XLF Options History — November 2014

In November 2014, XLF traded between $19.43 and $19.82. ATM implied volatility averaged 12.1%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.3% (HV 20d: 10.8%). Max pain ranged from $18.68 to $19.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.18.

Notable Days

  • 2014-11-25: Highest Volume — 158,564 contracts
  • 2014-11-28: Largest IV spike — 36.6% change
  • 2014-11-03: Highest IV Rank — 29.2%
  • 2014-11-05: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.63$19.43$19.82$19.43$19.82
Max Pain$19.11$18.68$19.50$18.68$19.50
ATM IV12.1%7.0%13.5%13.5%9.5%
Expected Move4.1%3.9%4.3%4.3%3.9%
HV 20d10.8%6.3%19.2%19.2%6.3%
HV 60d13.2%13.0%13.4%13.4%13.0%
IV Rank21.3%0.0%29.2%29.2%15.2%
IV Percentile25.9%0.0%43.3%43.3%0.8%
Term Structure0.5%-0.3%2.9%0.0%-0.3%
VWIV15.0%12.5%17.8%15.5%15.8%
Skew 25d3.5%2.5%4.3%3.5%2.5%
Skew 10d7.5%-0.6%9.9%9.1%4.4%
Call IV 25d11.3%8.7%12.9%12.9%10.1%
Put IV 25d14.8%12.2%16.4%16.4%12.6%
Bid-Ask Spread %5.332.9610.585.5910.58
Gamma HHI0.260.210.360.230.23
Net GEX53.6M39.6M69.7M41.1M69.7M
Net DEX-983.3M-1.08B-853.1M-853.1M-1.08B
Net VEX-5.8M-6.7M-5.0M-6.7M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.243.730.500.36
Total Volume83,645.10514,657158,56497,99614,657
Total OI3,278,9413,111,8353,384,7473,263,9323,229,317

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$19.43$18.6813.5%4.3%19.2%29.2%15.5%3.5%0.0%41.1M-853.1M-6.7M0.505.5965,53632,4601,259,2162,004,716
2014-11-04$19.46$18.6813.0%4.3%18.0%25.7%15.6%4.0%0.4%48.4M-949.5M-6.2M0.365.3659,30121,1551,262,6722,013,515
2014-11-05$19.59$18.6813.4%4.3%17.2%28.7%15.7%4.1%0.6%39.6M-960.7M-6.4M0.766.7342,26832,0541,249,6452,013,806
2014-11-06$19.60$18.6813.4%4.3%15.5%28.4%15.5%3.1%0.3%42.2M-990.7M-6.3M0.586.5668,79640,1911,252,9172,029,977
2014-11-07$19.60$18.6813.2%4.3%15.2%27.0%15.7%3.4%0.4%41.5M-997.6M-6.4M0.416.8379,56732,5851,273,4942,041,621
2014-11-10$19.71$18.6811.8%4.2%13.8%17.0%15.8%3.2%1.7%60.0M-1.03B-6.0M0.385.1257,63021,9461,258,7152,036,310
2014-11-11$19.68$18.6812.8%4.1%13.7%24.5%14.9%3.0%0.6%48.7M-1.06B-5.7M3.185.4326,00082,7761,234,0262,042,083
2014-11-12$19.63$18.6812.8%4.1%9.3%24.1%17.8%3.8%0.6%61.4M-1.03B-5.7M2.784.0327,97777,8801,262,8252,044,973
2014-11-13$19.62$18.6812.8%4.1%9.3%24.0%14.8%3.2%0.5%54.6M-1.02B-5.6M3.733.9228,217105,2441,262,8022,068,699
2014-11-14$19.55$19.5012.6%4.1%9.3%23.0%14.8%3.3%0.6%49.1M-949.8M-6.0M1.086.1816,06917,3781,277,4622,107,285
2014-11-17$19.55$19.5012.8%4.1%9.3%24.1%15.0%3.8%0.2%52.6M-907.2M-5.9M1.984.1826,14651,7871,228,0622,096,099
2014-11-18$19.62$19.5012.7%4.0%8.0%23.6%14.8%3.8%0.1%52.9M-979.1M-5.7M0.704.4140,11727,9741,228,1812,097,725
2014-11-19$19.57$19.5012.9%4.0%7.5%24.7%14.5%4.3%-0.1%60.8M-938.4M-5.5M0.634.7337,00423,3131,223,7922,106,663
2014-11-20$19.57$19.5012.6%4.0%7.4%23.2%13.9%4.3%0.1%67.8M-907.3M-5.6M2.053.4418,94638,7531,222,0432,104,072
2014-11-21$19.68$19.5012.5%3.9%6.8%22.0%14.9%3.4%-0.2%54.7M-993.5M-5.5M1.455.2939,87757,6811,231,1922,121,349
2014-11-24$19.80$19.5010.9%3.9%7.0%10.9%12.5%3.0%0.3%51.4M-988.9M-5.2M0.294.4749,26614,3211,164,1361,947,699
2014-11-25$19.77$19.5010.8%3.9%6.4%10.3%13.5%3.2%0.1%57.2M-1.01B-5.0M0.242.96127,82130,7431,167,2161,950,037
2014-11-26$19.81$19.507.0%3.9%6.4%0.0%13.5%3.6%2.9%63.9M-1.04B-5.1M0.995.4828,05927,7621,226,5141,959,023
2014-11-28$19.82$19.509.5%3.9%6.3%15.2%15.8%2.5%-0.3%69.7M-1.08B-5.0M0.3610.5810,7443,9131,245,5151,983,802