XLF Options History — February 2016

In February 2016, XLF traded between $16.04 and $17.58. ATM implied volatility averaged 26.4%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.7% (HV 20d: 27.1%). Max pain ranged from $17.87 to $18.68. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-02-26: Highest Volume — 487,041 contracts
  • 2016-02-08: Largest IV spike — 17.2% change
  • 2016-02-10: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.97$16.04$17.58$17.58$17.17
Max Pain$17.95$17.87$18.68$17.87$17.87
ATM IV26.4%21.9%36.7%21.9%24.5%
Expected Move7.7%6.4%10.1%6.4%7.7%
HV 20d27.1%25.5%29.2%26.3%25.7%
HV 60d23.8%22.0%25.2%22.0%25.1%
IV Rank63.5%42.2%100.0%48.5%52.0%
IV Percentile91.5%79.0%100.0%84.1%88.1%
Term Structure0.1%-2.7%2.0%0.6%1.1%
VWIV27.2%22.5%37.4%24.7%26.5%
Skew 25d7.3%4.8%10.1%4.8%6.4%
Skew 10d15.2%8.2%20.6%9.1%13.0%
Call IV 25d23.1%18.9%32.0%19.5%21.4%
Put IV 25d30.4%24.3%42.2%24.3%27.8%
Bid-Ask Spread %7.894.4214.9711.688.86
Gamma HHI0.250.190.370.280.20
Net GEX-76.9M-94.5M-48.7M-91.0M-48.7M
Net DEX1.48B853.8M2.23B1.17B964.6M
Net VEX-8.7M-9.2M-8.1M-8.3M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.364.491.161.10
Total Volume236,042.25114,057487,041159,322114,057
Total OI3,862,500.43,470,7774,363,2713,470,7773,923,975

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$17.58$17.8721.9%6.4%26.3%48.5%24.7%4.8%0.6%-91.0M1.17B-8.3M1.1611.6873,69685,6261,040,5472,430,230
2016-02-02$17.10$17.8724.1%7.1%26.6%58.8%24.2%6.7%0.3%-94.0M1.60B-8.1M1.2510.3875,99995,3291,058,0372,448,959
2016-02-03$17.11$17.8725.1%7.5%26.5%63.5%26.2%5.8%0.6%-87.9M1.57B-8.6M1.5514.97115,916179,3461,104,0352,441,604
2016-02-04$17.25$18.6824.9%7.2%26.6%62.3%25.9%5.5%-0.1%-94.5M1.43B-8.7M2.3010.51109,958252,9571,150,0722,531,404
2016-02-05$16.99$18.6825.8%7.6%25.9%66.6%24.0%6.5%-1.1%-87.1M1.59B-8.8M1.265.77127,090159,8081,239,5252,503,625
2016-02-08$16.58$17.8730.2%9.2%26.3%87.1%29.0%6.0%2.0%-77.0M1.88B-8.7M0.816.54122,67999,7271,234,7082,556,367
2016-02-09$16.56$17.8730.9%9.3%26.1%90.0%32.2%7.8%1.8%-73.7M1.89B-8.9M2.214.9286,145190,3901,303,8212,594,346
2016-02-10$16.44$17.8733.5%9.0%25.8%100.0%32.1%9.9%-2.4%-77.5M1.97B-8.7M0.5413.0982,62244,3341,327,1842,638,107
2016-02-11$16.04$17.8736.7%10.1%25.5%100.0%37.4%10.1%-2.7%-70.3M2.23B-8.5M3.315.3695,308315,2461,388,1452,656,386
2016-02-12$16.64$17.8731.6%9.5%29.0%80.1%34.1%8.8%1.3%-71.3M1.84B-9.2M1.254.44105,631131,7031,431,5782,769,701
2016-02-16$16.92$17.8727.1%7.8%28.8%62.2%27.4%9.2%0.4%-70.7M1.61B-8.7M2.136.1256,985121,4911,435,3682,767,006
2016-02-17$17.14$17.8724.5%7.0%29.2%52.0%24.6%8.9%-0.1%-66.8M1.42B-8.8M1.334.4261,90182,5251,453,3462,833,103
2016-02-18$17.03$17.8724.9%7.2%28.1%53.4%26.2%7.9%-1.5%-81.1M1.55B-8.7M1.345.1874,547100,2141,472,3932,858,977
2016-02-19$17.05$17.8724.0%6.9%28.1%50.0%25.2%7.2%0.2%-90.1M1.51B-8.6M4.4912.9849,558222,3561,486,9622,876,309
2016-02-22$17.31$17.8722.0%6.4%28.0%42.2%22.5%7.2%1.5%-72.1M951.6M-8.9M1.038.0059,45661,3481,083,7162,474,698
2016-02-23$17.02$17.8723.9%7.3%27.5%49.7%25.4%7.5%-0.3%-71.7M1.19B-8.5M1.435.6957,68682,3961,102,8472,491,502
2016-02-24$16.96$17.8724.0%7.4%26.9%50.1%26.8%6.9%-0.9%-75.7M1.27B-8.6M1.095.2594,223102,7241,123,1452,533,473
2016-02-25$17.19$17.8724.3%7.3%27.4%51.4%25.8%6.9%-1.3%-74.6M1.05B-8.7M4.246.2565,377277,4501,168,1862,583,274
2016-02-26$17.34$17.8723.9%7.1%27.5%49.8%24.0%6.5%1.5%-62.3M853.8M-9.0M0.367.35358,003129,0381,187,5002,545,847
2016-02-29$17.17$17.8724.5%7.7%25.7%52.0%26.5%6.4%1.1%-48.7M964.6M-9.0M1.108.8654,23459,8231,409,2732,514,702