XLF Options History — December 2015

In December 2015, XLF traded between $18.99 and $20.12. ATM implied volatility averaged 17.8%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.2% (HV 20d: 20.0%). Max pain ranged from $19.50 to $19.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.77.

Notable Days

2015-12-11: Highest Volume — 1,008,655 contracts
2015-12-11: Largest IV spike — 26.8% change
2015-12-11: Highest IV Rank — 54.2%
2015-12-11: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.55	$18.99	$20.12	$20.08	$19.45
Max Pain	$19.50	$19.50	$19.50	$19.50	$19.50
ATM IV	17.8%	15.1%	23.1%	15.3%	17.7%
Expected Move	5.2%	4.5%	6.7%	5.2%	5.2%
HV 20d	20.0%	14.0%	24.3%	14.4%	24.1%
HV 60d	18.7%	17.9%	19.7%	17.9%	18.6%
IV Rank	32.5%	22.3%	54.2%	31.9%	29.2%
IV Percentile	74.5%	52.4%	93.3%	54.8%	74.2%
Term Structure	0.1%	-1.2%	1.0%	1.0%	-0.1%
VWIV	18.4%	16.2%	23.6%	17.6%	18.2%
Skew 25d	3.4%	2.2%	5.1%	2.9%	3.2%
Skew 10d	6.7%	2.9%	10.7%	10.3%	4.5%
Call IV 25d	16.5%	14.1%	21.1%	14.4%	16.6%
Put IV 25d	20.0%	17.3%	26.2%	17.3%	19.8%
Bid-Ask Spread %	15.78	6.46	75.00	7.17	75.00
Gamma HHI	0.22	0.17	0.35	0.30	0.20
Net GEX	6.8M	-102.6M	209.0M	70.1M	-2.5M
Net DEX	116.7M	-751.2M	1.38B	-751.2M	164.2M
Net VEX	-9.1M	-10.3M	-7.7M	-9.3M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.77	0.18	7.69	0.78	3.89
Total Volume	330,979.682	39,011	1,008,655	39,011	476,507
Total OI	5,756,000.636	4,865,243	6,729,403	5,825,844	4,902,987

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
2015-12-01	$20.08	$19.50	15.3%	5.2%	14.4%	31.9%	17.6%	2.9%	1.0%	70.1M	-751.2M	-9.3M	0.78	7.17	21,960	17,051	2,285,204	3,540,640
2015-12-02	$19.92	$19.50	15.7%	5.3%	14.0%	33.6%	19.1%	3.6%	-0.6%	33.8M	-340.4M	-9.7M	0.88	9.22	39,297	34,639	2,292,296	3,551,484
2015-12-03	$19.62	$19.50	18.3%	5.2%	15.0%	37.2%	19.2%	3.7%	-0.6%	-27.8M	166.4M	-9.9M	1.90	9.96	42,180	80,123	2,295,476	3,565,196
2015-12-04	$20.12	$19.50	15.1%	4.5%	17.5%	22.3%	17.0%	4.0%	0.5%	62.1M	-705.2M	-9.4M	0.18	9.15	317,831	56,125	2,315,366	3,603,956
2015-12-07	$20.01	$19.50	16.5%	4.5%	17.1%	28.2%	16.2%	3.0%	-0.7%	79.6M	-657.9M	-8.9M	0.56	7.27	50,156	28,271	2,529,562	3,592,926
2015-12-08	$19.72	$19.50	17.4%	5.2%	17.3%	32.0%	18.3%	3.6%	0.6%	8.9M	-126.1M	-9.0M	1.01	6.46	50,967	51,643	2,549,827	3,597,080
2015-12-09	$19.47	$19.50	18.2%	5.2%	17.7%	35.7%	19.7%	3.0%	-0.3%	-40.8M	336.6M	-9.1M	5.08	10.22	116,053	589,029	2,600,670	3,625,355
2015-12-10	$19.47	$19.50	18.2%	5.2%	17.7%	35.7%	19.4%	4.1%	0.3%	-25.5M	381.2M	-9.9M	7.69	8.09	42,824	329,523	2,643,587	3,499,484
2015-12-11	$19.03	$19.50	23.1%	6.7%	18.1%	54.2%	23.6%	5.1%	0.6%	-93.1M	1.16B	-10.3M	2.57	11.24	282,338	726,317	2,649,566	3,508,291
2015-12-14	$19.08	$19.50	21.5%	6.1%	17.9%	47.0%	20.9%	3.4%	-0.2%	-102.6M	1.16B	-10.1M	3.16	10.39	72,874	229,951	2,836,730	3,810,633
2015-12-15	$19.56	$19.50	19.6%	5.6%	19.6%	38.3%	20.1%	2.9%	-0.2%	15.9M	107.7M	-10.0M	1.70	10.90	170,119	289,622	2,856,048	3,622,474
2015-12-16	$19.89	$19.50	18.2%	5.2%	20.5%	31.5%	17.3%	2.2%	-0.1%	99.1M	-620.0M	-9.3M	1.01	21.28	307,728	310,539	2,907,546	3,691,530
2015-12-17	$19.59	$19.50	18.0%	5.2%	20.4%	30.9%	16.4%	4.5%	0.2%	209.0M	-120.6M	-9.1M	0.83	11.99	285,958	236,628	3,015,870	3,713,533
2015-12-18	$18.99	$19.50	19.8%	5.8%	23.0%	39.2%	18.7%	3.8%	-1.2%	-88.6M	1.38B	-9.4M	0.84	7.84	313,137	264,555	2,866,417	3,712,180
2015-12-21	$19.10	$19.50	18.9%	5.5%	23.1%	34.9%	19.5%	3.5%	0.2%	-70.2M	713.2M	-9.2M	3.80	26.50	53,055	201,667	1,734,404	3,130,839
2015-12-22	$19.28	$19.50	17.8%	5.2%	23.5%	29.9%	17.5%	3.2%	0.3%	-54.3M	448.8M	-9.1M	2.49	42.51	59,909	149,245	1,754,733	3,171,793
2015-12-23	$19.54	$19.50	16.5%	4.9%	24.0%	24.0%	16.9%	3.0%	0.2%	2.7M	81.0M	-8.9M	2.12	10.58	69,860	148,124	1,780,608	3,178,272
2015-12-24	$19.50	$19.50	16.5%	4.7%	24.0%	23.8%	16.7%	3.0%	0.4%	19.6M	13.3M	-8.8M	6.29	21.65	24,875	156,564	1,785,919	3,189,727
2015-12-28	$19.49	$19.50	17.0%	5.0%	23.9%	26.1%	17.5%	3.2%	0.6%	-6.1M	97.1M	-8.1M	5.98	7.91	29,884	178,635	1,754,472	3,149,949
2015-12-29	$19.70	$19.50	16.5%	4.9%	24.3%	24.0%	17.6%	3.1%	0.8%	33.7M	-209.5M	-8.0M	4.05	10.55	39,212	158,645	1,752,285	3,152,595
2015-12-30	$19.56	$19.50	16.6%	4.7%	24.1%	24.4%	16.4%	3.9%	0.2%	26.2M	-113.7M	-7.7M	4.02	11.21	35,426	142,507	1,749,943	3,164,561
2015-12-31	$19.45	$19.50	17.7%	5.2%	24.1%	29.2%	18.2%	3.2%	-0.1%	-2.5M	164.2M	-8.0M	3.89	75.00	97,434	379,073	1,750,462	3,152,525