XLF Options History — August 2015 In August 2015, XLF traded between $18.30 and $20.65. ATM implied volatility averaged 17.9%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.7% (HV 20d: 14.2%). Max pain ranged from $20.31 to $20.31. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.30.
Notable Days 2015-08-25 : Highest Volume — 424,790 contracts2015-08-24 : Largest IV spike — 39.6% change2015-08-24 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $19.92 $18.30 $20.65 $20.40 $19.10 Max Pain $20.31 $20.31 $20.31 $20.31 $20.31 ATM IV 17.9% 11.6% 33.0% 13.7% 24.1% Expected Move 5.4% 3.4% 10.2% 3.6% 7.6% HV 20d 14.2% 9.4% 24.8% 12.2% 24.8% HV 60d 13.5% 11.7% 17.9% 12.0% 17.7% IV Rank 53.6% 27.3% 100.0% 39.9% 65.8% IV Percentile 67.0% 8.7% 100.0% 49.6% 98.8% Term Structure -0.3% -2.3% 2.4% -1.2% -0.5% VWIV 19.1% 11.4% 36.6% 12.9% 27.3% Skew 25d 4.9% 2.4% 10.5% 3.4% 7.5% Skew 10d 9.8% 4.2% 22.1% 5.6% 16.4% Call IV 25d 16.0% 10.8% 28.5% 12.5% 20.8% Put IV 25d 20.9% 14.5% 39.0% 15.9% 28.2% Bid-Ask Spread % 19.28 2.46 41.28 9.32 18.49 Gamma HHI 0.29 0.16 0.44 0.37 0.16 Net GEX 34.0M -56.6M 128.3M 89.7M -32.2M Net DEX -21.1M -1.01B 1.54B -692.6M 831.2M Net VEX -10.7M -11.6M -9.5M -11.6M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.30 0.24 8.19 2.04 2.35 Total Volume 215,376.857 44,089 424,790 44,089 85,096 Total OI 4,327,127.714 4,116,771 4,525,810 4,190,617 4,476,800
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 2015-08-03 $20.40 $20.31 13.7% 3.6% 12.2% 39.9% 12.9% 3.4% -1.2% 89.7M -692.6M -11.6M 2.04 9.32 14,517 29,572 2,174,362 2,016,255 2015-08-04 $20.41 $20.31 13.3% 3.6% 12.2% 37.6% 12.6% 3.7% -0.1% 83.5M -657.3M -11.1M 0.46 6.27 75,763 35,199 2,179,260 2,037,930 2015-08-05 $20.50 $20.31 13.0% 3.4% 10.4% 36.0% 11.4% 3.0% -0.1% 104.1M -771.5M -11.2M 0.30 5.88 66,560 20,243 2,209,549 2,048,807 2015-08-06 $20.45 $20.31 13.5% 4.1% 10.2% 39.2% 13.7% 3.3% 0.0% 94.5M -683.3M -11.5M 0.48 2.46 126,512 61,039 2,214,903 2,054,839 2015-08-07 $20.45 $20.31 13.3% 4.0% 9.7% 37.8% 14.0% 2.4% 0.1% 85.7M -683.7M -10.4M 2.49 2.78 61,012 151,722 2,123,415 2,080,276 2015-08-10 $20.65 $20.31 11.6% 3.9% 9.4% 27.3% 12.2% 3.8% 2.4% 128.3M -1.01B -10.6M 0.24 2.75 174,900 41,455 2,130,318 2,136,881 2015-08-11 $20.43 $20.31 13.5% 4.3% 10.2% 38.9% 13.7% 3.9% 1.5% 93.0M -684.0M -10.8M 1.71 5.60 147,125 250,856 2,166,059 2,129,423 2015-08-12 $20.30 $20.31 14.0% 4.4% 10.1% 42.2% 14.3% 2.9% 0.7% 29.1M -286.5M -10.9M 2.20 8.31 83,489 183,583 2,135,467 2,110,646 2015-08-13 $20.37 $20.31 13.5% 4.3% 9.5% 39.2% 17.9% 3.4% 1.8% 45.2M -503.7M -10.5M 8.19 38.26 16,338 133,789 2,147,547 2,152,874 2015-08-14 $20.50 $20.31 13.1% 4.1% 9.7% 36.5% 14.2% 3.8% 2.3% 74.4M -646.1M -10.6M 3.09 37.96 62,639 193,698 2,149,468 2,171,845 2015-08-17 $20.54 $20.31 13.7% 4.1% 9.8% 39.9% 14.5% 4.2% -1.3% 80.2M -727.6M -10.6M 1.53 40.15 45,449 69,352 2,144,147 2,212,368 2015-08-18 $20.53 $20.31 14.5% 4.3% 9.8% 45.1% 15.1% 4.2% -2.3% 77.6M -694.3M -10.5M 3.01 38.59 28,845 86,720 2,163,585 2,231,178 2015-08-19 $20.31 $20.31 15.4% 4.4% 10.2% 50.4% 17.0% 4.3% -0.6% 20.0M -302.0M -10.7M 5.80 41.28 10,042 58,212 2,172,901 2,250,716 2015-08-20 $19.94 $20.31 18.2% 5.2% 11.6% 67.1% 18.3% 4.5% -0.1% -22.2M 248.3M -10.5M 1.02 39.09 118,687 121,114 2,174,926 2,289,815 2015-08-21 $19.36 $20.31 23.7% 6.9% 15.2% 99.7% 26.5% 7.8% -2.2% -23.7M 1.14B -10.8M 3.29 37.94 91,791 301,815 2,183,129 2,309,032 2015-08-24 $18.56 $20.31 33.0% 10.2% 20.6% 100.0% 36.6% 10.5% -1.9% -35.5M 1.23B -10.4M 3.90 18.91 81,338 317,018 2,067,205 2,049,566 2015-08-25 $18.30 $20.31 27.9% 8.6% 20.4% 80.4% 29.2% 8.3% -1.5% -56.6M 1.54B -9.5M 3.33 19.43 97,996 326,794 2,098,247 2,143,924 2015-08-26 $18.75 $20.31 25.9% 8.1% 22.5% 72.8% 29.9% 6.8% -1.1% -53.2M 1.27B -10.2M 1.42 12.41 113,813 161,968 2,135,076 2,219,882 2015-08-27 $19.22 $20.31 23.8% 7.6% 24.8% 64.7% 25.1% 6.3% -1.0% -38.2M 838.4M -10.9M 0.96 9.78 135,524 129,984 2,179,436 2,271,815 2015-08-28 $19.18 $20.31 23.7% 7.5% 24.8% 64.3% 24.7% 5.3% -1.1% -29.1M 800.6M -10.8M 0.59 9.31 133,239 78,106 2,249,676 2,276,134 2015-08-31 $19.10 $20.31 24.1% 7.6% 24.8% 65.8% 27.3% 7.5% -0.5% -32.2M 831.2M -10.7M 2.35 18.49 25,428 59,668 2,244,423 2,232,377
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