XLF Options History — July 2016

In July 2016, XLF traded between $18.20 and $19.27. ATM implied volatility averaged 15.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 9.2% (HV 20d: 25.2%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-07-22: Highest Volume — 191,979 contracts
  • 2016-07-08: Largest IV drop — 13.7% change
  • 2016-07-05: Highest IV Rank — 35.0%
  • 2016-07-06: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.94$18.20$19.27$18.51$19.24
Max Pain$18.68$18.68$18.68$18.68$18.68
ATM IV15.9%13.5%20.3%18.1%13.5%
Expected Move4.6%3.9%6.2%5.0%3.9%
HV 20d25.2%11.4%29.3%27.9%11.4%
HV 60d19.4%18.8%19.9%19.6%18.8%
IV Rank17.5%7.6%35.0%25.9%7.6%
IV Percentile24.4%3.2%65.5%50.0%3.2%
Term Structure0.1%-1.1%1.0%-0.7%0.1%
VWIV16.8%13.8%22.7%18.8%14.7%
Skew 25d4.5%1.9%7.5%4.2%3.1%
Skew 10d9.7%5.6%15.2%15.2%12.8%
Call IV 25d14.3%12.3%19.1%16.1%12.9%
Put IV 25d18.8%16.0%24.4%20.3%16.0%
Bid-Ask Spread %12.966.0577.5377.536.05
Gamma HHI0.190.150.350.150.16
Net GEX9.5M-45.8M102.2M-15.7M-11.9M
Net DEX-85.3M-655.5M599.3M290.4M-155.9M
Net VEX-6.7M-7.7M-6.0M-7.7M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.683.971.193.77
Total Volume114,004.749,858191,97984,181140,526
Total OI3,459,851.82,905,1944,054,9893,815,3493,237,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$18.51$18.6818.1%5.0%27.9%25.9%18.8%4.2%-0.7%-15.7M290.4M-7.7M1.1977.5338,44845,7331,258,5152,556,834
2016-07-05$18.20$18.6820.3%6.2%28.3%35.0%22.7%5.1%0.4%-42.9M599.3M-7.7M3.038.1836,291110,0941,231,2662,513,632
2016-07-06$18.27$18.6819.9%6.2%28.4%33.2%21.4%6.2%0.1%-45.8M591.8M-7.7M3.326.7419,66065,1861,244,4832,565,310
2016-07-07$18.27$18.6820.1%6.1%28.3%34.2%20.6%7.4%-0.1%-35.5M525.4M-7.7M0.808.8491,08072,6191,252,4172,572,776
2016-07-08$18.63$18.6817.4%5.0%29.3%23.2%19.4%5.1%0.3%18.6M74.2M-7.2M0.688.9394,45064,0111,304,9202,596,362
2016-07-11$18.74$18.6816.9%4.7%29.1%21.2%18.2%3.9%-0.1%30.6M-64.2M-6.8M0.949.0649,70246,6011,297,2882,560,702
2016-07-12$18.97$18.6815.1%4.7%29.3%14.2%16.7%7.5%1.0%72.5M-391.1M-6.5M1.5511.2651,39279,4491,308,7192,570,775
2016-07-13$18.96$18.6815.6%4.7%28.7%16.0%17.6%5.6%0.9%70.3M-377.9M-6.5M1.449.0944,31764,0001,324,2322,601,274
2016-07-14$19.14$18.6815.6%4.1%28.8%16.1%18.0%2.6%-1.1%102.2M-655.5M-6.4M1.037.9284,03186,4641,345,5942,632,471
2016-07-15$19.10$18.6814.4%4.1%28.9%11.2%15.6%3.0%-0.0%86.3M-593.3M-6.4M0.719.4267,18847,5221,384,9932,669,996
2016-07-18$19.18$18.6814.9%4.3%28.7%13.3%14.8%3.4%-0.8%-370.5K-205.8M-6.0M1.339.3523,20130,881751,1252,154,069
2016-07-19$19.17$18.6814.3%4.1%28.7%11.0%14.1%4.0%0.6%-4.6M-157.5M-6.2M2.377.4014,79335,065764,0772,162,061
2016-07-20$19.22$18.6814.1%4.0%28.7%10.0%13.9%3.5%0.9%-617.4K-204.7M-6.1M1.9712.2527,45653,997768,2982,174,717
2016-07-21$19.12$18.6814.9%4.2%28.8%13.4%15.5%3.4%0.6%-5.5M-152.8M-6.2M1.348.7930,34240,592785,7442,189,830
2016-07-22$19.23$18.6814.0%4.0%28.0%9.8%14.8%4.1%0.6%-2.8M-211.2M-6.1M1.5410.6575,599116,380796,3762,188,712
2016-07-25$19.17$18.6815.2%4.2%20.3%14.5%15.0%1.9%-1.1%-10.4M-94.5M-6.4M3.9710.1815,90163,100813,7222,222,877
2016-07-26$19.21$18.6814.9%4.0%15.7%13.2%14.0%4.0%0.5%-2.4M-173.8M-6.2M1.2211.7935,56243,234814,1012,258,294
2016-07-27$19.20$18.6814.9%4.0%14.1%13.2%13.8%6.3%-0.2%2.4M-204.6M-6.2M1.0515.1276,25880,329837,5352,272,348
2016-07-28$19.27$18.6814.8%4.1%12.1%13.0%15.9%5.6%0.8%-14.9M-144.7M-6.6M0.9510.5760,92857,712885,1192,327,594
2016-07-29$19.24$18.6813.5%3.9%11.4%7.6%14.7%3.1%0.1%-11.9M-155.9M-6.6M3.776.0529,436111,090895,8112,342,067