XLF Options History — February 2015

In February 2015, XLF traded between $18.99 and $19.93. ATM implied volatility averaged 15.4%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.0% (HV 20d: 17.5%). Max pain ranged from $18.68 to $19.50. Net GEX was positive for 17 of 18 trading days. Term structure was in contango for 11 of 18 days. Put/call ratio averaged 1.12.

Notable Days

2015-02-06: Highest Volume — 428,854 contracts
2015-02-03: Largest IV drop — 13.8% change
2015-02-17: Highest IV Rank — 58.5%
2015-02-06: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.66	$18.99	$19.93	$18.99	$19.78
Max Pain	$18.86	$18.68	$19.50	$19.50	$18.68
ATM IV	15.4%	13.3%	16.8%	16.8%	14.1%
Expected Move	4.5%	3.7%	4.9%	4.6%	3.7%
HV 20d	17.5%	12.8%	20.6%	20.6%	12.8%
HV 60d	16.1%	15.5%	16.4%	15.5%	16.4%
IV Rank	50.6%	37.8%	58.5%	58.4%	42.6%
IV Percentile	72.0%	44.4%	86.1%	84.1%	56.3%
Term Structure	0.1%	-2.3%	4.2%	-1.7%	1.4%
VWIV	15.9%	12.0%	19.6%	16.1%	13.5%
Skew 25d	4.4%	3.3%	6.4%	5.3%	3.7%
Skew 10d	10.0%	7.9%	15.0%	15.0%	7.9%
Call IV 25d	13.7%	11.5%	15.4%	15.4%	11.9%
Put IV 25d	18.1%	15.6%	20.7%	20.7%	15.6%
Bid-Ask Spread %	4.02	2.16	9.11	6.80	6.36
Gamma HHI	0.18	0.13	0.27	0.14	0.22
Net GEX	41.7M	-14.7M	95.2M	-14.7M	57.2M
Net DEX	-413.9M	-702.9M	151.5M	151.5M	-449.0M
Net VEX	-8.2M	-9.0M	-7.0M	-7.0M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.27	2.65	1.03	1.17
Total Volume	164,444.611	61,902	428,854	113,353	85,561
Total OI	2,917,878.833	2,404,770	3,219,114	2,404,770	2,943,960

Daily Data (18 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
2015-02-02	$18.99	$19.50	16.8%	4.6%	20.6%	58.4%	16.1%	5.3%	-1.7%	-14.7M	151.5M	-7.0M	1.03	6.80	55,847	57,506	1,094,574	1,310,196
2015-02-03	$19.31	$19.50	14.4%	4.0%	20.3%	44.6%	15.4%	6.4%	0.6%	5.1M	-93.9M	-7.2M	1.59	6.24	87,764	139,320	1,145,612	1,349,385
2015-02-04	$19.25	$19.50	15.7%	4.8%	19.6%	52.1%	15.3%	4.7%	0.0%	2.2M	-58.7M	-7.5M	1.24	9.11	103,144	128,040	1,181,551	1,382,018
2015-02-05	$19.46	$19.50	15.3%	4.5%	19.7%	49.5%	14.7%	4.4%	0.1%	6.7M	-250.3M	-7.6M	1.22	3.03	85,674	104,106	1,205,467	1,425,398
2015-02-06	$19.59	$18.68	16.6%	4.9%	19.1%	57.3%	17.4%	4.7%	-0.4%	23.1M	-404.4M	-7.9M	0.92	3.25	223,151	205,703	1,256,361	1,459,533
2015-02-09	$19.54	$18.68	16.4%	4.9%	18.7%	56.4%	16.5%	3.8%	0.7%	35.7M	-323.6M	-8.6M	1.15	2.94	93,972	107,939	1,390,960	1,557,361
2015-02-10	$19.68	$18.68	16.1%	4.8%	18.6%	54.6%	19.5%	4.0%	0.7%	47.9M	-457.2M	-8.5M	1.12	2.40	160,047	179,826	1,404,461	1,548,657
2015-02-11	$19.65	$18.68	16.2%	4.8%	18.5%	55.0%	19.6%	4.3%	0.6%	45.3M	-446.4M	-9.0M	2.65	2.90	39,619	104,850	1,458,789	1,641,302
2015-02-12	$19.87	$18.68	15.8%	4.8%	18.1%	52.9%	18.1%	4.3%	0.9%	63.9M	-702.9M	-8.9M	2.41	2.34	50,052	120,415	1,468,343	1,679,562
2015-02-13	$19.84	$18.68	15.6%	4.7%	17.3%	51.6%	16.4%	3.3%	1.5%	56.2M	-618.5M	-8.9M	0.94	2.91	72,297	67,949	1,446,605	1,705,418
2015-02-17	$19.90	$18.68	16.8%	4.9%	17.0%	58.5%	15.5%	4.3%	-1.6%	51.8M	-635.1M	-8.6M	0.94	2.60	63,523	59,888	1,417,339	1,713,147
2015-02-18	$19.79	$18.68	15.9%	4.6%	17.1%	53.6%	15.2%	4.6%	-2.2%	48.0M	-528.0M	-8.4M	0.57	2.50	79,499	45,709	1,441,981	1,728,205
2015-02-19	$19.74	$18.68	15.5%	4.5%	17.2%	51.2%	16.3%	4.0%	-1.9%	41.3M	-479.8M	-8.3M	0.96	4.81	51,836	49,577	1,440,817	1,717,633
2015-02-20	$19.87	$18.68	14.8%	4.4%	15.2%	46.6%	14.2%	4.0%	-2.3%	95.2M	-648.7M	-8.2M	0.27	6.46	108,233	29,425	1,477,462	1,741,652
2015-02-23	$19.77	$18.68	13.3%	4.0%	14.9%	37.8%	15.6%	4.6%	4.2%	43.9M	-405.2M	-8.7M	0.56	2.73	45,353	25,176	1,350,599	1,557,357
2015-02-25	$19.93	$18.68	14.4%	3.7%	15.0%	44.6%	12.0%	4.6%	-0.4%	70.4M	-565.3M	-8.3M	0.51	2.16	44,375	22,725	1,375,400	1,560,049
2015-02-26	$19.87	$18.68	14.1%	3.8%	14.4%	42.7%	14.9%	4.4%	2.0%	70.8M	-535.2M	-8.1M	0.83	2.79	33,787	28,115	1,381,529	1,563,136
2015-02-27	$19.78	$18.68	14.1%	3.7%	12.8%	42.6%	13.5%	3.7%	1.4%	57.2M	-449.0M	-7.8M	1.17	6.36	39,424	46,137	1,377,479	1,566,481