XLF Options History — August 2014

In August 2014, XLF traded between $17.99 and $18.98. ATM implied volatility averaged 12.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.4% (HV 20d: 12.5%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2014-08-04: Highest Volume — 287,745 contracts
  • 2014-08-05: Largest IV spike — 16.5% change
  • 2014-08-01: Highest IV Rank — 51.3%
  • 2014-08-06: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.49$17.99$18.98$18.04$18.98
Max Pain$18.68$18.68$18.68$18.68$18.68
ATM IV12.9%10.6%16.6%16.6%11.2%
Expected Move4.6%4.3%5.1%4.9%4.5%
HV 20d12.5%9.3%13.3%12.1%9.3%
HV 60d10.3%10.0%10.4%10.0%10.3%
IV Rank25.2%9.0%51.3%51.3%13.3%
IV Percentile28.1%1.2%81.3%81.3%5.2%
Term Structure0.1%-1.1%2.4%-0.6%0.4%
VWIV16.9%14.3%23.5%15.8%16.4%
Skew 25d3.7%2.6%5.1%5.1%3.8%
Skew 10d8.8%5.3%11.8%11.1%7.7%
Call IV 25d11.9%10.0%14.6%14.6%10.5%
Put IV 25d15.5%13.1%19.7%19.7%14.3%
Bid-Ask Spread %12.088.9418.859.4313.91
Gamma HHI0.300.180.500.190.24
Net GEX16.9M-64.9M85.5M-59.7M32.7M
Net DEX-430.8M-1.14B272.5M272.5M-1.14B
Net VEX-7.5M-8.3M-6.8M-8.1M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.097.461.125.59
Total Volume95,89527,871287,745144,75674,029
Total OI3,583,810.1433,211,8224,058,5253,608,4613,479,855

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$18.04$18.6816.6%4.9%12.1%51.3%15.8%5.1%-0.6%-59.7M272.5M-8.1M1.129.4368,34076,4161,117,5512,490,910
2014-08-04$18.19$18.6814.0%5.0%12.6%32.6%15.8%4.6%0.4%-57.4M85.3M-7.9M0.178.94246,48641,2591,137,2272,543,498
2014-08-05$18.01$18.6816.3%5.0%12.7%48.7%16.3%4.4%0.1%-64.9M224.4M-8.2M1.879.6024,67446,1111,125,2482,550,891
2014-08-06$18.09$18.6815.0%5.1%12.8%39.8%20.4%4.3%-0.0%-62.8M147.3M-8.3M4.7710.349,42944,9621,142,5752,566,981
2014-08-07$17.99$18.6816.4%5.1%12.8%50.0%16.9%5.1%-0.1%-60.6M196.3M-8.3M1.958.9827,01152,6341,145,9662,572,131
2014-08-08$18.18$18.6814.5%5.0%13.3%36.4%16.8%4.4%0.2%-41.5M69.1M-8.2M7.469.276,65249,6521,158,1722,606,369
2014-08-11$18.20$18.6814.4%5.0%13.1%35.4%16.1%4.1%1.3%-26.3M-20.6M-8.0M1.149.7514,05716,0821,149,6082,555,088
2014-08-12$18.24$18.6813.6%5.0%12.9%30.4%16.7%4.1%2.4%-18.5M-72.4M-7.8M0.5410.09183,48298,3181,156,3192,561,688
2014-08-13$18.35$18.6812.7%4.6%13.2%24.0%16.7%3.2%-0.9%32.2M-243.8M-7.9M0.9911.9153,62653,2631,331,7332,647,710
2014-08-14$18.46$18.6811.8%4.5%12.5%17.3%23.5%2.6%-1.1%53.4M-410.9M-7.2M2.6411.579,97826,3021,369,5802,664,453
2014-08-15$18.35$18.6812.1%4.5%11.9%19.8%15.6%3.1%-1.0%33.2M-298.8M-7.4M1.2917.1466,68386,1101,371,8452,686,680
2014-08-18$18.55$18.6810.7%4.3%12.5%9.8%16.7%4.1%0.8%67.3M-496.3M-7.7M1.1211.3330,15533,6381,296,0951,915,727
2014-08-19$18.58$18.6810.6%4.3%12.5%9.0%18.0%3.3%0.3%85.5M-666.4M-6.9M2.0815.1941,18485,5051,321,3111,910,215
2014-08-20$18.64$18.6811.1%4.3%12.5%12.4%14.3%3.4%-0.0%70.8M-632.4M-7.2M0.5116.2729,64615,1441,318,7301,993,479
2014-08-21$18.85$18.6812.1%4.4%13.1%19.4%15.5%2.7%-0.4%67.1M-901.0M-7.1M1.1318.8561,67669,6711,344,5302,000,961
2014-08-22$18.81$18.6811.7%4.3%13.0%16.9%15.5%2.6%0.4%73.5M-907.0M-7.0M2.7615.5410,18728,0821,350,6542,019,880
2014-08-25$18.94$18.6810.8%4.4%13.2%10.9%18.3%3.4%0.2%60.5M-1.01B-6.8M0.2014.4775,01614,7521,330,3932,021,160
2014-08-26$18.98$18.6811.4%4.4%12.9%14.7%18.8%3.0%0.1%50.8M-1.13B-6.9M0.6710.2751,27134,3351,383,6772,020,214
2014-08-27$18.96$18.6811.5%4.4%12.8%15.4%15.3%2.8%0.1%42.5M-1.11B-7.0M1.1011.6714,33915,7671,407,0482,033,406
2014-08-28$18.89$18.6812.4%4.5%10.1%21.7%15.2%3.4%0.3%76.1M-1.01B-7.3M0.099.2125,5542,3171,413,6232,046,832
2014-08-29$18.98$18.6811.2%4.5%9.3%13.3%16.4%3.8%0.4%32.7M-1.14B-6.9M5.5913.9111,23462,7951,432,6592,047,196