XLF Options History — January 2016

In January 2016, XLF traded between $16.91 and $19.04. ATM implied volatility averaged 25.0%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.1% (HV 20d: 23.9%). Max pain ranged from $17.87 to $19.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.73.

Notable Days

  • 2016-01-20: Highest Volume — 722,130 contracts
  • 2016-01-13: Largest IV spike — 28.5% change
  • 2016-01-13: Highest IV Rank — 85.9%
  • 2016-01-15: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.73$16.91$19.04$18.97$17.67
Max Pain$19.00$17.87$19.50$19.50$17.87
ATM IV25.0%20.4%30.0%21.8%22.4%
Expected Move7.1%6.1%8.5%6.1%6.5%
HV 20d23.9%22.1%26.3%25.0%26.3%
HV 60d20.8%19.2%22.2%19.3%22.2%
IV Rank62.8%41.7%85.9%48.2%51.1%
IV Percentile94.4%84.9%99.6%90.9%84.9%
Term Structure-0.9%-8.2%0.2%-0.4%0.2%
VWIV25.0%21.2%30.6%23.3%21.7%
Skew 25d5.9%3.6%8.1%3.6%4.4%
Skew 10d13.2%8.4%21.0%10.3%14.3%
Call IV 25d22.1%18.8%27.1%19.7%20.1%
Put IV 25d28.0%23.1%33.5%23.3%24.5%
Bid-Ask Spread %11.947.9617.4612.9717.46
Gamma HHI0.270.190.440.230.24
Net GEX-119.6M-194.8M-66.1M-93.6M-86.2M
Net DEX1.77B763.6M2.90B926.3M1.12B
Net VEX-7.9M-8.6M-7.4M-8.1M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.598.271.351.20
Total Volume270,283.316125,391722,130370,573180,478
Total OI4,280,376.8422,985,3085,464,9504,917,0873,515,536

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$18.97$19.5021.8%6.1%25.0%48.2%23.3%3.6%-0.4%-93.6M926.3M-8.1M1.3512.97157,438213,1351,747,5513,169,536
2016-01-05$19.04$19.5020.4%6.1%23.0%41.7%21.7%4.3%0.0%-66.1M763.6M-8.2M1.9710.6367,811133,4531,841,2813,208,951
2016-01-06$18.74$19.5022.0%6.2%23.5%49.3%21.2%5.1%-0.1%-117.5M1.26B-8.1M1.4910.84126,447188,3471,856,3983,200,621
2016-01-07$18.30$19.5024.6%6.4%24.3%60.9%26.1%5.4%-0.8%-158.0M1.88B-8.1M2.717.9775,093203,3261,877,2113,240,498
2016-01-08$17.94$19.5025.3%7.1%24.8%64.6%24.4%7.0%-0.5%-171.7M2.37B-8.0M3.4312.5952,950181,3881,915,8113,315,652
2016-01-11$18.01$19.5024.3%6.7%24.9%60.0%23.9%4.4%-1.5%-191.4M2.26B-7.5M2.008.3965,378131,0741,879,0963,325,093
2016-01-12$18.14$19.5023.3%6.5%24.2%55.3%22.8%4.0%0.0%-194.8M2.17B-7.4M5.2910.8931,629167,4781,919,9993,352,777
2016-01-13$17.64$19.5030.0%7.1%25.7%85.9%25.6%6.7%-8.2%-177.7M2.71B-7.5M2.9113.7080,040232,8991,929,9913,373,386
2016-01-14$17.81$19.5023.4%6.6%23.9%55.4%23.2%5.4%-0.8%-187.0M2.50B-7.5M1.2811.33126,889162,0351,982,0043,374,266
2016-01-15$17.40$19.5029.8%8.5%23.4%85.1%28.7%6.4%-0.8%-79.8M2.90B-7.8M5.3011.7678,577416,6712,062,2033,402,747
2016-01-19$17.43$19.5026.0%7.4%23.4%67.5%30.2%6.9%-0.5%-97.8M1.46B-7.8M3.7913.6847,597180,311813,6202,171,688
2016-01-20$17.03$18.6828.4%8.1%22.4%78.7%30.6%8.1%-0.5%-95.2M1.70B-7.5M8.2716.3077,919644,211849,4492,220,986
2016-01-21$17.01$18.6826.7%7.7%22.1%71.0%25.0%8.0%-1.1%-100.1M1.71B-7.8M3.1311.2248,643152,356873,2122,288,412
2016-01-22$17.29$18.6823.7%6.8%22.9%57.1%25.9%6.5%-0.4%-90.8M1.51B-7.8M3.517.9647,509166,884892,7362,317,238
2016-01-25$16.91$18.6826.1%7.7%22.5%67.9%27.3%8.1%-0.9%-93.2M1.77B-7.9M1.688.6271,359120,233876,0922,326,501
2016-01-26$17.18$18.2826.2%7.8%23.9%68.3%24.5%6.1%-0.7%-90.7M1.58B-8.0M0.5911.44147,49587,419921,3052,376,204
2016-01-27$17.13$17.8725.3%7.6%23.8%64.1%24.8%6.3%-0.4%-88.3M1.57B-8.6M0.9916.1873,16372,3571,025,2672,406,978
2016-01-28$17.18$17.8724.6%7.1%23.2%61.3%24.5%6.2%-0.2%-92.4M1.53B-8.3M1.0512.8661,02164,3701,049,1302,427,734
2016-01-29$17.67$17.8722.4%6.5%26.3%51.1%21.7%4.4%0.2%-86.2M1.12B-8.4M1.2017.4681,99798,4811,057,4122,458,124