XLF Options History — June 2016

In June 2016, XLF traded between $17.43 and $19.37. ATM implied volatility averaged 19.8%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.4% (HV 20d: 15.5%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.99.

Notable Days

2016-06-03: Highest Volume — 589,305 contracts
2016-06-24: Largest IV spike — 55.0% change
2016-06-24: Highest IV Rank — 65.0%
2016-06-24: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.65	$17.43	$19.37	$19.33	$18.52
Max Pain	$18.68	$18.68	$18.68	$18.68	$18.68
ATM IV	19.8%	14.9%	27.9%	15.7%	17.9%
Expected Move	5.7%	4.1%	8.5%	4.6%	5.4%
HV 20d	15.5%	11.2%	28.2%	12.4%	28.2%
HV 60d	15.1%	13.3%	20.0%	14.5%	20.0%
IV Rank	33.0%	13.5%	65.0%	16.7%	25.2%
IV Percentile	59.4%	21.0%	95.6%	27.4%	48.0%
Term Structure	-0.2%	-2.4%	1.9%	-0.9%	-0.7%
VWIV	22.0%	16.0%	30.9%	16.6%	19.9%
Skew 25d	5.7%	3.1%	8.6%	6.2%	5.5%
Skew 10d	11.5%	1.3%	19.2%	9.2%	12.0%
Call IV 25d	17.9%	13.2%	23.8%	13.2%	16.5%
Put IV 25d	23.6%	17.1%	32.5%	19.4%	22.0%
Bid-Ask Spread %	23.54	5.09	79.93	14.15	77.16
Gamma HHI	0.21	0.16	0.28	0.25	0.16
Net GEX	-31.2M	-90.7M	44.6M	8.8M	-7.5M
Net DEX	396.5M	-362.1M	1.49B	-328.6M	367.1M
Net VEX	-7.9M	-8.6M	-7.1M	-7.2M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.99	0.83	8.11	1.64	1.24
Total Volume	255,821.682	63,410	589,305	123,212	172,525
Total OI	3,956,832.591	3,661,482	4,646,342	3,661,482	4,168,232

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
2016-06-01	$19.33	$18.68	15.7%	4.6%	12.4%	16.7%	16.6%	6.2%	-0.9%	8.8M	-328.6M	-7.2M	1.64	14.15	46,746	76,466	1,029,490	2,631,992
2016-06-02	$19.37	$18.68	14.9%	4.2%	12.0%	13.5%	16.0%	5.1%	-0.4%	15.6M	-362.1M	-7.1M	2.09	13.07	20,497	42,913	1,050,482	2,639,260
2016-06-03	$19.12	$18.68	16.9%	4.2%	13.0%	21.2%	18.7%	3.3%	0.6%	-20.9M	-125.9M	-7.2M	5.63	12.15	88,865	500,440	1,055,651	2,639,199
2016-06-06	$19.24	$18.68	16.3%	4.1%	13.0%	18.8%	16.2%	3.2%	-0.9%	-2.0M	-146.7M	-7.6M	2.15	13.63	21,126	45,521	1,070,458	2,728,722
2016-06-07	$19.17	$18.68	15.6%	4.1%	13.1%	16.3%	19.0%	3.5%	-1.3%	-10.5M	-68.8M	-7.5M	4.77	11.59	15,668	74,692	1,059,316	2,706,734
2016-06-08	$19.20	$18.68	15.8%	4.2%	12.3%	16.7%	17.6%	3.2%	-1.1%	-9.6M	-93.1M	-7.5M	0.86	13.13	124,116	106,180	1,055,904	2,731,563
2016-06-09	$19.07	$18.68	16.6%	5.2%	11.9%	20.3%	18.7%	3.1%	1.9%	-26.1M	68.0M	-7.7M	0.83	12.73	59,518	49,201	1,128,575	2,796,297
2016-06-10	$18.83	$18.68	19.3%	5.6%	12.8%	31.0%	19.6%	6.0%	0.9%	-43.3M	387.4M	-8.0M	1.48	15.48	73,922	109,044	1,164,789	2,802,252
2016-06-13	$18.68	$18.68	22.1%	6.3%	12.4%	42.2%	27.4%	6.8%	-0.0%	-52.3M	535.6M	-8.1M	8.11	22.57	21,364	173,234	1,181,575	2,840,082
2016-06-14	$18.41	$18.68	22.4%	6.3%	13.3%	43.1%	25.1%	7.8%	1.3%	-67.3M	877.8M	-8.2M	1.70	12.43	94,580	160,313	1,187,450	2,819,111
2016-06-15	$18.42	$18.68	21.4%	6.1%	13.3%	39.1%	23.7%	7.3%	0.7%	-63.3M	827.6M	-8.0M	6.19	14.09	42,452	262,642	1,247,662	2,853,476
2016-06-16	$18.47	$18.68	21.2%	6.1%	12.3%	38.3%	25.3%	6.3%	-0.0%	-60.5M	697.3M	-7.9M	3.33	10.71	132,158	440,049	1,262,686	2,881,530
2016-06-17	$18.36	$18.68	21.2%	6.0%	12.3%	38.6%	21.3%	7.4%	1.3%	-46.5M	898.5M	-8.5M	1.26	11.05	92,624	116,339	1,517,870	3,128,472
2016-06-20	$18.47	$18.68	22.9%	6.3%	12.3%	45.1%	20.6%	5.9%	-2.3%	-28.6M	420.7M	-8.3M	3.29	15.68	26,763	88,044	1,275,194	2,486,071
2016-06-21	$18.59	$18.68	19.7%	5.8%	12.6%	32.3%	20.2%	6.2%	0.1%	-17.7M	339.5M	-8.3M	1.79	5.09	53,498	95,555	1,286,960	2,526,913
2016-06-22	$18.58	$18.68	21.1%	6.8%	11.2%	38.2%	26.6%	7.4%	-1.6%	-19.2M	346.7M	-8.6M	1.51	16.37	180,441	271,891	1,299,759	2,552,667
2016-06-23	$18.94	$18.68	18.0%	5.3%	12.8%	25.6%	20.5%	6.0%	0.3%	44.6M	-184.4M	-8.3M	2.25	79.93	86,037	194,008	1,409,131	2,628,479
2016-06-24	$17.99	$18.68	27.9%	8.5%	22.0%	65.0%	29.8%	7.9%	-2.4%	-54.5M	1.07B	-8.6M	2.30	71.76	138,863	318,761	1,420,924	2,619,476
2016-06-27	$17.43	$18.68	26.8%	8.5%	23.8%	60.8%	30.9%	8.6%	0.3%	-90.7M	1.49B	-8.0M	6.29	58.79	71,263	448,387	1,428,310	2,481,434
2016-06-28	$17.86	$18.68	21.9%	6.4%	25.9%	41.3%	25.2%	5.0%	0.2%	-87.4M	1.09B	-7.9M	3.65	7.87	63,525	231,880	1,458,260	2,580,867
2016-06-29	$18.27	$18.68	20.9%	6.0%	27.6%	37.0%	24.6%	3.8%	-0.9%	-48.4M	617.1M	-8.0M	3.37	8.39	44,808	151,158	1,497,759	2,719,283
2016-06-30	$18.52	$18.68	17.9%	5.4%	28.2%	25.2%	19.9%	5.5%	-0.7%	-7.5M	367.1M	-7.9M	1.24	77.16	76,892	95,633	1,507,492	2,660,740