XLF Options History — July 2014

In July 2014, XLF traded between $18.21 and $18.71. ATM implied volatility averaged 11.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.8% (HV 20d: 9.1%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.15.

Notable Days

  • 2014-07-30: Highest Volume — 567,453 contracts
  • 2014-07-31: Largest IV spike — 28.3% change
  • 2014-07-31: Highest IV Rank — 39.6%
  • 2014-07-31: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.56$18.21$18.71$18.60$18.21
Max Pain$18.68$18.68$18.68$18.68$18.68
ATM IV11.9%9.3%14.9%11.3%14.9%
Expected Move4.4%4.2%4.8%4.3%4.8%
HV 20d9.1%7.6%12.3%8.6%12.3%
HV 60d9.7%9.1%11.0%11.0%10.1%
IV Rank17.9%0.0%39.6%12.4%39.6%
IV Percentile10.1%0.0%60.3%2.4%60.3%
Term Structure0.1%-1.2%1.3%-0.0%-0.3%
VWIV16.2%14.1%19.9%17.7%19.1%
Skew 25d2.9%2.2%3.6%2.6%3.6%
Skew 10d6.9%5.1%9.1%6.3%7.8%
Call IV 25d11.5%10.2%13.9%10.9%13.9%
Put IV 25d14.3%12.6%17.5%13.5%17.5%
Bid-Ask Spread %11.327.7526.4010.859.94
Gamma HHI0.250.180.390.260.18
Net GEX12.3M-44.4M53.1M14.9M-44.4M
Net DEX-343.4M-521.4M64.0M-416.3M64.0M
Net VEX-6.9M-7.8M-6.5M-6.7M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.4730.960.471.90
Total Volume103,938.4096,190567,45364,011307,249
Total OI3,073,597.4092,935,0743,617,6552,984,6963,617,655

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$18.60$18.6811.3%4.3%8.6%12.4%17.7%2.6%-0.0%14.9M-416.3M-6.7M0.4710.8543,44220,5691,067,9651,916,731
2014-07-02$18.55$18.6811.2%4.3%8.6%11.6%19.0%2.9%0.1%15.4M-399.0M-6.9M0.7826.408,8106,8481,103,4791,921,175
2014-07-03$18.71$18.689.3%4.2%8.4%0.0%18.3%2.2%0.6%21.7M-521.4M-6.8M0.9514.1815,98015,2081,107,5761,927,177
2014-07-07$18.64$18.6811.9%4.3%8.2%18.0%0.0%2.7%0.1%21.0M-454.8M-6.5M0.9812.783,1243,0661,109,5131,825,561
2014-07-08$18.49$18.6812.3%4.3%8.7%20.9%16.2%3.0%-0.0%10.5M-351.1M-6.8M7.1710.1613,84999,3111,110,9581,827,789
2014-07-09$18.53$18.6812.0%4.4%8.7%18.9%15.2%3.0%0.1%11.4M-356.5M-6.8M3.509.779,62133,7041,117,1211,872,110
2014-07-10$18.40$18.6813.5%4.3%8.5%29.3%15.3%3.0%-0.9%-6.6M-225.6M-7.0M15.708.8910,790169,4271,117,4981,870,614
2014-07-11$18.46$18.6813.0%4.4%8.3%26.2%14.5%3.1%-1.2%-1.6M-235.9M-7.2M5.937.894,40926,1601,124,6592,014,832
2014-07-14$18.56$18.6811.6%4.4%8.5%16.5%14.8%2.4%0.5%19.4M-378.1M-6.9M0.749.3216,41012,2001,116,0482,012,684
2014-07-15$18.68$18.6811.8%4.2%8.4%17.5%16.4%2.7%0.4%40.1M-488.5M-6.7M0.8510.7071,43060,7941,127,3502,011,989
2014-07-16$18.65$18.6811.8%4.3%7.6%17.7%19.9%2.6%0.3%50.9M-454.6M-6.9M3.7910.1522,52985,4861,150,6212,018,402
2014-07-17$18.41$18.6812.8%4.4%8.6%24.3%14.1%2.4%1.3%-4.1M-216.1M-7.0M0.919.1328,70426,2141,124,5332,041,947
2014-07-18$18.62$18.6811.5%4.3%9.5%15.4%16.4%2.7%0.1%53.1M-395.4M-6.7M1.4013.0668,59796,2561,133,6012,060,400
2014-07-21$18.55$18.6811.6%4.3%9.6%16.0%15.1%3.5%0.2%-1.5M-277.2M-6.8M1.1711.4839,33845,9841,093,5321,844,130
2014-07-22$18.62$18.6811.3%4.3%9.7%13.7%15.0%3.0%0.4%9.2M-334.3M-7.1M0.7817.3919,29115,1331,121,8081,886,027
2014-07-23$18.65$18.6811.1%4.3%9.4%12.6%16.2%3.2%0.4%14.3M-399.4M-6.8M2.759.957,14619,6211,127,9151,897,426
2014-07-24$18.71$18.6810.9%4.4%9.5%11.5%15.2%2.6%0.2%18.9M-439.1M-6.7M0.887.7523,80520,8581,131,1541,905,634
2014-07-25$18.62$18.6811.2%4.3%9.6%13.1%16.0%2.7%0.3%20.1M-368.8M-6.8M2.6011.7613,58435,3531,145,0481,909,746
2014-07-28$18.59$18.6811.6%4.4%9.6%16.0%15.3%3.6%-0.1%7.1M-338.6M-6.7M1.319.1832,76942,7761,127,1161,872,435
2014-07-29$18.48$18.6813.1%4.4%9.9%26.8%15.9%2.9%-0.2%-196.6K-262.1M-6.8M5.7010.1818,423104,9241,136,8171,878,324
2014-07-30$18.59$18.6811.7%4.3%9.8%16.5%15.0%3.0%0.0%1.1M-305.8M-6.8M30.968.1317,757549,6961,137,5861,954,457
2014-07-31$18.21$18.6814.9%4.8%12.3%39.6%19.1%3.6%-0.3%-44.4M64.0M-7.8M1.909.94105,830201,4191,146,8302,470,825