XLF Options History — September 2016

In September 2016, XLF traded between $19.06 and $19.95. ATM implied volatility averaged 25.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 14.3% (HV 20d: 11.3%). Max pain ranged from $18.68 to $24.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.61.

Notable Days

2016-09-29: Highest Volume — 298,196 contracts
2016-09-19: Largest IV spike — 675.3% change
2016-09-19: Highest IV Rank — 100.0%
2016-09-19: Largest Expected Move — 29.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.50	$19.06	$19.95	$19.86	$19.37
Max Pain	$21.37	$18.68	$24.00	$18.68	$20.00
ATM IV	25.5%	14.0%	139.8%	15.9%	15.8%
Expected Move	6.1%	3.6%	29.7%	4.5%	5.6%
HV 20d	11.3%	5.7%	15.7%	8.7%	15.7%
HV 60d	15.6%	11.3%	18.7%	18.1%	12.0%
IV Rank	15.0%	1.3%	100.0%	11.0%	1.9%
IV Percentile	43.9%	5.2%	100.0%	25.4%	27.0%
Term Structure	13.2%	-27.6%	164.8%	0.2%	0.5%
VWIV	20.3%	13.1%	82.5%	16.2%	19.9%
Skew 25d	1.7%	-80.5%	11.4%	5.4%	3.8%
Skew 10d	9.2%	-23.3%	21.0%	11.2%	2.6%
Call IV 25d	18.3%	11.7%	98.0%	14.2%	14.6%
Put IV 25d	20.0%	17.0%	24.6%	19.6%	18.4%
Bid-Ask Spread %	20.55	5.92	91.15	9.75	18.05
Gamma HHI	0.23	0.16	0.31	0.18	0.31
Net GEX	2.2M	-40.0M	97.0M	8.1M	13.3M
Net DEX	485.8M	-552.7M	1.87B	-378.0M	872.2M
Net VEX	-4.4M	-6.7M	-1.3M	-6.5M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.38	4.39	0.98	1.18
Total Volume	173,385.524	54,965	298,196	179,745	232,125
Total OI	2,556,972	1,387,070	3,513,892	3,378,078	1,589,151

Daily Data (21 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
2016-09-01	$19.86	$18.68	15.9%	4.5%	8.7%	11.0%	16.2%	5.4%	0.2%	8.1M	-378.0M	-6.5M	0.98	9.75	90,581	89,164	1,014,559	2,363,519
2016-09-02	$19.95	$18.68	14.0%	3.6%	6.4%	2.9%	13.1%	5.3%	-0.1%	97.0M	-552.7M	-6.5M	0.69	8.76	81,219	56,103	1,084,749	2,429,143
2016-09-06	$19.89	$19.50	14.3%	4.5%	6.5%	4.4%	15.4%	5.2%	0.4%	34.2M	-446.6M	-6.3M	1.22	9.90	24,746	30,219	1,053,391	2,356,928
2016-09-07	$19.93	$19.50	14.4%	3.8%	6.5%	4.6%	17.0%	5.4%	-0.0%	41.1M	-471.4M	-6.3M	0.90	11.10	63,240	57,222	1,051,401	2,359,488
2016-09-08	$19.92	$19.50	14.2%	3.7%	5.7%	3.7%	15.1%	4.9%	-0.1%	38.3M	-468.3M	-6.1M	1.34	10.57	45,956	61,789	1,030,229	2,372,590
2016-09-09	$19.59	$19.50	17.4%	4.9%	8.4%	17.5%	18.3%	5.1%	-0.2%	-9.6M	-76.0M	-6.7M	2.30	10.23	43,245	99,372	1,057,973	2,404,148
2016-09-12	$19.79	$19.50	15.7%	5.0%	9.0%	10.2%	18.2%	6.0%	1.7%	6.8M	-256.1M	-6.4M	1.35	14.10	81,481	109,832	1,029,748	2,368,677
2016-09-13	$19.39	$19.50	19.1%	5.4%	11.5%	24.9%	20.3%	5.8%	-0.3%	-26.8M	114.9M	-6.6M	4.39	12.24	39,545	173,628	1,024,841	2,377,839
2016-09-14	$19.36	$19.50	18.3%	5.3%	11.5%	21.1%	19.7%	5.9%	0.4%	-19.8M	150.7M	-6.7M	2.66	12.65	28,411	75,618	1,045,092	2,438,719
2016-09-15	$19.50	$19.50	17.4%	4.8%	11.8%	17.5%	20.2%	4.8%	-0.8%	-15.2M	4.0M	-6.4M	2.16	11.97	61,568	133,275	1,029,095	2,427,089
2016-09-16	$19.23	$19.50	18.0%	4.7%	12.7%	20.1%	17.6%	11.1%	-3.9%	-40.0M	417.9M	-6.7M	2.44	5.92	66,656	162,327	944,278	2,474,075
2016-09-19	$19.30	$24.00	139.8%	29.7%	12.8%	100.0%	82.5%	-80.5%	-27.6%	-31.0M	1.49B	-5.2M	2.90	26.22	48,468	140,577	621,519	1,465,279
2016-09-20	$19.36	$24.00	78.0%	6.7%	12.9%	51.1%	19.4%	11.4%	164.8%	-34.3M	1.87B	-3.0M	1.74	7.60	51,379	89,329	612,738	1,423,325
2016-09-21	$19.46	$24.00	17.8%	5.1%	13.0%	3.5%	13.6%	5.6%	156.9%	-21.2M	1.33B	-2.0M	0.38	13.30	182,723	69,856	398,392	988,678
2016-09-22	$19.50	$24.00	19.5%	4.6%	13.0%	4.9%	13.4%	4.1%	-9.6%	-2.6M	1.26B	-1.9M	1.31	12.82	83,624	109,375	485,660	947,989
2016-09-23	$19.36	$24.00	15.0%	4.6%	13.3%	1.3%	13.2%	4.3%	-2.9%	-722.1K	1.19B	-1.7M	1.15	11.35	64,056	73,464	653,349	870,161
2016-09-26	$19.06	$24.00	18.7%	5.2%	14.3%	4.3%	17.6%	3.4%	-0.2%	-2.6M	1.11B	-1.3M	0.70	11.02	116,200	81,529	619,919	805,069
2016-09-27	$19.22	$24.00	18.3%	5.0%	14.2%	3.9%	18.1%	8.3%	-1.2%	3.2M	1.06B	-1.3M	1.41	83.55	67,667	95,618	651,583	798,780
2016-09-28	$19.31	$24.00	15.5%	4.9%	14.0%	1.7%	17.1%	5.5%	-0.5%	6.0M	1.05B	-1.4M	1.47	91.15	65,528	96,185	703,451	828,789
2016-09-29	$19.07	$24.00	19.3%	5.6%	14.4%	4.7%	21.0%	6.1%	0.0%	2.5M	939.8M	-1.3M	1.07	39.35	143,880	154,316	718,688	776,321
2016-09-30	$19.37	$20.00	15.8%	5.6%	15.7%	1.9%	19.9%	3.8%	0.5%	13.3M	872.2M	-1.6M	1.18	18.05	106,699	125,426	814,261	774,890