XLF Options History — June 2015

In June 2015, XLF traded between $19.76 and $20.51. ATM implied volatility averaged 13.4%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.4% (HV 20d: 11.0%). Max pain ranged from $19.50 to $20.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2015-06-18: Highest Volume — 487,073 contracts
2015-06-04: Largest IV spike — 25.3% change
2015-06-29: Highest IV Rank — 58.3%
2015-06-29: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.20	$19.76	$20.51	$20.00	$19.87
Max Pain	$19.94	$19.50	$20.31	$19.50	$20.31
ATM IV	13.4%	12.0%	16.7%	13.3%	16.4%
Expected Move	3.9%	3.4%	5.0%	3.7%	4.9%
HV 20d	11.0%	9.6%	14.1%	10.8%	14.1%
HV 60d	10.8%	10.1%	12.1%	12.1%	11.2%
IV Rank	38.6%	30.3%	58.3%	37.6%	56.4%
IV Percentile	47.3%	21.0%	87.3%	49.6%	85.3%
Term Structure	0.1%	-1.1%	2.4%	-0.0%	-0.2%
VWIV	14.2%	12.3%	21.0%	13.6%	17.4%
Skew 25d	2.9%	1.5%	5.0%	3.5%	3.7%
Skew 10d	5.6%	1.7%	9.9%	8.1%	5.4%
Call IV 25d	12.6%	10.8%	15.6%	11.8%	15.4%
Put IV 25d	15.6%	13.6%	20.5%	15.3%	19.1%
Bid-Ask Spread %	5.54	1.81	20.09	18.33	8.67
Gamma HHI	0.33	0.20	0.45	0.34	0.20
Net GEX	130.0M	30.6M	263.5M	90.0M	35.1M
Net DEX	-853.8M	-1.64B	-107.0M	-540.0M	-234.0M
Net VEX	-10.6M	-12.3M	-8.8M	-8.8M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.21	2.88	2.60	0.97
Total Volume	207,966.136	76,218	487,073	113,653	162,363
Total OI	3,979,225.727	3,462,267	4,584,971	3,738,524	3,885,061

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
2015-06-01	$20.00	$19.50	13.3%	3.7%	10.8%	37.6%	13.6%	3.5%	-0.0%	90.0M	-540.0M	-8.8M	2.60	18.33	31,535	82,118	1,773,523	1,965,001
2015-06-02	$20.00	$19.50	12.8%	3.9%	10.1%	34.8%	12.9%	3.4%	0.5%	92.1M	-623.7M	-8.8M	0.70	20.09	64,768	45,259	1,776,548	1,960,295
2015-06-03	$20.19	$19.50	12.4%	3.6%	10.1%	32.4%	12.6%	2.5%	0.1%	141.0M	-924.8M	-8.8M	1.10	19.22	95,353	104,539	1,815,442	1,984,473
2015-06-04	$20.01	$19.50	15.5%	3.7%	10.4%	51.2%	13.6%	3.6%	-0.7%	95.5M	-560.1M	-9.4M	1.26	3.29	51,280	64,435	1,848,716	1,998,915
2015-06-05	$20.14	$19.50	12.4%	3.8%	10.3%	32.7%	17.7%	2.8%	-0.4%	99.2M	-721.7M	-9.4M	0.55	2.18	308,395	169,563	1,873,849	2,021,098
2015-06-08	$20.03	$19.50	12.9%	4.0%	9.6%	35.3%	14.0%	2.3%	2.4%	111.6M	-707.9M	-10.0M	0.60	1.84	65,255	39,433	2,037,234	2,014,911
2015-06-09	$20.06	$19.50	13.4%	3.7%	9.6%	38.3%	13.4%	2.1%	0.5%	111.9M	-810.2M	-9.9M	0.53	2.16	64,355	34,175	2,007,944	2,022,567
2015-06-10	$20.36	$19.50	12.7%	3.7%	10.8%	34.4%	13.5%	2.9%	0.3%	176.0M	-1.29B	-9.8M	0.49	2.45	186,106	90,454	2,050,496	2,025,767
2015-06-11	$20.41	$19.50	12.9%	3.8%	10.8%	35.5%	13.2%	2.1%	-0.1%	194.8M	-1.43B	-9.6M	2.88	1.99	69,316	199,710	2,066,503	2,045,668
2015-06-12	$20.34	$19.50	12.9%	3.9%	10.5%	35.2%	13.8%	1.5%	1.5%	172.2M	-1.18B	-10.3M	0.76	2.53	130,170	99,199	2,022,984	2,195,788
2015-06-15	$20.25	$20.31	14.1%	4.0%	10.5%	42.6%	15.5%	2.7%	0.0%	142.7M	-1.11B	-10.1M	0.56	2.33	120,147	66,785	2,060,231	2,218,098
2015-06-16	$20.37	$20.31	13.9%	4.0%	10.5%	41.5%	14.1%	2.5%	0.5%	191.9M	-1.28B	-10.5M	0.53	1.99	170,988	90,450	2,132,160	2,262,616
2015-06-17	$20.33	$20.31	13.9%	4.0%	10.3%	41.2%	15.2%	3.1%	-0.1%	263.4M	-1.27B	-11.3M	1.19	2.13	72,194	86,155	2,261,315	2,280,453
2015-06-18	$20.51	$20.31	12.6%	3.6%	10.7%	33.9%	12.5%	1.9%	-0.2%	189.7M	-1.64B	-11.0M	0.29	1.81	377,910	109,163	2,272,582	2,312,389
2015-06-19	$20.26	$20.31	12.3%	3.5%	11.6%	31.9%	12.3%	2.6%	0.1%	263.5M	-659.2M	-11.3M	0.77	2.40	118,490	90,712	1,981,506	2,323,035
2015-06-22	$20.41	$20.31	13.2%	3.5%	11.9%	37.0%	12.4%	2.7%	-1.1%	99.2M	-828.9M	-11.7M	0.21	2.45	196,039	41,642	1,872,882	1,589,385
2015-06-23	$20.46	$20.31	12.0%	3.4%	11.4%	30.3%	13.9%	2.8%	-0.5%	116.7M	-977.7M	-12.1M	0.51	2.30	212,703	109,486	1,982,995	1,601,998
2015-06-24	$20.30	$20.31	13.0%	3.5%	11.4%	36.1%	12.8%	3.1%	-0.4%	90.6M	-740.2M	-12.2M	1.34	2.74	32,585	43,633	2,019,000	1,687,146
2015-06-25	$20.16	$20.31	12.7%	3.8%	11.6%	34.2%	14.0%	4.1%	0.3%	75.2M	-558.1M	-12.3M	2.27	2.99	26,433	59,900	2,040,847	1,701,530
2015-06-26	$20.23	$20.31	13.5%	3.9%	11.2%	38.7%	13.9%	3.4%	-0.0%	76.1M	-601.8M	-12.3M	1.23	5.57	36,423	44,754	2,053,575	1,730,243
2015-06-29	$19.76	$20.31	16.7%	5.0%	14.0%	58.3%	21.0%	5.0%	0.0%	30.6M	-107.0M	-12.0M	0.56	12.47	199,666	111,216	2,045,393	1,720,804
2015-06-30	$19.87	$20.31	16.4%	4.9%	14.1%	56.4%	17.4%	3.7%	-0.2%	35.1M	-234.0M	-12.3M	0.97	8.67	82,520	79,843	2,094,475	1,790,586