XLF Options History — October 2015

In October 2015, XLF traded between $18.28 and $19.87. ATM implied volatility averaged 17.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.9% (HV 20d: 19.4%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.70.

Notable Days

2015-10-13: Highest Volume — 409,144 contracts
2015-10-05: Largest IV drop — 12.8% change
2015-10-01: Highest IV Rank — 64.7%
2015-10-01: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.09	$18.28	$19.87	$18.28	$19.59
Max Pain	$18.68	$18.68	$18.68	$18.68	$18.68
ATM IV	17.5%	14.3%	23.8%	23.8%	15.3%
Expected Move	5.1%	4.3%	6.7%	6.7%	4.6%
HV 20d	19.4%	15.7%	22.8%	21.9%	17.8%
HV 60d	22.2%	21.5%	23.1%	21.6%	23.1%
IV Rank	40.4%	28.3%	64.7%	64.7%	31.8%
IV Percentile	73.7%	50.4%	96.0%	96.0%	61.1%
Term Structure	-0.1%	-1.5%	1.7%	-0.6%	0.5%
VWIV	18.3%	15.3%	24.1%	24.1%	16.8%
Skew 25d	4.7%	3.0%	7.5%	7.5%	3.4%
Skew 10d	9.9%	4.3%	15.8%	11.9%	4.3%
Call IV 25d	15.5%	13.2%	20.4%	20.4%	13.8%
Put IV 25d	20.2%	16.4%	27.9%	27.9%	17.1%
Bid-Ask Spread %	7.48	2.49	33.28	8.85	9.13
Gamma HHI	0.15	0.13	0.26	0.15	0.14
Net GEX	-42.6M	-110.8M	40.9M	-79.8M	-2.7M
Net DEX	609.8M	-339.6M	1.42B	1.42B	-21.3M
Net VEX	-10.5M	-11.4M	-9.7M	-11.4M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.70	0.45	5.50	4.85	0.93
Total Volume	155,885.955	55,788	409,144	73,528	80,676
Total OI	4,928,309.909	4,597,774	5,413,083	4,866,265	5,046,439

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
2015-10-01	$18.28	$18.68	23.8%	6.7%	21.9%	64.7%	24.1%	7.5%	-0.6%	-79.8M	1.42B	-11.4M	4.85	8.85	12,570	60,958	2,159,856	2,706,409
2015-10-02	$18.39	$18.68	22.5%	6.3%	21.4%	59.5%	22.3%	6.3%	-0.7%	-77.5M	1.33B	-11.3M	4.22	9.92	26,741	112,950	2,177,187	2,715,137
2015-10-05	$18.82	$18.68	19.6%	5.6%	22.8%	48.5%	20.1%	5.4%	0.0%	-55.5M	878.9M	-10.9M	2.57	5.15	19,366	49,708	2,149,719	2,696,960
2015-10-06	$18.74	$18.68	19.6%	5.5%	22.0%	48.5%	17.2%	6.1%	-0.4%	-58.9M	987.6M	-10.9M	2.04	3.66	46,176	94,412	2,156,698	2,743,511
2015-10-07	$18.87	$18.68	19.3%	5.5%	20.7%	47.2%	19.1%	5.4%	-0.3%	-47.8M	862.8M	-10.9M	5.50	3.28	24,460	134,522	2,166,826	2,749,584
2015-10-08	$18.98	$18.68	17.8%	5.5%	20.0%	41.7%	20.1%	4.9%	0.5%	-40.9M	641.8M	-10.6M	3.94	4.15	38,257	150,695	2,167,681	2,785,722
2015-10-09	$18.85	$18.68	18.8%	5.4%	20.2%	45.5%	19.6%	5.1%	-0.1%	-56.0M	876.5M	-10.7M	2.88	3.24	33,323	95,922	2,185,583	2,817,371
2015-10-12	$18.89	$18.68	17.9%	5.0%	20.2%	42.0%	18.2%	4.9%	-0.4%	-62.5M	824.6M	-10.0M	2.85	2.49	29,666	84,584	2,187,872	2,822,133
2015-10-13	$18.78	$18.68	19.0%	5.6%	20.3%	46.1%	18.4%	6.0%	1.4%	-69.6M	923.3M	-10.2M	3.28	4.16	95,559	313,585	2,200,516	2,834,834
2015-10-14	$18.59	$18.68	18.6%	5.2%	19.7%	44.5%	19.9%	6.0%	0.2%	-110.8M	1.30B	-11.2M	5.26	3.45	49,315	259,401	2,251,220	3,101,481
2015-10-15	$19.03	$18.68	16.7%	5.2%	21.3%	37.5%	19.4%	5.1%	1.7%	-55.1M	737.5M	-10.8M	2.51	7.83	45,990	115,320	2,256,667	3,114,563
2015-10-16	$19.13	$18.68	15.6%	4.4%	20.8%	33.0%	17.0%	4.0%	-1.0%	40.9M	528.6M	-10.7M	0.87	5.70	93,940	81,279	2,270,746	3,142,337
2015-10-19	$19.11	$18.68	15.4%	4.4%	18.6%	32.5%	16.3%	4.6%	-0.2%	-73.9M	693.9M	-10.4M	4.01	7.09	19,450	77,974	1,694,954	2,902,820
2015-10-20	$19.20	$18.68	15.7%	4.5%	18.2%	33.5%	16.1%	4.0%	-0.6%	-65.1M	626.9M	-10.5M	2.91	6.64	16,959	49,316	1,697,295	2,928,559
2015-10-21	$19.07	$18.68	16.3%	4.7%	17.8%	36.0%	17.8%	4.5%	-1.1%	-67.7M	687.9M	-10.5M	3.71	8.68	11,836	43,952	1,720,321	2,937,911
2015-10-22	$19.40	$18.68	16.5%	4.8%	18.3%	36.4%	18.1%	4.0%	-1.5%	-46.0M	353.4M	-10.2M	0.89	10.21	70,986	63,309	1,722,963	2,943,247
2015-10-23	$19.60	$18.68	16.0%	4.6%	17.9%	34.6%	16.2%	3.0%	-0.1%	-20.2M	46.3M	-10.1M	0.49	7.58	180,808	89,389	1,762,232	2,973,421
2015-10-26	$19.54	$18.68	16.0%	4.7%	15.7%	34.6%	16.9%	3.8%	0.1%	-10.5M	118.2M	-10.2M	0.86	5.43	62,401	53,460	1,858,761	2,968,992
2015-10-27	$19.42	$18.68	15.5%	4.6%	16.1%	32.7%	17.3%	3.5%	-0.1%	-21.1M	275.9M	-10.1M	2.77	7.25	45,655	126,395	1,829,142	2,966,008
2015-10-28	$19.87	$18.68	14.3%	4.3%	17.2%	28.3%	15.3%	3.2%	0.5%	16.0M	-333.9M	-9.7M	0.45	33.28	146,339	65,218	1,857,243	3,041,714
2015-10-29	$19.82	$18.68	14.5%	4.4%	16.9%	28.8%	16.9%	3.4%	0.7%	26.8M	-339.6M	-10.1M	1.52	7.40	62,232	94,437	1,946,321	3,063,862
2015-10-30	$19.59	$18.68	15.3%	4.6%	17.8%	31.8%	16.8%	3.4%	0.5%	-2.7M	-21.3M	-10.6M	0.93	9.13	41,866	38,810	1,947,512	3,098,927