XLF Options History — September 2015

In September 2015, XLF traded between $18.14 and $19.12. ATM implied volatility averaged 23.0%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 5.8% (HV 20d: 28.8%). Max pain ranged from $18.68 to $20.31. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.95.

Notable Days

  • 2015-09-03: Highest Volume — 410,338 contracts
  • 2015-09-28: Largest IV spike — 20.6% change
  • 2015-09-01: Highest IV Rank — 88.2%
  • 2015-09-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.58$18.14$19.12$18.38$18.40
Max Pain$19.13$18.68$20.31$20.31$18.68
ATM IV23.0%18.2%30.0%30.0%23.8%
Expected Move6.6%5.2%9.4%9.4%6.8%
HV 20d28.8%25.0%31.7%27.7%25.7%
HV 60d20.6%19.3%21.6%19.3%21.6%
IV Rank61.6%43.2%88.2%88.2%64.6%
IV Percentile94.0%86.9%99.6%99.6%96.0%
Term Structure-0.0%-1.8%3.9%-0.9%-0.6%
VWIV23.9%18.0%33.0%33.0%24.2%
Skew 25d6.8%5.5%8.3%8.3%6.9%
Skew 10d14.1%7.8%18.1%15.7%15.4%
Call IV 25d20.6%17.6%26.9%26.9%20.6%
Put IV 25d27.4%23.3%35.1%35.1%27.5%
Bid-Ask Spread %10.782.3149.6819.487.76
Gamma HHI0.160.140.190.160.15
Net GEX-50.6M-79.2M-11.6M-47.2M-75.5M
Net DEX1.20B669.0M1.62B1.41B1.31B
Net VEX-10.3M-11.4M-9.0M-10.5M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.356.762.513.91
Total Volume202,404.55110,582410,338271,179113,663
Total OI4,739,346.953,978,8575,094,1444,515,4124,854,934

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$18.38$20.3130.0%9.4%27.7%88.2%33.0%8.3%-0.9%-47.2M1.41B-10.5M2.5119.4877,330193,8492,278,7742,236,638
2015-09-02$18.63$20.3125.7%7.9%28.3%71.8%32.6%7.3%-1.0%-51.1M1.24B-10.4M5.2319.8736,929193,3002,306,5212,296,251
2015-09-03$18.78$19.5023.6%6.6%28.7%63.9%25.1%6.7%-0.6%-54.9M1.19B-10.5M1.662.65154,110256,2282,319,5282,385,640
2015-09-04$18.46$19.5027.2%7.0%29.0%77.5%25.3%8.3%-1.8%-53.8M1.45B-10.5M2.275.2968,516155,3932,419,0162,381,640
2015-09-08$18.87$19.5023.1%6.6%30.1%61.9%20.8%6.2%-0.7%-52.9M1.05B-10.4M0.355.82128,11144,5662,398,8102,418,541
2015-09-09$18.59$19.5022.8%6.8%30.2%60.5%26.3%7.0%0.9%-54.8M1.32B-10.4M1.462.8356,45282,5022,510,7252,434,976
2015-09-10$18.68$19.5023.2%6.5%30.4%62.2%24.4%6.9%0.0%-58.0M1.23B-10.4M1.932.3145,82288,3162,520,9742,461,035
2015-09-11$18.72$19.5022.5%6.5%30.3%59.5%25.4%6.4%0.0%-71.1M1.25B-10.4M2.453.0536,87590,1702,533,3572,466,045
2015-09-14$18.70$19.5022.7%6.5%30.1%60.5%24.3%6.8%-0.8%-57.2M1.25B-10.0M5.206.4117,82592,7572,517,3102,446,211
2015-09-15$19.01$18.6821.7%6.3%31.0%56.5%21.6%6.2%-1.4%-30.7M887.5M-9.9M0.528.8378,10040,3032,521,6162,430,534
2015-09-16$19.12$18.6818.2%5.2%31.1%43.2%19.3%7.0%1.5%-11.6M669.0M-10.1M1.777.0147,59384,3852,574,4482,453,288
2015-09-17$18.85$18.6820.6%5.8%31.3%52.3%18.0%5.7%3.9%-43.4M1.04B-9.5M1.1526.4097,951112,9312,586,7242,448,625
2015-09-18$18.40$18.6820.7%5.8%31.7%52.8%21.4%6.8%1.1%-33.6M1.62B-9.0M6.7649.6838,503260,2212,616,6062,477,538
2015-09-21$18.62$18.6819.4%5.5%30.7%47.5%19.4%5.7%-0.0%-25.2M787.8M-9.3M2.057.0542,65787,4862,027,6441,951,213
2015-09-23$18.39$18.6821.4%6.1%27.1%55.3%21.0%5.5%0.4%-43.6M1.01B-9.3M6.426.5538,290245,8842,072,5342,080,301
2015-09-24$18.25$18.6822.5%6.5%26.8%59.6%23.0%6.0%0.4%-53.3M1.21B-10.3M3.546.9448,839173,1142,099,0222,279,728
2015-09-25$18.53$18.6821.0%6.0%25.9%53.9%21.7%6.3%0.5%-45.3M998.7M-10.7M3.068.1079,385242,6502,118,1362,372,277
2015-09-28$18.14$18.6825.3%7.3%25.0%70.4%25.8%8.1%-0.8%-69.7M1.45B-11.1M4.7912.3346,192221,4662,112,7272,551,691
2015-09-29$18.16$18.6825.1%7.2%25.1%69.4%26.1%7.9%-0.5%-79.2M1.53B-11.2M1.977.1543,56885,8592,131,1222,694,239
2015-09-30$18.40$18.6823.8%6.8%25.7%64.6%24.2%6.9%-0.6%-75.5M1.31B-11.4M3.917.7623,16290,5012,157,9902,696,944