XLF Options History — September 2014

In September 2014, XLF traded between $18.79 and $19.34. ATM implied volatility averaged 12.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.6% (HV 20d: 8.1%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2014-09-18: Highest Volume — 458,397 contracts
  • 2014-09-29: Largest IV spike — 24.0% change
  • 2014-09-30: Highest IV Rank — 46.8%
  • 2014-09-15: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.01$18.79$19.34$19.05$18.82
Max Pain$18.68$18.68$18.68$18.68$18.68
ATM IV12.8%10.8%16.0%11.3%16.0%
Expected Move4.5%4.2%4.7%4.5%4.6%
HV 20d8.1%6.9%9.4%9.1%9.2%
HV 60d10.2%9.8%10.7%10.2%10.5%
IV Rank24.4%10.7%46.8%14.2%46.8%
IV Percentile30.7%2.8%83.7%6.7%83.7%
Term Structure0.5%-1.1%1.9%0.4%-0.3%
VWIV17.1%15.0%19.7%17.4%17.7%
Skew 25d3.9%3.0%4.8%3.9%4.8%
Skew 10d9.6%7.1%12.6%8.6%11.4%
Call IV 25d11.8%9.9%14.0%10.6%14.0%
Put IV 25d15.7%14.2%18.7%14.4%18.7%
Bid-Ask Spread %11.117.9816.6612.8110.31
Gamma HHI0.220.170.290.240.21
Net GEX38.5M18.3M65.3M36.4M36.5M
Net DEX-657.0M-1.14B-249.3M-795.0M-394.0M
Net VEX-6.8M-7.4M-5.9M-6.9M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.146.142.851.90
Total Volume93,460.28625,878458,39733,42948,679
Total OI3,214,978.7142,927,2473,468,6233,166,6013,158,016

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$19.05$18.6811.3%4.5%9.1%14.2%17.4%3.9%0.4%36.4M-795.0M-6.9M2.8512.818,67224,7571,213,5071,953,094
2014-09-03$19.02$18.6811.3%4.5%8.0%14.4%15.4%3.4%0.3%34.7M-785.9M-6.8M1.239.3712,20814,9711,215,8431,969,090
2014-09-04$19.03$18.6811.6%4.5%8.0%16.3%18.9%3.8%0.5%35.1M-775.4M-6.8M2.5810.7611,37629,3061,217,5441,973,860
2014-09-05$19.06$18.6811.1%4.4%7.4%12.8%15.7%4.2%0.1%34.0M-771.9M-6.8M2.1810.6618,86141,0981,217,9181,986,267
2014-09-08$19.07$18.6811.7%4.5%6.9%16.5%18.2%3.5%1.9%38.3M-786.0M-6.7M0.7810.5321,92817,0541,215,7601,988,000
2014-09-09$18.88$18.6813.1%4.5%8.2%26.3%17.1%3.7%-0.0%30.9M-618.4M-6.7M0.9416.3213,36712,5111,227,1672,003,252
2014-09-10$18.98$18.6811.9%4.5%8.3%18.4%19.4%3.9%1.8%38.9M-686.5M-6.8M6.148.525,26932,3371,228,5561,992,121
2014-09-11$19.02$18.6812.3%4.5%8.1%21.2%19.7%3.7%1.7%45.1M-736.1M-6.6M2.589.1912,99833,5341,229,5342,014,573
2014-09-12$18.98$18.6813.2%4.6%8.1%27.5%18.2%3.0%1.6%32.1M-719.8M-6.8M1.3313.0881,709108,4661,236,5522,036,383
2014-09-15$18.98$18.6814.3%4.7%7.7%35.1%17.2%4.0%-1.1%42.1M-746.8M-6.6M1.7416.6617,25430,0681,273,9352,112,947
2014-09-16$19.07$18.6814.4%4.6%7.0%35.6%15.1%4.6%-1.1%49.4M-843.0M-6.6M0.6010.2926,21015,7221,270,9422,126,571
2014-09-17$19.16$18.6812.1%4.2%7.1%19.6%18.6%3.3%1.0%43.9M-896.2M-6.6M0.4012.95138,44455,1811,268,8582,139,378
2014-09-18$19.34$18.6811.9%4.2%7.7%18.0%15.6%4.7%0.0%65.3M-1.14B-5.9M0.229.61377,04981,3481,327,6572,140,966
2014-09-19$19.20$18.6810.8%4.2%7.6%10.7%15.0%4.1%1.7%53.3M-621.7M-6.8M0.7911.0655,03743,5081,209,4742,189,548
2014-09-22$19.07$18.6812.9%4.5%8.0%25.2%15.1%3.5%0.1%45.1M-546.5M-6.6M0.938.9025,74923,9121,171,9111,755,336
2014-09-23$18.92$18.6813.0%4.5%8.1%26.1%15.2%4.1%0.3%31.7M-429.2M-6.5M0.6912.32127,04488,2071,173,8211,777,383
2014-09-24$19.01$18.6812.5%4.5%8.3%22.2%18.7%4.0%0.5%46.5M-536.2M-7.1M0.149.8568,0879,8341,257,9221,845,764
2014-09-25$18.79$18.6814.2%4.5%9.3%34.3%15.7%3.9%0.3%18.3M-249.3M-7.2M0.7511.3047,03935,1171,287,1401,851,117
2014-09-26$18.90$18.6812.8%4.5%9.4%24.8%18.2%4.1%0.6%28.2M-369.3M-7.4M2.3510.9014,14733,1891,304,9871,866,862
2014-09-29$18.85$18.6815.9%4.6%9.3%46.4%17.0%4.2%-0.2%22.6M-350.1M-7.2M0.327.9877,07224,3471,246,0311,838,966
2014-09-30$18.82$18.6816.0%4.6%9.2%46.8%17.7%4.8%-0.3%36.5M-394.0M-6.9M1.9010.3116,77031,9091,309,2831,848,733