XLF Options History — January 2015

In January 2015, XLF traded between $18.71 and $20.11. ATM implied volatility averaged 17.6%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.6% (HV 20d: 18.2%). Max pain ranged from $19.09 to $19.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2015-01-05: Highest Volume — 260,829 contracts
  • 2015-01-05: Largest IV spike — 16.7% change
  • 2015-01-16: Highest IV Rank — 83.2%
  • 2015-01-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$18.71$20.11$20.11$18.71
Max Pain$19.48$19.09$19.50$19.50$19.50
ATM IV17.6%14.6%20.9%15.7%19.2%
Expected Move5.1%4.0%6.1%4.4%5.4%
HV 20d18.2%15.5%19.5%16.0%19.5%
HV 60d14.3%13.7%15.1%14.2%15.1%
IV Rank63.8%45.6%83.2%52.3%73.0%
IV Percentile87.5%62.3%98.0%80.6%94.8%
Term Structure0.2%-2.1%2.0%-0.4%-1.2%
VWIV18.8%13.7%23.7%17.9%19.8%
Skew 25d4.4%2.0%6.4%3.4%5.2%
Skew 10d10.9%5.6%15.7%5.6%13.9%
Call IV 25d16.4%13.5%22.1%14.8%16.3%
Put IV 25d20.8%17.7%25.5%18.2%21.5%
Bid-Ask Spread %5.942.5339.013.192.53
Gamma HHI0.160.110.300.300.27
Net GEX2.8M-56.0M47.0M47.0M-56.0M
Net DEX-104.0M-698.9M358.0M-698.9M358.0M
Net VEX-6.2M-7.1M-5.7M-5.8M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.202.771.192.09
Total Volume130,078.646,146260,82984,858118,979
Total OI2,808,224.51,940,9653,483,9093,187,2042,431,332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$20.11$19.5015.7%4.4%16.0%52.3%17.9%3.4%-0.4%47.0M-698.9M-5.8M1.193.1938,82546,0331,202,4741,984,730
2015-01-05$19.67$19.5018.4%5.3%17.9%68.0%18.3%4.7%-0.2%28.5M-457.1M-5.8M2.706.5770,584190,2451,113,1321,989,966
2015-01-06$19.37$19.5018.3%5.5%18.3%67.7%22.8%5.5%0.1%4.4M-113.8M-6.3M1.226.9051,05962,2701,163,2142,086,163
2015-01-07$19.57$19.5017.6%5.3%18.7%63.2%18.7%6.1%1.3%10.1M-306.3M-6.3M0.829.4025,34920,7971,187,5752,125,489
2015-01-08$19.85$19.5016.0%5.1%19.5%53.8%18.6%6.4%0.8%29.6M-499.3M-6.3M0.823.3056,92146,6511,201,3462,136,404
2015-01-09$19.63$19.5017.2%5.2%19.3%60.8%20.3%2.6%-0.1%19.1M-378.6M-6.1M1.102.8448,60653,5951,210,1432,147,242
2015-01-12$19.46$19.5018.7%5.3%19.4%70.2%19.6%5.0%0.1%11.8M-256.5M-6.0M0.812.8350,47540,7951,207,8402,137,334
2015-01-13$19.34$19.5017.7%5.3%18.5%64.3%20.3%2.0%1.1%-873.5K-72.9M-6.3M1.102.9056,21262,0201,222,9532,146,672
2015-01-14$19.10$19.5020.6%5.4%18.8%81.5%20.8%2.8%-1.1%-4.2M82.4M-6.1M0.812.7796,16677,6241,241,8202,167,050
2015-01-15$18.85$19.5020.6%6.1%19.0%81.5%23.7%4.6%1.3%-10.6M238.8M-6.1M1.642.8483,360136,8911,286,1712,177,026
2015-01-16$19.07$19.5020.9%6.0%17.8%83.2%21.0%5.4%2.0%-39.5M57.5M-5.8M1.5439.0153,84082,9051,302,9302,180,979
2015-01-20$19.00$19.5017.8%5.1%15.5%64.9%18.7%5.6%0.7%-4.2M50.3M-5.8M0.886.5929,72226,274920,7571,020,208
2015-01-21$19.05$19.5017.6%5.1%15.6%63.8%17.8%4.5%-0.4%-2.9M64.0M-5.7M0.204.74134,58326,900938,1931,021,796
2015-01-22$19.51$19.5015.0%4.3%18.1%48.0%16.1%4.2%0.9%16.7M-254.6M-6.1M1.112.7299,774110,6621,010,2001,036,530
2015-01-23$19.33$19.0914.6%4.1%18.0%45.6%15.5%4.8%0.2%13.5M-151.5M-6.2M2.773.1440,230111,6171,039,8231,085,114
2015-01-26$19.41$19.5014.7%4.0%18.1%46.4%13.7%4.1%-0.1%16.3M-182.5M-6.5M2.325.0622,57052,3301,034,9391,156,929
2015-01-27$19.20$19.5016.4%4.5%18.3%56.3%14.6%4.5%0.0%5.8M3.1M-6.6M0.285.9236,77110,2201,045,4511,197,528
2015-01-28$18.86$19.5018.3%5.2%18.9%67.9%16.7%3.2%-2.1%-11.9M206.2M-6.4M1.752.6051,92291,0921,055,9511,202,968
2015-01-29$18.99$19.5017.5%4.8%19.3%63.0%20.2%4.1%1.5%-17.6M232.8M-6.7M1.022.9592,55694,1471,056,0011,292,117
2015-01-30$18.71$19.5019.2%5.4%19.5%73.0%19.8%5.2%-1.2%-56.0M358.0M-7.1M2.092.5338,45380,5261,122,5341,308,798