.2%2.8%0.0%-1.9M-225.2M-7.0M0.7710.4821,65116,7381,058,0171,906,152
2014-06-27$18.47$16.2512.1%4.3%8.3%18.0%16.9%3.1%0.4%8.4M-309.4M-6.9M3.8616.518,24831,8191,061,3871,905,736
2014-06-30$18.48$16.2512.3%4.4%8.3%19.5%15.2%2.8%0.2%9.7M-315.1M-6.9M1.679.3818,92231,5871,051,2211,873,438