XLF Options History — May 2015

In May 2015, XLF traded between $19.67 and $20.31. ATM implied volatility averaged 12.7%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.2% (HV 20d: 10.5%). Max pain ranged from $19.50 to $19.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.49.

Notable Days

2015-05-14: Highest Volume — 330,426 contracts
2015-05-26: Largest IV spike — 16.5% change
2015-05-06: Highest IV Rank — 46.4%
2015-05-07: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.04	$19.67	$20.31	$19.76	$19.98
Max Pain	$19.50	$19.50	$19.50	$19.50	$19.50
ATM IV	12.7%	11.3%	14.7%	12.7%	13.2%
Expected Move	3.7%	3.3%	4.3%	3.5%	3.8%
HV 20d	10.5%	8.7%	11.6%	8.7%	11.1%
HV 60d	12.0%	11.8%	12.2%	11.8%	12.2%
IV Rank	34.0%	26.0%	46.4%	34.3%	37.5%
IV Percentile	35.8%	9.9%	69.8%	36.1%	49.2%
Term Structure	0.2%	-0.4%	1.3%	0.4%	0.6%
VWIV	13.5%	12.2%	15.6%	12.4%	12.5%
Skew 25d	2.4%	1.1%	3.1%	1.1%	3.1%
Skew 10d	6.1%	1.5%	9.3%	1.5%	6.1%
Call IV 25d	11.8%	10.9%	12.9%	12.4%	11.4%
Put IV 25d	14.3%	13.1%	16.0%	13.5%	14.5%
Bid-Ask Spread %	4.05	2.15	11.24	2.65	11.24
Gamma HHI	0.31	0.23	0.41	0.26	0.32
Net GEX	106.1M	59.5M	199.1M	68.4M	85.3M
Net DEX	-753.6M	-1.06B	-365.2M	-418.9M	-588.9M
Net VEX	-9.6M	-10.1M	-9.1M	-9.3M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.11	4.10	0.85	2.63
Total Volume	152,013.65	58,693	330,426	95,550	135,236
Total OI	3,728,118.45	3,480,176	4,056,657	3,510,765	3,746,531

Daily Data (20 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
2015-05-01	$19.76	$19.50	12.7%	3.5%	8.7%	34.3%	12.4%	1.1%	0.4%	68.4M	-418.9M	-9.3M	0.85	2.65	51,573	43,977	1,755,002	1,755,763
2015-05-04	$19.97	$19.50	12.0%	3.6%	9.4%	30.1%	12.8%	1.6%	0.7%	111.9M	-724.2M	-9.2M	0.21	7.14	87,108	18,243	1,723,554	1,756,622
2015-05-05	$19.80	$19.50	12.8%	4.2%	9.9%	34.7%	15.6%	3.0%	0.2%	87.7M	-497.4M	-9.6M	0.88	3.03	78,093	68,482	1,777,994	1,761,743
2015-05-06	$19.67	$19.50	14.7%	4.3%	10.1%	46.4%	15.2%	3.0%	-0.2%	61.7M	-365.2M	-9.4M	0.63	2.63	77,101	48,570	1,792,004	1,789,009
2015-05-07	$19.84	$19.50	13.4%	4.3%	10.6%	38.4%	14.8%	2.8%	0.1%	107.4M	-567.4M	-9.5M	0.95	2.80	56,017	53,281	1,829,192	1,801,591
2015-05-08	$20.07	$19.50	12.4%	3.8%	11.3%	32.2%	13.4%	1.8%	0.7%	158.6M	-1.01B	-9.5M	1.13	8.96	95,210	107,733	1,847,488	1,813,475
2015-05-11	$20.02	$19.50	13.2%	3.7%	11.3%	37.1%	14.1%	2.4%	-0.3%	138.5M	-787.0M	-9.7M	0.94	7.08	30,216	28,477	1,818,230	1,886,594
2015-05-12	$19.98	$19.50	13.1%	3.8%	11.4%	36.5%	13.7%	2.3%	-0.1%	125.1M	-769.2M	-9.5M	0.46	2.51	137,285	63,761	1,824,088	1,909,190
2015-05-13	$19.98	$19.50	12.6%	3.8%	11.3%	33.7%	13.0%	2.5%	0.3%	135.4M	-769.9M	-9.9M	1.69	2.20	32,017	53,992	1,934,146	1,898,721
2015-05-14	$20.15	$19.50	12.4%	3.8%	11.6%	32.8%	14.4%	2.2%	1.0%	199.1M	-1.02B	-9.8M	1.10	2.15	157,526	172,900	1,937,477	1,902,413
2015-05-15	$20.06	$19.50	12.4%	3.6%	10.2%	32.6%	13.1%	2.3%	-0.2%	82.8M	-922.4M	-9.6M	1.54	2.32	128,035	197,225	2,040,123	2,016,534
2015-05-18	$20.19	$19.50	12.3%	3.6%	10.2%	32.0%	12.5%	2.5%	-0.1%	86.5M	-823.9M	-10.1M	0.11	5.19	75,865	8,455	1,763,790	1,946,270
2015-05-19	$20.31	$19.50	12.6%	3.6%	10.1%	33.5%	13.7%	2.9%	0.2%	113.6M	-1.06B	-10.1M	1.05	5.41	90,275	94,757	1,800,928	1,919,583
2015-05-20	$20.25	$19.50	12.6%	3.6%	10.1%	33.5%	13.4%	2.5%	-0.4%	101.1M	-923.6M	-9.7M	2.53	2.66	42,343	107,155	1,745,645	1,986,254
2015-05-21	$20.19	$19.50	12.5%	3.6%	10.2%	33.0%	13.2%	2.6%	0.1%	81.2M	-834.5M	-9.7M	0.56	2.44	73,942	41,423	1,759,843	2,058,369
2015-05-22	$20.18	$19.50	11.3%	3.3%	10.1%	26.0%	12.2%	2.7%	-0.4%	85.2M	-813.3M	-9.9M	0.88	3.22	45,866	40,552	1,788,286	2,063,837
2015-05-26	$20.00	$19.50	13.2%	3.8%	10.6%	37.1%	13.2%	2.5%	1.3%	59.5M	-486.5M	-9.5M	4.10	2.60	46,187	189,295	1,771,560	2,062,638
2015-05-27	$20.19	$19.50	11.9%	3.5%	10.9%	29.2%	12.8%	2.4%	0.8%	109.4M	-832.2M	-9.3M	3.73	2.36	31,606	117,933	1,784,577	2,057,781
2015-05-28	$20.17	$19.50	12.0%	3.5%	11.0%	30.3%	13.4%	2.0%	-0.2%	123.3M	-847.4M	-9.1M	3.73	2.46	23,774	88,787	1,780,206	1,955,318
2015-05-29	$19.98	$19.50	13.2%	3.8%	11.1%	37.5%	12.5%	3.1%	0.6%	85.3M	-588.9M	-9.2M	2.63	11.24	37,272	97,964	1,783,597	1,962,934