XLF Options History — December 2014

In December 2014, XLF traded between $19.27 and $20.34. ATM implied volatility averaged 14.3%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.9% (HV 20d: 11.4%). Max pain ranged from $19.50 to $19.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.68.

Notable Days

2014-12-18: Highest Volume — 323,333 contracts
2014-12-08: Largest IV spike — 32.0% change
2014-12-16: Highest IV Rank — 76.0%
2014-12-16: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.00	$19.27	$20.34	$19.69	$20.10
Max Pain	$19.50	$19.50	$19.50	$19.50	$19.50
ATM IV	14.3%	10.0%	19.7%	12.2%	16.2%
Expected Move	4.4%	3.6%	5.6%	4.1%	4.6%
HV 20d	11.4%	5.6%	16.1%	5.6%	16.1%
HV 60d	14.0%	13.0%	15.1%	13.1%	14.6%
IV Rank	43.8%	18.0%	76.0%	31.4%	54.9%
IV Percentile	56.0%	1.6%	96.4%	23.8%	84.9%
Term Structure	0.6%	-3.5%	3.1%	0.7%	-0.9%
VWIV	16.9%	12.9%	21.8%	16.5%	16.3%
Skew 25d	3.6%	-0.0%	5.6%	2.5%	3.9%
Skew 10d	8.3%	3.4%	13.1%	4.3%	9.2%
Call IV 25d	13.3%	9.6%	18.9%	11.4%	14.7%
Put IV 25d	16.9%	12.5%	24.5%	13.9%	18.5%
Bid-Ask Spread %	4.90	2.87	8.92	4.45	5.90
Gamma HHI	0.41	0.16	0.65	0.22	0.49
Net GEX	91.6M	28.6M	136.8M	61.4M	75.8M
Net DEX	-993.6M	-1.55B	-389.9M	-941.6M	-732.0M
Net VEX	-5.5M	-6.4M	-5.0M	-5.2M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.13	6.69	5.38	0.26
Total Volume	143,401.364	63,596	323,333	147,893	144,852
Total OI	3,372,817.409	2,980,496	3,690,260	3,219,047	3,081,368

Daily Data (22 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
2014-12-01	$19.69	$19.50	12.2%	4.1%	5.6%	31.4%	16.5%	2.5%	0.7%	61.4M	-941.6M	-5.2M	5.38	4.45	23,172	124,721	1,239,832	1,979,215
2014-12-02	$19.85	$19.50	11.3%	4.0%	6.1%	26.0%	16.9%	3.3%	1.7%	62.9M	-1.05B	-5.1M	6.69	3.10	11,229	75,160	1,241,297	2,020,139
2014-12-03	$19.97	$19.50	12.4%	3.6%	6.3%	32.8%	14.9%	2.2%	0.3%	66.2M	-1.13B	-5.0M	0.28	3.86	239,288	67,347	1,241,099	1,993,752
2014-12-04	$20.00	$19.50	11.2%	3.6%	6.0%	25.2%	12.9%	2.9%	0.8%	123.1M	-1.28B	-5.2M	0.95	6.20	33,534	31,944	1,463,418	1,997,778
2014-12-05	$20.15	$19.50	10.0%	3.8%	6.4%	18.0%	15.1%	3.8%	0.7%	130.7M	-1.44B	-5.3M	0.67	4.55	144,523	96,999	1,473,189	2,025,565
2014-12-08	$20.26	$19.50	13.2%	4.2%	6.5%	37.1%	15.2%	3.0%	0.8%	118.3M	-1.55B	-5.6M	1.50	5.04	51,540	77,483	1,523,786	2,052,999
2014-12-09	$20.19	$19.50	13.4%	4.2%	6.6%	38.6%	16.3%	4.7%	0.0%	109.0M	-1.41B	-5.9M	1.51	4.35	33,407	50,401	1,528,901	2,086,176
2014-12-10	$19.92	$19.50	17.3%	4.5%	8.4%	61.5%	17.5%	3.7%	-3.5%	91.4M	-1.13B	-5.9M	1.06	7.14	36,412	38,418	1,532,093	2,097,917
2014-12-11	$19.98	$19.50	14.1%	4.6%	8.4%	42.6%	17.6%	3.0%	0.0%	94.9M	-1.19B	-6.1M	0.34	5.80	97,839	32,897	1,557,603	2,097,554
2014-12-12	$19.62	$19.50	17.1%	5.4%	10.7%	60.7%	20.0%	3.0%	2.9%	63.9M	-740.0M	-6.4M	3.64	6.73	45,788	166,565	1,574,399	2,103,986
2014-12-15	$19.46	$19.50	17.8%	5.3%	11.0%	64.4%	20.4%	4.5%	-0.0%	47.2M	-592.2M	-6.0M	2.44	5.00	36,748	89,814	1,556,180	2,127,263
2014-12-16	$19.27	$19.50	19.7%	5.6%	11.6%	76.0%	21.8%	5.6%	1.9%	28.6M	-389.9M	-6.4M	2.72	4.86	42,655	115,923	1,550,916	2,133,245
2014-12-17	$19.67	$19.50	17.8%	5.3%	13.7%	64.5%	16.9%	5.1%	0.5%	55.5M	-751.1M	-5.7M	0.39	4.66	93,709	36,407	1,522,813	2,141,664
2014-12-18	$20.11	$19.50	14.5%	4.4%	15.7%	44.9%	18.5%	4.0%	3.1%	119.8M	-1.27B	-5.5M	0.13	4.38	286,972	36,361	1,548,111	2,142,149
2014-12-19	$20.06	$19.50	14.9%	4.5%	15.8%	47.5%	15.4%	4.7%	1.3%	75.2M	-694.8M	-5.5M	0.60	8.92	96,658	58,399	1,271,113	2,164,240
2014-12-22	$20.15	$19.50	13.6%	4.2%	15.8%	39.8%	15.7%	5.2%	0.5%	83.7M	-822.3M	-5.3M	4.00	3.91	20,172	80,635	1,094,286	1,886,210
2014-12-23	$20.32	$19.50	13.4%	4.2%	15.9%	38.4%	15.0%	3.8%	0.9%	111.4M	-975.8M	-5.2M	0.91	3.53	59,377	54,275	1,103,702	1,913,098
2014-12-24	$20.27	$19.50	13.0%	4.2%	15.9%	36.3%	16.5%	2.6%	1.8%	108.0M	-937.5M	-5.2M	1.18	5.55	35,524	41,784	1,107,733	1,929,319
2014-12-26	$20.28	$19.50	13.6%	4.2%	15.9%	39.5%	15.7%	3.6%	1.0%	121.6M	-929.5M	-5.2M	0.50	2.88	80,584	40,220	1,105,964	1,931,537
2014-12-29	$20.34	$19.50	14.2%	4.3%	15.9%	43.4%	19.7%	4.3%	-0.7%	130.6M	-1.01B	-5.0M	1.23	2.87	72,321	89,177	1,100,203	1,902,359
2014-12-30	$20.32	$19.50	13.9%	4.3%	15.7%	41.1%	16.1%	-0.0%	0.6%	136.8M	-916.1M	-5.3M	0.56	4.16	40,822	22,774	1,105,367	1,952,445
2014-12-31	$20.10	$19.50	16.2%	4.6%	16.1%	54.9%	16.3%	3.9%	-0.9%	75.8M	-732.0M	-5.3M	0.26	5.90	115,004	29,848	1,113,118	1,968,250