XLF Options History — April 2016

In April 2016, XLF traded between $17.83 and $19.25. ATM implied volatility averaged 17.0%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.0% (HV 20d: 15.0%). Max pain ranged from $17.87 to $18.68. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2016-04-13: Highest Volume — 781,266 contracts
  • 2016-04-05: Largest IV spike — 16.0% change
  • 2016-04-07: Highest IV Rank — 33.3%
  • 2016-04-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.63$17.83$19.25$18.45$18.90
Max Pain$18.01$17.87$18.68$17.87$18.68
ATM IV17.0%14.9%19.8%16.4%17.0%
Expected Move4.9%4.3%5.6%4.8%5.0%
HV 20d15.0%12.2%16.7%13.6%16.7%
HV 60d21.3%19.2%23.2%23.2%19.3%
IV Rank22.2%14.2%33.3%19.9%22.2%
IV Percentile48.9%32.1%69.0%47.2%51.6%
Term Structure0.1%-0.6%1.8%-0.0%0.2%
VWIV17.4%15.2%20.3%15.2%18.7%
Skew 25d4.4%3.5%5.1%4.3%5.1%
Skew 10d9.2%7.1%11.4%8.6%8.9%
Call IV 25d15.2%13.6%17.7%13.9%15.8%
Put IV 25d19.7%17.5%22.9%18.3%21.0%
Bid-Ask Spread %9.074.9018.3610.1318.36
Gamma HHI0.220.130.600.300.16
Net GEX17.7M-39.7M172.9M15.4M-7.1M
Net DEX-99.6M-471.9M484.0M-63.4M-70.1M
Net VEX-7.4M-8.1M-6.6M-7.4M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.316.361.123.59
Total Volume241,266.04891,919781,266118,028221,697
Total OI3,207,414.5242,909,5023,509,4513,155,6473,273,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$18.45$17.8716.4%4.8%13.6%19.9%15.2%4.3%-0.0%15.4M-63.4M-7.4M1.1210.1355,73762,291935,9612,219,686
2016-04-04$18.33$17.8716.5%4.4%13.8%20.4%15.8%4.4%0.1%16.9M47.1M-7.4M2.366.2227,33664,583939,5212,246,134
2016-04-05$18.07$17.8719.1%5.5%14.8%30.8%18.1%4.6%-0.1%-7.3M278.0M-7.6M1.776.5250,31689,119941,2362,259,017
2016-04-06$18.19$17.8717.2%5.2%13.8%23.3%16.5%4.2%0.1%-957.9K218.1M-7.6M1.017.0466,12866,481952,9082,289,810
2016-04-07$17.83$17.8719.8%5.6%15.6%33.3%19.8%5.1%-0.2%-27.0M484.0M-7.9M2.328.8134,41179,914993,2002,313,799
2016-04-08$17.90$17.8718.8%5.4%15.7%29.3%20.3%4.8%0.3%-39.7M451.3M-7.8M2.348.6234,33680,2261,002,7752,340,345
2016-04-11$18.01$17.8719.3%5.5%12.2%31.6%19.9%5.1%-0.0%-27.0M366.9M-7.7M1.086.8159,49764,1131,003,1472,337,811
2016-04-12$18.20$17.8717.9%5.6%12.7%26.1%17.1%4.7%1.8%1.5M182.7M-7.7M0.317.47106,58232,5501,030,3242,359,396
2016-04-13$18.62$17.8716.5%4.8%15.0%20.4%17.4%4.6%-0.1%81.2M-298.6M-7.3M2.3615.49232,186549,0801,092,1242,366,334
2016-04-14$18.68$17.8716.7%4.9%15.0%21.3%17.2%4.2%0.5%172.9M-471.9M-7.4M4.0914.3687,570357,7371,218,1462,291,305
2016-04-15$18.62$17.8715.9%4.5%14.9%18.0%15.9%4.0%-0.2%9.4M-240.8M-7.2M3.798.4251,905196,8121,156,9372,247,172
2016-04-18$18.74$17.8716.2%4.6%14.8%19.2%17.5%4.3%0.2%14.2M-193.3M-7.0M6.367.5236,878234,365899,5682,009,934
2016-04-19$18.94$17.8714.9%4.3%15.2%14.2%16.9%4.4%-0.1%18.5M-337.1M-6.9M3.138.0369,593217,637911,2182,033,085
2016-04-20$19.13$17.8715.4%4.4%15.4%16.1%15.3%3.5%0.2%19.9M-460.7M-6.6M4.417.0666,187291,784901,5662,035,626
2016-04-21$18.94$17.8716.1%4.6%15.7%18.8%17.5%4.6%-0.1%14.7M-279.7M-7.3M1.305.95106,319138,447923,4382,122,537
2016-04-22$19.15$17.8716.5%4.7%15.5%20.4%17.6%4.1%-0.1%27.7M-411.4M-7.4M1.266.97117,940148,332968,5462,151,373
2016-04-25$19.06$18.2816.7%4.8%15.7%21.3%17.6%4.1%-0.3%22.2M-303.6M-7.4M5.724.9027,321156,304962,5342,145,118
2016-04-26$19.21$18.2816.4%4.7%15.8%20.2%17.7%4.3%-0.4%25.5M-389.2M-7.4M2.1214.4479,658168,611951,3182,175,863
2016-04-27$19.25$18.2816.3%4.7%15.7%19.8%17.0%3.7%0.0%21.2M-399.6M-7.3M2.5810.2283,592215,599930,7692,185,238
2016-04-28$19.00$18.6816.4%4.7%16.7%20.1%17.0%4.5%-0.6%18.5M-200.3M-7.9M4.897.0440,276197,137980,3662,257,116
2016-04-29$18.90$18.6817.0%5.0%16.7%22.2%18.7%5.1%0.2%-7.1M-70.1M-8.1M3.5918.3648,332173,365988,4612,284,943