XLF Options History — April 2015 In April 2015, XLF traded between $19.56 and $19.89. ATM implied volatility averaged 13.5%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.0% (HV 20d: 11.6%). Max pain ranged from $19.50 to $19.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.12.
Notable Days 2015-04-17 : Highest Volume — 500,100 contracts2015-04-30 : Largest IV spike — 22.9% change2015-04-01 : Highest IV Rank — 50.9%2015-04-01 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.70 $19.56 $19.89 $19.56 $19.60 Max Pain $19.50 $19.50 $19.50 $19.50 $19.50 ATM IV 13.5% 11.4% 15.5% 15.5% 14.0% Expected Move 3.9% 3.3% 4.7% 4.7% 4.2% HV 20d 11.6% 8.0% 16.3% 16.2% 8.5% HV 60d 14.2% 12.2% 16.4% 16.4% 12.2% IV Rank 39.2% 26.2% 50.9% 50.9% 42.0% IV Percentile 48.6% 11.5% 75.4% 75.4% 59.5% Term Structure -0.3% -1.6% 0.6% -0.3% -0.0% VWIV 13.6% 11.1% 17.8% 16.0% 13.9% Skew 25d 3.0% 1.7% 4.3% 3.4% 2.7% Skew 10d 7.1% 3.5% 11.8% 6.3% 6.9% Call IV 25d 12.4% 11.1% 14.2% 14.2% 13.2% Put IV 25d 15.4% 13.1% 17.6% 17.6% 15.9% Bid-Ask Spread % 3.31 2.02 15.11 15.11 3.04 Gamma HHI 0.24 0.19 0.29 0.19 0.22 Net GEX 52.5M 26.1M 116.9M 35.8M 43.2M Net DEX -330.6M -635.4M -165.3M -191.6M -224.3M Net VEX -9.4M -10.3M -8.3M -9.5M -9.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.25 3.00 1.17 1.11 Total Volume 148,793.714 56,961 500,100 101,182 109,613 Total OI 3,177,393.619 2,892,158 3,508,589 2,892,158 3,508,589
Daily Data (21 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 2015-04-01 $19.56 $19.50 15.5% 4.7% 16.2% 50.9% 16.0% 3.4% -0.3% 35.8M -191.6M -9.5M 1.17 15.11 46,571 54,611 1,428,861 1,463,297 2015-04-02 $19.69 $19.50 14.6% 4.3% 16.3% 45.4% 15.1% 2.8% 0.1% 44.4M -303.1M -9.5M 0.93 2.52 42,985 39,782 1,433,748 1,484,676 2015-04-06 $19.68 $19.50 15.0% 4.3% 16.0% 48.1% 14.8% 2.9% 0.2% 58.5M -310.6M -9.2M 0.52 2.42 38,294 19,759 1,451,945 1,481,398 2015-04-07 $19.62 $19.50 14.9% 4.2% 15.9% 47.3% 13.6% 4.3% -0.3% 44.9M -215.5M -9.1M 0.25 3.00 136,615 34,429 1,452,081 1,486,079 2015-04-08 $19.68 $19.50 14.5% 4.2% 13.8% 45.0% 17.8% 3.3% 0.4% 46.7M -271.9M -9.1M 1.64 4.82 21,583 35,378 1,451,715 1,495,254 2015-04-09 $19.70 $19.50 14.0% 4.0% 13.6% 41.8% 14.1% 2.9% 0.3% 36.7M -295.7M -8.3M 0.83 3.05 36,269 29,961 1,407,410 1,501,117 2015-04-10 $19.69 $19.50 14.1% 3.9% 11.1% 42.8% 13.8% 3.8% -0.8% 33.4M -308.6M -8.9M 1.02 2.85 62,925 64,355 1,425,084 1,513,554 2015-04-13 $19.76 $19.50 14.5% 4.3% 10.9% 45.1% 13.9% 2.8% -0.9% 45.7M -351.2M -9.1M 0.30 2.83 177,334 53,830 1,433,003 1,520,997 2015-04-14 $19.74 $19.50 14.2% 4.1% 10.3% 43.2% 13.3% 3.4% -1.6% 63.6M -396.0M -9.2M 0.64 2.58 65,674 41,785 1,562,034 1,520,603 2015-04-15 $19.84 $19.50 13.7% 3.9% 10.5% 40.0% 12.5% 3.1% -1.6% 87.9M -557.3M -9.0M 2.30 2.89 46,329 106,517 1,579,486 1,525,250 2015-04-16 $19.89 $19.50 13.1% 3.8% 10.4% 36.4% 12.6% 2.7% -0.8% 116.9M -635.4M -8.8M 1.35 2.31 191,008 257,065 1,574,956 1,537,395 2015-04-17 $19.59 $19.50 14.1% 4.0% 11.4% 42.4% 13.6% 3.0% 0.6% 42.9M -308.1M -9.6M 3.00 2.02 124,874 375,226 1,707,310 1,727,259 2015-04-20 $19.69 $19.50 13.4% 3.6% 11.1% 38.4% 12.2% 3.4% -0.6% 42.7M -252.9M -10.3M 2.10 2.68 34,562 72,587 1,617,165 1,718,510 2015-04-21 $19.60 $19.50 12.8% 3.7% 11.1% 34.7% 13.5% 2.3% 0.1% 26.1M -165.3M -9.7M 1.24 2.72 36,534 45,213 1,627,933 1,682,217 2015-04-22 $19.72 $19.50 12.8% 3.3% 11.1% 34.8% 12.4% 3.0% -0.1% 51.2M -360.9M -9.7M 0.92 2.28 46,625 42,867 1,642,662 1,688,914 2015-04-23 $19.76 $19.50 11.5% 3.3% 9.4% 27.2% 11.1% 2.9% -0.2% 58.4M -386.5M -9.6M 1.03 2.57 81,428 84,262 1,666,929 1,697,660 2015-04-24 $19.70 $19.50 11.4% 3.6% 9.5% 26.2% 12.4% 1.7% -1.2% 54.3M -343.6M -9.8M 0.79 2.58 40,030 31,612 1,719,664 1,748,295 2015-04-27 $19.63 $19.50 12.7% 3.6% 9.5% 34.1% 12.8% 2.9% 0.5% 42.7M -245.9M -9.3M 0.47 2.53 79,472 37,241 1,693,961 1,698,962 2015-04-28 $19.74 $19.50 12.0% 3.6% 8.3% 30.2% 12.6% 2.3% 0.2% 62.8M -400.5M -9.4M 1.21 2.27 56,547 68,626 1,699,474 1,712,131 2015-04-29 $19.76 $19.50 11.4% 3.6% 8.0% 26.4% 12.7% 3.9% 0.3% 64.2M -417.0M -9.7M 0.68 2.45 91,686 62,604 1,693,445 1,744,243 2015-04-30 $19.60 $19.50 14.0% 4.2% 8.5% 42.0% 13.9% 2.7% -0.0% 43.2M -224.3M -9.6M 1.11 3.04 51,931 57,682 1,759,360 1,749,229
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