XLF Options History — March 2015 In March 2015, XLF traded between $19.34 and $20.05. ATM implied volatility averaged 14.4%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.8% (HV 20d: 13.6%). Max pain ranged from $18.68 to $20.31. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.22.
Notable Days 2015-03-04 : Highest Volume — 386,971 contracts2015-03-20 : Largest IV drop — 20.0% change2015-03-11 : Highest IV Rank — 55.5%2015-03-11 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.76 $19.34 $20.05 $19.94 $19.59 Max Pain $19.66 $18.68 $20.31 $18.68 $19.50 ATM IV 14.4% 12.0% 16.3% 14.4% 15.3% Expected Move 4.1% 3.2% 4.7% 3.6% 4.6% HV 20d 13.6% 9.3% 16.3% 12.8% 16.3% HV 60d 16.4% 15.8% 17.3% 16.4% 16.4% IV Rank 44.1% 29.8% 55.5% 44.2% 49.8% IV Percentile 59.8% 19.8% 83.3% 59.9% 74.6% Term Structure 0.4% -1.3% 2.0% 0.7% -0.1% VWIV 14.8% 12.6% 17.4% 13.1% 15.6% Skew 25d 3.9% 2.0% 5.5% 3.0% 4.2% Skew 10d 8.7% 4.9% 11.7% 8.3% 8.8% Call IV 25d 13.2% 11.5% 15.3% 12.2% 13.7% Put IV 25d 17.0% 15.1% 19.7% 15.1% 17.9% Bid-Ask Spread % 6.01 2.42 10.00 7.43 5.10 Gamma HHI 0.25 0.16 0.47 0.27 0.19 Net GEX 42.0M -20.8M 108.3M 86.4M 35.5M Net DEX -391.8M -831.8M 54.7M -603.5M -261.9M Net VEX -9.0M -9.6M -7.5M -7.5M -9.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.12 2.72 1.72 0.99 Total Volume 130,017.182 38,038 386,971 72,801 74,179 Total OI 3,156,132.045 2,646,739 3,555,381 2,950,926 2,881,910
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 2015-03-02 $19.94 $18.68 14.4% 3.6% 12.8% 44.2% 13.1% 3.0% 0.7% 86.4M -603.5M -7.5M 1.72 7.43 26,779 46,022 1,368,052 1,582,874 2015-03-03 $19.89 $18.68 13.9% 3.6% 11.2% 41.5% 12.6% 4.7% -0.9% 81.0M -558.2M -7.8M 1.80 9.45 43,279 77,745 1,378,204 1,591,839 2015-03-04 $19.75 $18.68 14.2% 4.0% 10.8% 43.1% 17.4% 5.1% -0.9% 54.8M -440.7M -8.0M 2.54 6.52 109,171 277,800 1,406,653 1,629,475 2015-03-05 $19.83 $20.31 15.0% 4.5% 9.4% 48.3% 13.7% 4.1% 0.5% 67.1M -483.3M -8.8M 1.27 2.42 85,375 108,474 1,480,868 1,840,383 2015-03-06 $19.67 $20.31 15.9% 4.5% 9.8% 53.1% 14.8% 3.8% -1.3% 17.9M -213.2M -9.0M 0.86 2.67 86,378 74,626 1,507,958 1,872,751 2015-03-09 $19.77 $20.31 14.3% 4.4% 9.3% 44.0% 17.3% 4.1% 1.4% 44.2M -442.9M -8.9M 1.19 3.84 17,355 20,683 1,472,117 1,859,582 2015-03-10 $19.34 $20.31 15.8% 4.6% 12.1% 52.4% 16.8% 5.5% 1.2% -8.8M 54.7M -9.0M 0.22 6.05 136,032 30,141 1,476,769 1,861,937 2015-03-11 $19.47 $20.31 16.3% 4.7% 12.3% 55.5% 16.3% 3.8% 0.3% 10.8M -163.6M -9.1M 0.45 5.58 128,642 58,469 1,580,381 1,865,308 2015-03-12 $19.89 $20.31 14.3% 4.4% 14.3% 43.5% 15.2% 2.0% 1.1% 108.3M -714.9M -9.3M 1.41 5.52 62,175 87,946 1,646,705 1,867,353 2015-03-13 $19.76 $19.50 14.5% 4.3% 14.6% 45.1% 14.5% 3.6% 0.6% 52.7M -522.6M -9.2M 1.61 6.24 21,947 35,358 1,629,119 1,861,700 2015-03-16 $19.95 $19.50 13.5% 3.8% 14.4% 39.1% 15.5% 3.8% 0.9% 81.7M -697.5M -9.1M 0.12 6.01 69,303 8,599 1,593,275 1,875,214 2015-03-17 $19.95 $19.50 13.7% 3.9% 14.4% 40.4% 14.1% 4.2% 1.3% 85.0M -685.4M -9.4M 1.08 5.59 45,409 49,027 1,622,062 1,878,614 2015-03-18 $20.04 $19.50 12.6% 3.6% 14.5% 33.8% 13.7% 3.5% 1.6% 103.7M -831.8M -9.2M 0.90 5.68 42,250 37,942 1,622,927 1,900,756 2015-03-19 $19.89 $19.50 14.9% 4.3% 14.6% 47.6% 14.6% 4.2% -1.0% 46.3M -636.3M -9.1M 0.31 5.25 242,966 75,208 1,626,035 1,929,346 2015-03-20 $20.05 $19.50 12.0% 3.2% 14.8% 29.8% 14.6% 3.4% 2.0% 36.7M -499.9M -9.1M 2.72 7.86 25,617 69,675 1,459,941 1,975,477 2015-03-23 $19.94 $19.50 13.3% 3.8% 14.8% 37.6% 13.2% 3.3% 0.8% 27.9M -386.2M -9.2M 1.74 4.95 21,151 36,807 1,231,540 1,415,199 2015-03-24 $19.81 $19.90 13.2% 3.7% 14.9% 37.3% 13.6% 4.3% -0.1% 16.2M -299.5M -9.2M 0.29 4.55 35,276 10,120 1,243,874 1,453,426 2015-03-25 $19.49 $19.90 15.2% 4.3% 15.7% 49.4% 14.9% 4.6% 0.1% -7.3M -28.1M -9.2M 2.50 9.79 18,884 47,235 1,263,431 1,430,407 2015-03-26 $19.48 $19.90 15.0% 4.4% 15.6% 48.1% 15.5% 3.5% 0.3% -14.0M -16.4M -9.1M 1.93 2.67 40,566 78,189 1,266,232 1,455,845 2015-03-27 $19.44 $19.50 15.0% 4.3% 15.6% 47.9% 14.9% 3.3% 0.1% -20.8M 44.5M -9.4M 0.89 10.00 62,596 55,604 1,284,369 1,467,879 2015-03-30 $19.72 $19.50 13.4% 4.1% 16.2% 38.4% 14.2% 3.1% 0.1% 18.8M -233.1M -9.6M 0.36 9.05 131,699 47,679 1,315,674 1,461,444 2015-03-31 $19.59 $19.50 15.3% 4.6% 16.3% 49.8% 15.6% 4.2% -0.1% 35.5M -261.9M -9.5M 0.99 5.10 37,195 36,984 1,422,222 1,459,688
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