XLF Options History — November 2015

In November 2015, XLF traded between $19.42 and $20.12. ATM implied volatility averaged 16.6%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.4% (HV 20d: 17.0%). Max pain ranged from $18.68 to $19.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.04.

Notable Days

2015-11-04: Highest Volume — 636,123 contracts
2015-11-09: Largest IV spike — 15.4% change
2015-11-17: Highest IV Rank — 48.5%
2015-11-17: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.86	$19.42	$20.12	$19.85	$19.91
Max Pain	$19.43	$18.68	$19.50	$18.68	$19.50
ATM IV	16.6%	14.6%	19.6%	15.3%	15.9%
Expected Move	5.0%	4.4%	5.7%	4.4%	5.2%
HV 20d	17.0%	14.8%	18.5%	16.6%	14.8%
HV 60d	22.2%	18.1%	23.8%	23.3%	18.1%
IV Rank	37.1%	29.4%	48.5%	32.0%	34.3%
IV Percentile	70.0%	54.4%	87.3%	61.5%	62.3%
Term Structure	0.2%	-1.5%	2.7%	0.6%	0.1%
VWIV	18.3%	16.0%	23.6%	17.3%	18.7%
Skew 25d	4.2%	2.9%	4.9%	3.0%	4.7%
Skew 10d	8.7%	4.4%	13.0%	13.0%	8.6%
Call IV 25d	15.2%	13.8%	17.4%	14.3%	14.0%
Put IV 25d	19.4%	17.3%	21.9%	17.3%	18.7%
Bid-Ask Spread %	6.44	4.21	9.89	9.89	6.95
Gamma HHI	0.21	0.14	0.25	0.14	0.25
Net GEX	41.6M	-12.8M	91.0M	23.1M	32.2M
Net DEX	-475.9M	-1.10B	403.2M	-315.6M	-360.4M
Net VEX	-11.4M	-12.5M	-9.7M	-10.0M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.16	13.29	0.23	1.50
Total Volume	190,281.579	22,530	636,123	341,021	22,530
Total OI	5,950,190.105	4,792,523	6,299,272	4,792,523	5,819,088

Daily Data (19 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
2015-11-02	$19.85	$18.68	15.3%	4.4%	16.6%	32.0%	17.3%	3.0%	0.6%	23.1M	-315.6M	-10.0M	0.23	9.89	276,492	64,529	1,918,248	2,874,275
2015-11-04	$19.77	$19.09	14.7%	4.8%	16.6%	29.5%	16.7%	4.9%	0.2%	74.2M	-540.7M	-11.9M	13.29	6.01	44,518	591,605	2,459,524	2,932,352
2015-11-05	$19.89	$19.50	16.2%	5.4%	16.5%	35.4%	18.6%	3.7%	0.3%	54.7M	-636.8M	-12.5M	1.13	4.79	51,858	58,726	2,489,512	3,502,290
2015-11-06	$20.12	$19.50	14.6%	4.6%	16.8%	29.4%	16.0%	2.9%	-0.1%	91.0M	-1.10B	-12.1M	0.36	7.99	155,506	56,006	2,524,748	3,529,388
2015-11-09	$19.86	$19.50	16.9%	5.6%	17.4%	38.0%	18.3%	4.0%	2.7%	49.6M	-587.6M	-12.0M	0.46	8.66	54,800	25,329	2,491,610	3,523,821
2015-11-10	$19.94	$19.50	16.2%	4.8%	17.4%	35.5%	17.8%	3.6%	-0.6%	71.5M	-668.2M	-12.1M	2.06	5.11	18,427	37,906	2,520,671	3,538,122
2015-11-11	$19.99	$19.50	16.2%	4.7%	17.1%	35.5%	17.6%	4.7%	-0.3%	82.5M	-841.7M	-11.9M	1.70	7.17	17,140	29,122	2,518,203	3,546,362
2015-11-12	$19.59	$19.50	17.8%	5.4%	18.5%	41.7%	23.6%	4.5%	1.7%	24.0M	-2.2M	-12.1M	8.40	6.19	30,275	254,298	2,514,607	3,544,043
2015-11-13	$19.42	$19.50	19.0%	5.7%	17.2%	46.0%	21.8%	4.2%	1.6%	-12.8M	403.2M	-12.4M	0.58	4.96	337,186	194,274	2,517,657	3,715,532
2015-11-16	$19.66	$19.50	18.9%	5.5%	17.6%	45.9%	17.2%	4.3%	-0.5%	44.8M	-202.7M	-12.1M	0.16	7.48	252,777	41,664	2,634,992	3,664,280
2015-11-17	$19.66	$19.50	19.6%	5.7%	17.6%	48.5%	20.7%	4.5%	-1.5%	25.8M	-206.4M	-11.3M	2.62	6.15	39,220	102,901	2,479,785	3,664,606
2015-11-18	$19.98	$19.50	17.7%	5.1%	18.3%	41.1%	18.5%	4.5%	0.3%	80.3M	-809.7M	-11.2M	1.49	7.42	91,429	135,896	2,493,431	3,672,787
2015-11-19	$20.01	$19.50	16.9%	4.8%	18.0%	38.1%	16.9%	4.8%	0.8%	70.4M	-848.0M	-11.3M	1.46	4.96	88,535	128,924	2,499,213	3,730,223
2015-11-20	$20.03	$19.50	16.2%	4.6%	17.1%	35.3%	17.6%	4.5%	0.8%	18.6M	-857.3M	-11.0M	0.52	4.38	146,889	76,355	2,483,397	3,778,871
2015-11-23	$19.98	$19.50	16.6%	4.7%	16.9%	37.1%	16.2%	4.9%	-1.4%	21.4M	-405.1M	-10.8M	0.32	6.57	23,988	7,683	2,286,996	3,559,656
2015-11-24	$19.85	$19.50	16.0%	4.8%	17.0%	34.6%	17.6%	4.2%	-0.0%	9.9M	-244.2M	-10.9M	1.18	7.64	16,225	19,109	2,301,111	3,564,015
2015-11-25	$19.90	$19.50	15.5%	4.7%	16.8%	32.9%	18.9%	4.0%	-0.4%	11.5M	-317.2M	-10.4M	0.59	4.21	45,039	26,515	2,308,476	3,569,152
2015-11-27	$19.97	$19.50	15.9%	4.9%	14.8%	34.2%	17.4%	4.0%	-0.6%	17.5M	-496.8M	-9.7M	0.77	5.77	29,240	22,434	2,308,329	3,574,239
2015-11-30	$19.91	$19.50	15.9%	5.2%	14.8%	34.3%	18.7%	4.7%	0.1%	32.2M	-360.4M	-10.0M	1.50	6.95	9,027	13,503	2,284,885	3,534,203