XLF Options History — July 2015

In July 2015, XLF traded between $19.65 and $20.76. ATM implied volatility averaged 14.3%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.1% (HV 20d: 14.2%). 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 16 of 22 days. Put/call ratio averaged 2.06.

Notable Days

2015-07-28: Highest Volume — 311,184 contracts
2015-07-29: Largest IV drop — 12.8% change
2015-07-08: Highest IV Rank — 68.8%
2015-07-08: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.32	$19.65	$20.76	$20.07	$20.44
Max Pain	$19.98	$19.50	$20.31	$20.31	$20.31
ATM IV	14.3%	11.7%	18.5%	16.5%	13.0%
Expected Move	4.1%	3.2%	5.4%	5.0%	3.5%
HV 20d	14.2%	12.2%	15.6%	14.2%	12.3%
HV 60d	12.0%	11.4%	12.4%	11.4%	12.1%
IV Rank	43.6%	28.0%	68.8%	57.0%	36.1%
IV Percentile	52.2%	12.7%	95.2%	86.1%	36.5%
Term Structure	0.4%	-0.4%	1.7%	0.6%	0.1%
VWIV	15.2%	11.9%	20.0%	16.1%	11.9%
Skew 25d	3.5%	2.2%	5.7%	4.2%	2.7%
Skew 10d	7.0%	4.2%	13.7%	5.9%	4.6%
Call IV 25d	13.2%	10.3%	17.2%	14.6%	12.0%
Put IV 25d	16.8%	13.8%	23.0%	18.8%	14.7%
Bid-Ask Spread %	6.45	2.19	15.89	9.76	8.93
Gamma HHI	0.31	0.18	0.43	0.22	0.36
Net GEX	94.7M	18.2M	151.9M	60.5M	96.3M
Net DEX	-792.6M	-1.44B	-24.9M	-551.3M	-733.7M
Net VEX	-11.9M	-12.5M	-11.4M	-12.5M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.46	7.82	0.97	0.55
Total Volume	162,498.045	90,972	311,184	167,890	135,524
Total OI	4,063,582.682	3,851,744	4,248,352	3,911,574	4,241,285

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
2015-07-01	$20.07	$20.31	16.5%	5.0%	14.2%	57.0%	16.1%	4.2%	0.6%	60.5M	-551.3M	-12.5M	0.97	9.76	85,109	82,781	2,105,363	1,806,211
2015-07-02	$20.02	$20.31	16.7%	5.1%	13.8%	58.2%	16.8%	4.1%	-0.3%	55.0M	-429.8M	-12.4M	0.75	12.12	109,294	81,806	2,113,516	1,833,419
2015-07-06	$19.95	$19.50	17.1%	4.7%	13.7%	60.5%	19.0%	3.9%	-0.0%	51.8M	-372.0M	-12.5M	2.64	2.94	30,774	81,183	2,155,418	1,840,949
2015-07-07	$19.98	$19.50	16.9%	4.6%	13.5%	59.5%	18.0%	4.0%	0.2%	54.8M	-410.6M	-12.3M	1.59	3.69	56,379	89,410	2,159,013	1,845,349
2015-07-08	$19.65	$19.50	18.5%	5.4%	14.7%	68.8%	18.5%	5.7%	0.6%	18.2M	-24.9M	-12.2M	1.06	2.61	86,505	91,277	2,181,165	1,873,122
2015-07-09	$19.81	$19.50	17.1%	5.4%	14.0%	60.4%	20.0%	4.4%	-0.4%	32.3M	-231.1M	-12.3M	4.37	3.08	20,982	91,676	2,203,193	1,916,084
2015-07-10	$20.02	$19.50	16.3%	4.4%	14.5%	55.6%	19.7%	4.8%	0.6%	57.3M	-433.8M	-12.3M	2.84	3.08	39,905	113,154	2,207,310	1,931,694
2015-07-13	$20.26	$19.50	14.4%	4.0%	15.2%	44.4%	19.5%	2.6%	-0.4%	97.9M	-730.4M	-12.1M	7.82	2.19	18,043	141,011	2,211,059	1,962,066
2015-07-14	$20.31	$19.50	13.2%	3.8%	15.1%	37.3%	14.7%	2.8%	-0.3%	123.8M	-871.0M	-11.9M	5.66	2.45	14,104	79,796	2,206,167	2,016,982
2015-07-15	$20.47	$19.50	12.9%	3.9%	15.3%	35.4%	14.3%	3.0%	1.2%	143.7M	-1.15B	-11.6M	0.82	2.49	95,784	78,502	2,212,112	1,999,215
2015-07-16	$20.67	$19.50	11.7%	3.7%	15.6%	28.0%	12.5%	3.8%	1.7%	151.9M	-1.44B	-11.7M	1.24	3.54	75,565	93,339	2,221,253	2,020,627
2015-07-17	$20.63	$20.31	12.0%	3.7%	15.4%	29.9%	12.9%	2.3%	1.2%	132.3M	-1.40B	-11.4M	1.50	5.57	71,636	107,359	2,198,374	2,049,978
2015-07-20	$20.64	$20.31	12.1%	3.5%	14.6%	30.5%	12.7%	2.2%	0.3%	135.9M	-1.22B	-11.6M	1.75	9.56	33,127	57,845	2,100,434	1,753,984
2015-07-21	$20.64	$20.31	12.3%	3.5%	14.4%	31.9%	12.6%	2.9%	0.4%	136.5M	-1.19B	-11.9M	2.75	6.62	28,473	78,402	2,121,753	1,729,991
2015-07-22	$20.76	$20.31	12.1%	3.5%	14.5%	30.8%	12.5%	2.4%	0.4%	147.2M	-1.40B	-11.5M	1.14	8.49	122,302	139,109	2,130,606	1,743,055
2015-07-23	$20.58	$20.31	12.9%	3.7%	14.6%	35.3%	13.9%	3.8%	-0.0%	128.8M	-1.08B	-11.9M	1.54	9.96	68,725	105,541	2,159,536	1,812,790
2015-07-24	$20.43	$20.31	13.9%	3.9%	14.6%	41.3%	14.8%	4.1%	0.7%	102.3M	-879.2M	-11.7M	0.88	8.96	118,363	104,471	2,160,680	1,812,452
2015-07-27	$20.24	$20.31	14.8%	4.1%	15.0%	46.6%	15.1%	3.8%	0.0%	71.7M	-553.9M	-11.6M	0.46	7.79	79,126	36,020	2,143,729	1,836,273
2015-07-28	$20.37	$20.31	14.4%	4.0%	12.4%	44.4%	13.5%	3.9%	1.0%	88.7M	-729.0M	-11.6M	3.10	6.50	75,940	235,244	2,147,844	1,841,269
2015-07-29	$20.53	$20.31	12.6%	3.4%	12.6%	33.4%	12.6%	3.7%	0.8%	99.2M	-787.0M	-12.0M	1.15	15.89	88,423	101,748	2,157,147	2,021,610
2015-07-30	$20.54	$20.31	12.7%	3.2%	12.2%	34.4%	13.0%	3.0%	0.6%	98.0M	-825.6M	-12.0M	0.70	5.60	77,290	53,910	2,156,604	2,058,138
2015-07-31	$20.44	$20.31	13.0%	3.5%	12.3%	36.1%	11.9%	2.7%	0.1%	96.3M	-733.7M	-11.7M	0.55	8.93	87,417	48,107	2,174,118	2,067,167