XLF Options History — March 2016

In March 2016, XLF traded between $17.70 and $18.46. ATM implied volatility averaged 18.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.1% (HV 20d: 20.9%). Max pain ranged from $17.06 to $17.87. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.70.

Notable Days

2016-03-11: Highest Volume — 654,717 contracts
2016-03-17: Largest IV drop — 17.3% change
2016-03-02: Highest IV Rank — 41.5%
2016-03-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.13	$17.70	$18.46	$17.70	$18.30
Max Pain	$17.47	$17.06	$17.87	$17.87	$17.87
ATM IV	18.8%	15.5%	21.9%	20.9%	16.0%
Expected Move	5.4%	4.4%	6.8%	6.8%	4.4%
HV 20d	20.9%	13.6%	28.0%	28.0%	13.6%
HV 60d	24.6%	23.1%	26.0%	26.0%	23.1%
IV Rank	29.4%	16.6%	41.5%	38.0%	18.4%
IV Percentile	62.8%	43.7%	76.2%	74.2%	44.0%
Term Structure	0.1%	-2.1%	2.9%	0.7%	0.2%
VWIV	19.3%	14.8%	24.1%	23.2%	14.8%
Skew 25d	5.1%	3.3%	6.4%	6.3%	4.3%
Skew 10d	10.7%	7.5%	13.3%	13.2%	8.4%
Call IV 25d	16.9%	14.4%	19.9%	19.6%	14.4%
Put IV 25d	22.0%	18.6%	25.9%	25.9%	18.7%
Bid-Ask Spread %	11.12	5.34	17.54	9.62	8.73
Gamma HHI	0.20	0.16	0.35	0.20	0.26
Net GEX	28.1M	-28.4M	85.6M	-28.4M	12.9M
Net DEX	-21.5M	-462.4M	417.2M	417.2M	52.9M
Net VEX	-8.3M	-9.0M	-7.5M	-9.0M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.27	5.27	0.27	1.16
Total Volume	227,048.455	76,017	654,717	349,583	104,409
Total OI	3,928,412.455	3,085,390	4,756,892	3,910,578	3,193,764

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
2016-03-01	$17.70	$17.87	20.9%	6.8%	28.0%	38.0%	23.2%	6.3%	0.7%	-28.4M	417.2M	-9.0M	0.27	9.62	276,138	73,445	1,387,112	2,523,466
2016-03-02	$17.88	$17.87	21.9%	6.7%	26.1%	41.5%	24.1%	5.5%	-1.0%	10.5M	70.7M	-8.7M	1.61	10.44	81,189	130,747	1,557,928	2,554,835
2016-03-03	$18.02	$17.06	21.8%	5.9%	26.2%	41.2%	19.5%	6.4%	-1.5%	16.7M	-91.9M	-8.7M	0.71	10.42	156,823	111,422	1,575,582	2,579,580
2016-03-04	$18.10	$17.06	19.6%	6.0%	26.1%	32.6%	20.8%	5.7%	0.3%	26.9M	-227.0M	-8.8M	0.83	13.98	99,648	82,312	1,673,512	2,591,498
2016-03-07	$18.07	$17.06	20.5%	5.9%	25.4%	36.2%	21.3%	6.1%	0.8%	28.9M	-149.6M	-8.4M	1.21	12.91	34,394	41,623	1,644,168	2,532,172
2016-03-08	$17.79	$17.06	20.7%	5.9%	24.2%	36.9%	20.7%	6.3%	-0.2%	5.9M	253.3M	-8.4M	1.17	12.21	79,713	93,485	1,638,411	2,545,032
2016-03-09	$17.79	$17.06	21.3%	6.1%	24.2%	39.3%	22.5%	5.0%	0.2%	3.0M	226.2M	-8.4M	0.79	12.84	50,946	40,308	1,665,566	2,589,470
2016-03-10	$17.78	$17.06	20.9%	5.9%	23.9%	37.9%	23.2%	5.0%	-0.9%	8.9M	247.0M	-8.2M	3.62	13.71	109,504	395,914	1,679,440	2,592,823
2016-03-11	$18.28	$17.06	18.6%	5.9%	22.8%	28.6%	22.9%	5.6%	2.9%	66.6M	-456.1M	-8.6M	0.53	12.16	426,645	228,072	1,713,074	2,906,290
2016-03-14	$18.17	$17.06	20.5%	6.0%	20.3%	36.2%	20.5%	5.7%	-2.1%	56.9M	-279.4M	-8.8M	4.98	9.80	33,425	166,306	1,765,494	2,976,302
2016-03-15	$18.17	$17.06	19.9%	5.8%	19.8%	34.0%	17.7%	5.6%	-1.2%	85.6M	-293.4M	-8.4M	0.84	14.24	234,615	196,868	1,760,329	2,996,563
2016-03-16	$18.16	$17.06	18.8%	5.4%	19.5%	29.4%	17.0%	4.9%	-0.7%	79.6M	-238.0M	-8.4M	1.16	17.54	159,960	184,986	1,704,162	2,983,377
2016-03-17	$18.32	$17.06	15.5%	4.4%	19.3%	16.6%	16.0%	4.0%	1.5%	74.2M	-462.4M	-8.0M	1.00	13.09	152,438	152,406	1,691,950	3,013,189
2016-03-18	$18.46	$17.87	16.2%	4.5%	19.3%	19.4%	17.9%	3.3%	2.3%	71.2M	-96.8M	-8.3M	0.46	10.99	209,919	95,707	1,439,152	3,010,049
2016-03-21	$18.46	$17.87	17.3%	4.8%	18.9%	23.4%	17.6%	4.8%	-0.3%	27.2M	-88.0M	-7.9M	5.27	14.48	16,479	86,925	950,213	2,135,177
2016-03-22	$18.38	$17.87	17.3%	4.9%	17.6%	23.6%	17.1%	4.6%	0.0%	21.9M	-23.3M	-8.1M	2.24	8.69	34,463	77,216	953,033	2,176,494
2016-03-23	$18.27	$17.87	17.1%	5.1%	17.7%	22.8%	18.9%	4.5%	0.3%	19.3M	61.8M	-7.9M	1.57	8.25	47,109	74,179	955,990	2,184,864
2016-03-24	$18.12	$17.87	17.4%	4.9%	17.9%	24.1%	17.7%	4.8%	0.4%	-707.5K	248.3M	-8.2M	2.84	7.86	29,330	83,212	965,111	2,197,912
2016-03-28	$18.17	$17.87	17.5%	5.0%	17.7%	24.4%	18.5%	4.6%	0.3%	6.0M	176.7M	-7.9M	1.70	5.34	44,911	76,382	935,417	2,193,909
2016-03-29	$18.20	$17.87	16.7%	4.7%	17.2%	21.4%	16.0%	4.9%	0.4%	7.5M	159.5M	-7.7M	2.15	5.51	36,236	77,930	939,793	2,189,810
2016-03-30	$18.33	$17.87	16.6%	4.5%	13.9%	20.7%	16.0%	4.4%	-0.5%	16.9M	19.4M	-7.5M	1.33	11.82	46,154	61,173	951,124	2,211,937
2016-03-31	$18.30	$17.87	16.0%	4.4%	13.6%	18.4%	14.8%	4.3%	0.2%	12.9M	52.9M	-7.5M	1.16	8.73	48,366	56,043	973,386	2,220,378