XLF Options History — October 2014

In October 2014, XLF traded between $17.90 and $19.37. ATM implied volatility averaged 17.0%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 16.4%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.09.

Notable Days

2014-10-15: Highest Volume — 243,885 contracts
2014-10-28: Largest IV drop — 15.4% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-16: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.60	$17.90	$19.37	$18.63	$19.37
Max Pain	$18.68	$18.68	$18.68	$18.68	$18.68
ATM IV	17.0%	12.7%	23.7%	16.1%	12.8%
Expected Move	4.9%	4.2%	5.9%	4.8%	4.2%
HV 20d	16.4%	9.8%	19.8%	9.8%	19.2%
HV 60d	12.7%	10.6%	14.1%	10.6%	13.5%
IV Rank	54.9%	23.4%	100.0%	47.8%	24.1%
IV Percentile	78.8%	28.6%	100.0%	85.3%	30.2%
Term Structure	-0.0%	-2.4%	1.8%	0.1%	0.4%
VWIV	17.4%	14.1%	22.3%	15.6%	14.1%
Skew 25d	4.6%	3.0%	7.1%	4.2%	3.8%
Skew 10d	10.9%	7.4%	18.1%	8.5%	9.6%
Call IV 25d	15.6%	12.0%	21.6%	15.2%	12.1%
Put IV 25d	20.1%	15.4%	28.2%	19.4%	15.9%
Bid-Ask Spread %	10.01	5.13	22.03	7.82	5.20
Gamma HHI	0.17	0.12	0.23	0.17	0.20
Net GEX	8.9M	-44.8M	71.1M	10.1M	43.3M
Net DEX	-140.4M	-902.4M	595.0M	-209.5M	-902.4M
Net VEX	-7.5M	-8.1M	-6.8M	-7.0M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.57	7.01	1.22	0.57
Total Volume	136,800.261	29,566	243,885	91,983	223,500
Total OI	3,326,830.826	3,084,905	3,571,655	3,183,166	3,395,112

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-10-01	$18.63	$18.68	16.1%	4.8%	9.8%	47.8%	15.6%	4.2%	0.1%	10.1M	-209.5M	-7.0M	1.22	7.82	41,480	50,503	1,317,142	1,866,024
2014-10-02	$18.64	$18.68	15.8%	4.7%	9.8%	45.7%	18.9%	3.6%	0.1%	9.2M	-189.4M	-7.2M	1.03	7.38	82,939	85,166	1,325,849	1,891,993
2014-10-03	$18.92	$18.68	14.5%	4.7%	11.3%	36.2%	15.4%	4.5%	0.0%	42.3M	-504.1M	-7.3M	2.06	8.01	35,183	72,366	1,372,906	1,902,364
2014-10-06	$18.86	$18.68	16.0%	4.7%	11.3%	47.1%	19.0%	3.7%	0.4%	40.1M	-426.8M	-7.2M	1.53	6.54	27,780	42,499	1,341,046	1,899,136
2014-10-07	$18.55	$18.68	16.9%	4.9%	12.3%	53.2%	15.9%	4.4%	-0.1%	4.5M	-122.4M	-7.1M	5.57	7.91	24,109	134,209	1,354,391	1,929,099
2014-10-08	$18.88	$18.68	16.8%	4.9%	13.7%	52.3%	18.3%	4.2%	-0.2%	34.4M	-352.4M	-7.6M	0.88	5.13	105,745	92,954	1,370,192	2,014,486
2014-10-09	$18.54	$18.68	17.9%	5.0%	15.1%	61.4%	18.8%	4.6%	-0.1%	-19.6M	-2.6M	-7.5M	3.98	8.94	40,052	159,273	1,309,422	2,043,557
2014-10-10	$18.43	$18.68	20.2%	5.1%	15.2%	89.6%	18.9%	3.0%	-1.0%	-40.5M	208.3M	-7.8M	1.13	16.16	26,442	29,828	1,331,771	2,164,534
2014-10-13	$18.17	$18.68	22.6%	5.8%	15.8%	100.0%	19.9%	5.1%	1.2%	-36.4M	378.1M	-8.1M	7.01	12.63	22,876	160,330	1,323,176	2,146,324
2014-10-14	$18.36	$18.68	21.0%	5.2%	16.2%	88.1%	19.1%	5.0%	-2.4%	-44.8M	299.5M	-7.9M	2.27	9.61	23,636	53,604	1,333,825	2,237,667
2014-10-15	$17.92	$18.68	23.7%	5.9%	17.9%	100.0%	21.0%	6.6%	-2.0%	-41.4M	595.0M	-7.9M	1.00	9.90	122,132	121,753	1,350,160	2,175,395
2014-10-16	$17.90	$18.68	22.9%	5.9%	17.2%	94.2%	22.3%	6.6%	-0.7%	-31.8M	570.1M	-8.0M	3.50	16.61	25,243	88,418	1,386,392	2,155,453
2014-10-17	$18.13	$18.68	19.9%	5.6%	18.1%	73.5%	18.2%	7.1%	1.8%	-21.6M	317.1M	-7.8M	2.76	22.03	35,932	99,160	1,408,153	2,163,502
2014-10-20	$18.25	$0.00	17.1%	5.4%	18.3%	53.8%	17.2%	5.2%	0.5%	-11.0M	113.5M	-7.9M	1.42	14.04	45,415	64,656	1,243,671	1,841,234
2014-10-21	$18.55	$18.68	14.9%	4.7%	19.3%	38.8%	16.6%	5.6%	0.3%	9.4M	-145.5M	-7.8M	2.30	14.06	41,980	96,709	1,268,388	1,847,998
2014-10-22	$18.43	$18.68	16.8%	4.8%	19.3%	52.2%	17.4%	4.7%	-0.1%	-1.4M	-43.8M	-7.9M	0.81	11.21	65,004	52,694	1,272,142	1,910,698
2014-10-23	$18.56	$18.68	15.3%	4.6%	19.1%	41.5%	16.1%	4.3%	0.2%	6.9M	-166.4M	-7.8M	2.82	8.17	40,648	114,670	1,264,155	1,929,391
2014-10-24	$18.77	$18.68	15.3%	4.6%	19.4%	41.9%	15.8%	4.1%	-0.2%	20.9M	-333.3M	-7.6M	0.96	8.14	83,436	80,356	1,280,155	1,978,074
2014-10-27	$18.79	$18.68	15.0%	4.6%	19.4%	39.4%	16.4%	4.2%	0.7%	40.7M	-375.8M	-7.5M	1.36	8.77	12,544	17,022	1,318,518	1,956,066
2014-10-28	$18.99	$18.68	12.7%	4.4%	19.8%	23.4%	15.6%	3.4%	0.4%	61.3M	-646.1M	-6.8M	0.71	10.26	55,077	38,847	1,310,567	1,955,908
2014-10-29	$19.05	$18.68	13.1%	4.5%	19.4%	26.2%	14.7%	3.6%	0.3%	58.4M	-611.8M	-7.2M	1.26	5.50	70,385	88,500	1,312,521	1,977,497
2014-10-30	$19.13	$18.68	13.8%	4.2%	19.4%	31.3%	15.3%	3.7%	0.3%	71.1M	-678.3M	-7.2M	1.92	6.15	51,775	99,576	1,338,332	2,002,723
2014-10-31	$19.37	$18.68	12.8%	4.2%	19.2%	24.1%	14.1%	3.8%	0.4%	43.3M	-902.4M	-7.3M	0.57	5.20	142,467	81,033	1,362,668	2,032,444