XLF Options History — August 2016

In August 2016, XLF traded between $19.02 and $19.94. ATM implied volatility averaged 14.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.8% (HV 20d: 9.5%). Max pain ranged from $18.68 to $18.68. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.96.

Notable Days

2016-08-31: Highest Volume — 445,635 contracts
2016-08-05: Largest IV drop — 12.3% change
2016-08-04: Highest IV Rank — 16.2%
2016-08-25: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.49	$19.02	$19.94	$19.15	$19.94
Max Pain	$18.68	$18.68	$18.68	$18.68	$18.68
ATM IV	14.3%	13.3%	15.9%	14.3%	15.5%
Expected Move	4.1%	3.7%	4.5%	4.0%	4.4%
HV 20d	9.5%	8.6%	11.6%	11.6%	8.6%
HV 60d	18.5%	18.1%	19.0%	18.8%	18.1%
IV Rank	7.0%	1.1%	16.2%	10.8%	9.5%
IV Percentile	7.9%	0.4%	23.0%	6.7%	19.4%
Term Structure	0.2%	-0.6%	1.5%	1.5%	-0.2%
VWIV	15.0%	13.2%	17.4%	14.0%	16.6%
Skew 25d	4.1%	2.1%	5.7%	2.3%	5.3%
Skew 10d	8.7%	5.6%	12.1%	8.9%	10.7%
Call IV 25d	12.8%	11.7%	14.0%	11.7%	13.6%
Put IV 25d	17.0%	14.0%	19.1%	14.0%	19.0%
Bid-Ask Spread %	13.04	8.06	33.00	10.16	9.63
Gamma HHI	0.16	0.13	0.23	0.17	0.23
Net GEX	6.9M	-53.7M	45.5M	-20.5M	42.9M
Net DEX	-317.3M	-607.1M	54.3M	-37.0M	-607.1M
Net VEX	-6.1M	-6.7M	-5.7M	-6.6M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.34	8.44	1.69	7.68
Total Volume	114,618.391	30,353	445,635	76,334	445,635
Total OI	3,171,997.087	2,894,793	3,503,625	3,103,821	2,995,317

Daily Data (23 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
2016-08-01	$19.15	$18.68	14.3%	4.0%	11.6%	10.8%	14.0%	2.3%	1.5%	-20.5M	-37.0M	-6.6M	1.69	10.16	28,345	47,989	866,080	2,237,741
2016-08-02	$19.02	$18.68	15.5%	4.2%	9.9%	15.7%	15.9%	2.1%	-0.2%	-27.2M	54.3M	-6.6M	4.52	19.28	15,773	71,355	882,329	2,254,314
2016-08-03	$19.19	$18.68	14.8%	4.2%	10.2%	12.9%	14.9%	4.3%	-0.5%	-20.2M	-59.8M	-6.7M	8.44	10.31	12,881	108,694	886,093	2,276,611
2016-08-04	$19.15	$18.68	15.6%	4.2%	10.3%	16.2%	15.8%	3.4%	-0.6%	-53.7M	-11.3M	-6.6M	3.02	9.25	19,567	59,172	888,981	2,342,286
2016-08-05	$19.50	$18.68	13.7%	4.1%	10.0%	8.6%	14.4%	3.8%	-0.1%	10.7M	-362.3M	-6.3M	0.74	8.43	71,031	52,417	899,898	2,362,303
2016-08-08	$19.52	$18.68	13.8%	4.2%	9.9%	9.0%	14.4%	3.8%	0.8%	20.9M	-423.8M	-6.2M	0.48	8.57	59,411	28,567	931,136	2,285,547
2016-08-09	$19.55	$18.68	13.3%	3.9%	9.2%	7.1%	13.3%	3.9%	0.0%	29.3M	-473.8M	-6.0M	1.24	11.83	37,216	46,228	959,840	2,294,131
2016-08-10	$19.40	$18.68	13.5%	4.1%	9.8%	7.7%	15.9%	3.9%	0.5%	7.6M	-287.8M	-6.2M	2.36	9.39	29,825	70,264	966,475	2,319,690
2016-08-11	$19.45	$18.68	13.5%	4.0%	9.3%	7.8%	17.4%	4.0%	0.4%	-699.8K	-297.6M	-6.1M	0.88	9.06	41,019	36,134	970,234	2,365,938
2016-08-12	$19.39	$18.68	13.3%	3.9%	9.3%	1.1%	14.8%	3.8%	0.2%	3.9M	-284.1M	-6.3M	0.88	10.52	55,104	48,298	997,463	2,370,730
2016-08-15	$19.52	$18.68	13.8%	4.0%	9.5%	3.2%	13.8%	4.2%	0.8%	7.4M	-416.4M	-6.1M	0.34	9.65	65,739	22,028	993,501	2,364,217
2016-08-16	$19.47	$18.68	14.3%	4.1%	9.6%	5.2%	16.0%	3.7%	0.0%	7.1M	-384.8M	-5.9M	1.60	10.83	34,794	55,822	1,000,425	2,366,031
2016-08-17	$19.51	$18.68	13.8%	4.0%	9.6%	3.0%	13.9%	4.6%	1.1%	12.7M	-445.7M	-6.1M	0.51	23.08	72,127	37,010	1,005,484	2,392,641
2016-08-18	$19.51	$18.68	13.8%	3.9%	9.3%	2.2%	15.6%	3.5%	0.9%	16.9M	-456.3M	-6.0M	1.29	21.78	58,033	75,111	1,061,154	2,414,732
2016-08-19	$19.50	$18.68	13.7%	3.8%	9.2%	1.4%	13.2%	4.0%	1.3%	3.3M	-426.0M	-5.9M	0.51	8.06	81,427	41,397	1,077,931	2,425,694
2016-08-22	$19.51	$18.68	13.7%	3.7%	9.1%	1.6%	13.4%	5.1%	0.4%	4.9M	-230.8M	-6.1M	1.38	14.08	38,543	53,283	931,360	1,963,433
2016-08-23	$19.55	$18.68	14.1%	3.9%	9.1%	3.5%	14.1%	4.2%	0.2%	9.0M	-266.8M	-6.0M	1.24	17.96	28,325	35,150	939,784	1,961,065
2016-08-24	$19.53	$18.68	15.0%	4.4%	9.1%	7.3%	16.4%	5.0%	-0.1%	9.2M	-239.8M	-6.2M	2.91	33.00	7,758	22,595	943,974	1,965,879
2016-08-25	$19.56	$18.68	15.9%	4.5%	9.0%	10.9%	16.4%	4.8%	-0.4%	9.5M	-283.9M	-6.1M	0.70	13.36	51,226	35,720	946,344	1,975,204
2016-08-26	$19.59	$18.68	15.6%	4.3%	9.0%	9.7%	15.4%	5.7%	-0.3%	15.1M	-310.5M	-6.1M	0.80	12.23	79,435	63,671	971,163	1,988,051
2016-08-29	$19.76	$18.68	13.9%	3.8%	9.1%	2.3%	13.6%	5.1%	-0.1%	23.9M	-444.9M	-5.7M	0.79	10.08	57,483	45,484	961,354	1,979,155
2016-08-30	$19.93	$18.68	14.4%	4.0%	8.9%	4.5%	16.4%	5.1%	-0.2%	45.5M	-601.9M	-5.7M	0.97	9.29	96,189	92,948	979,661	1,994,559
2016-08-31	$19.94	$18.68	15.5%	4.4%	8.6%	9.5%	16.6%	5.3%	-0.2%	42.9M	-607.1M	-5.7M	7.68	9.63	51,367	394,268	991,734	2,003,583