XLF Options History — May 2016

In May 2016, XLF traded between $18.59 and $19.33. ATM implied volatility averaged 17.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.0% (HV 20d: 14.4%). Max pain ranged from $17.87 to $18.68. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.08.

Notable Days

  • 2016-05-13: Highest Volume — 320,454 contracts
  • 2016-05-25: Largest IV drop — 11.2% change
  • 2016-05-05: Highest IV Rank — 31.2%
  • 2016-05-05: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.91$18.59$19.33$19.10$19.33
Max Pain$18.45$17.87$18.68$18.68$18.68
ATM IV17.4%14.3%19.2%16.7%14.3%
Expected Move5.2%4.3%5.7%4.9%4.5%
HV 20d14.4%13.2%16.7%16.7%13.3%
HV 60d16.4%14.5%19.3%19.3%14.5%
IV Rank23.9%10.9%31.2%21.3%10.9%
IV Percentile50.2%17.5%65.5%49.2%17.5%
Term Structure0.4%-1.6%2.5%0.6%0.8%
VWIV18.3%15.6%20.9%17.2%15.7%
Skew 25d4.7%3.5%6.5%4.2%4.5%
Skew 10d8.9%2.1%21.4%10.5%5.8%
Call IV 25d15.6%13.7%17.4%15.2%14.0%
Put IV 25d20.3%18.3%22.2%19.4%18.5%
Bid-Ask Spread %10.852.7469.575.179.57
Gamma HHI0.190.150.250.200.25
Net GEX-18.9M-45.3M4.9M988.7K4.9M
Net DEX38.7M-333.0M368.9M-195.5M-299.9M
Net VEX-7.9M-8.6M-7.2M-7.8M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.6411.514.790.93
Total Volume137,618.52470,336320,454180,92978,064
Total OI3,553,1293,220,7233,851,4343,220,7233,630,459

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$19.10$18.6816.7%4.9%16.7%21.3%17.2%4.2%0.6%988.7K-195.5M-7.8M4.795.1731,239149,690953,0012,267,722
2016-05-03$18.86$18.6817.8%5.5%16.5%25.6%18.2%4.3%0.8%-13.1M26.9M-8.1M5.868.3832,396189,888953,8772,280,298
2016-05-04$18.72$18.6818.9%5.5%16.7%29.7%18.1%4.6%0.2%-21.5M152.9M-8.4M5.2669.5740,931215,122969,1872,341,108
2016-05-05$18.68$17.8719.2%5.7%14.8%31.2%20.4%5.4%-0.7%-27.4M213.1M-8.6M6.058.1517,829107,818993,9652,453,459
2016-05-06$18.77$18.6817.9%5.5%14.8%26.2%18.7%4.3%2.5%-20.8M142.4M-8.5M1.567.3681,145126,960996,0962,465,784
2016-05-09$18.75$17.8718.4%5.5%14.8%27.8%20.2%4.7%0.7%-21.1M127.0M-8.3M2.938.3119,74357,9041,019,3392,455,397
2016-05-10$19.00$17.8717.3%5.2%15.1%23.5%17.9%4.0%1.6%-4.6M-94.2M-8.0M1.877.1135,70666,8031,028,7712,469,380
2016-05-11$18.81$18.6816.7%5.3%13.6%21.4%18.7%4.4%2.1%-22.5M92.7M-8.2M2.586.2625,72966,3021,036,7832,500,127
2016-05-12$18.81$17.8717.4%5.3%13.6%23.8%19.9%6.0%1.5%-22.8M62.0M-7.9M1.107.6952,78757,8661,038,8542,516,031
2016-05-13$18.59$17.8717.3%5.3%14.2%23.7%20.9%5.1%2.3%-31.7M334.6M-8.1M11.512.7425,611294,8431,030,5802,532,871
2016-05-16$18.69$18.6818.2%5.3%14.1%27.0%18.2%4.8%0.8%-40.8M291.6M-8.2M3.472.8017,71561,4581,030,7542,695,723
2016-05-17$18.63$17.8718.2%5.3%13.6%27.3%19.4%4.8%-0.6%-45.3M368.9M-8.3M4.473.8212,85957,4771,033,7052,694,373
2016-05-18$18.88$18.6819.2%5.5%14.0%31.1%18.9%5.4%0.3%-27.9M110.1M-8.1M1.385.2577,206106,3021,041,6022,714,834
2016-05-19$18.75$18.6819.2%5.5%13.8%31.2%18.7%4.6%-0.0%-30.5M224.7M-8.2M1.1510.2847,20854,1891,074,7002,771,075
2016-05-20$18.85$18.6818.3%5.2%13.3%27.3%18.5%4.2%0.0%-36.1M46.6M-7.8M0.717.3067,12847,8371,084,6062,766,828
2016-05-23$18.85$18.6818.3%5.0%13.2%27.3%19.9%5.3%-0.5%-33.5M151.0M-7.7M4.5712.8216,87077,128921,6842,538,009
2016-05-24$19.13$18.6816.9%4.7%14.0%21.8%17.7%4.2%-1.6%-11.2M-97.4M-7.5M0.8210.0952,82043,473924,6202,570,851
2016-05-25$19.32$18.6815.0%4.5%14.5%14.4%15.8%6.5%0.1%4.9M-291.8M-7.3M0.647.77138,45988,855949,8152,574,849
2016-05-26$19.21$18.6815.7%4.6%13.8%16.7%15.7%4.5%-1.2%1.1M-220.4M-7.5M1.7813.9926,79547,7391,007,9692,630,380
2016-05-27$19.33$18.6814.9%4.3%13.7%13.3%15.6%3.5%-0.7%2.6M-333.0M-7.3M1.3113.4532,08542,0101,009,3782,646,865
2016-05-31$19.33$18.6814.3%4.5%13.3%10.9%15.7%4.5%0.8%4.9M-299.9M-7.2M0.939.5740,43237,6321,010,9322,619,527