XLF Options History — October 2016

In October 2016, XLF traded between $19.24 and $19.86. ATM implied volatility averaged 17.2%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.2% (HV 20d: 14.0%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.56.

Notable Days

2016-10-05: Highest Volume — 735,022 contracts
2016-10-19: Largest IV drop — 20.0% change
2016-10-12: Highest IV Rank — 5.6%
2016-10-13: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.59	$19.24	$19.86	$19.24	$19.79
Max Pain	$19.60	$19.00	$23.00	$23.00	$19.50
ATM IV	17.2%	14.3%	20.5%	17.9%	17.0%
Expected Move	4.9%	4.2%	5.9%	5.5%	5.2%
HV 20d	14.0%	10.2%	16.9%	15.7%	10.2%
HV 60d	11.8%	11.5%	12.1%	11.5%	11.5%
IV Rank	3.1%	0.7%	5.6%	3.6%	2.9%
IV Percentile	44.7%	7.1%	75.8%	54.8%	45.6%
Term Structure	-0.2%	-4.9%	2.5%	0.2%	0.1%
VWIV	18.7%	15.6%	22.9%	19.7%	22.9%
Skew 25d	5.1%	1.7%	8.5%	3.8%	5.6%
Skew 10d	11.7%	7.2%	20.9%	11.6%	11.1%
Call IV 25d	15.0%	13.4%	17.0%	14.8%	15.6%
Put IV 25d	20.1%	17.3%	25.5%	18.6%	21.2%
Bid-Ask Spread %	13.32	4.78	59.42	14.84	15.61
Gamma HHI	0.42	0.29	0.56	0.30	0.29
Net GEX	41.7M	5.1M	72.0M	5.1M	20.6M
Net DEX	522.7M	83.1M	908.0M	908.0M	278.6M
Net VEX	-3.2M	-3.9M	-1.6M	-1.6M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.17	5.40	1.73	2.47
Total Volume	201,389	70,844	735,022	151,321	256,959
Total OI	2,016,479.238	1,538,725	2,320,888	1,538,725	2,128,164

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
2016-10-03	$19.24	$23.00	17.9%	5.5%	15.7%	3.6%	19.7%	3.8%	0.2%	5.1M	908.0M	-1.6M	1.73	14.84	55,529	95,792	757,807	780,918
2016-10-04	$19.31	$23.00	17.1%	5.8%	15.8%	3.0%	22.3%	8.5%	0.2%	12.3M	891.2M	-1.8M	1.49	13.05	84,171	125,556	774,719	806,426
2016-10-05	$19.61	$23.00	17.1%	4.3%	16.9%	3.0%	19.0%	1.7%	-1.5%	26.0M	755.6M	-2.2M	0.17	59.42	627,684	107,338	811,890	850,133
2016-10-06	$19.61	$19.00	18.0%	4.8%	16.9%	3.7%	18.3%	6.7%	-1.1%	51.6M	590.2M	-3.2M	1.29	15.80	73,263	94,163	1,171,628	852,999
2016-10-07	$19.63	$19.00	17.7%	4.7%	15.9%	3.5%	18.1%	5.3%	1.2%	44.9M	565.3M	-3.0M	1.23	10.45	106,709	131,386	1,116,320	854,369
2016-10-10	$19.72	$19.00	17.0%	4.6%	15.5%	2.9%	17.8%	3.5%	0.0%	52.1M	584.0M	-3.3M	1.62	5.61	45,207	73,286	1,126,559	900,958
2016-10-11	$19.52	$19.00	19.2%	5.0%	14.1%	4.6%	17.7%	4.5%	-2.5%	36.9M	695.5M	-3.2M	0.85	5.54	169,056	144,030	1,125,744	928,930
2016-10-12	$19.56	$19.00	20.5%	4.8%	14.1%	5.6%	18.1%	6.6%	-4.9%	51.3M	632.7M	-3.7M	1.40	10.83	70,740	99,235	1,234,353	992,661
2016-10-13	$19.35	$19.00	18.9%	5.9%	14.4%	4.4%	20.3%	8.5%	2.5%	32.6M	769.1M	-3.5M	1.01	5.12	85,567	86,529	1,247,384	1,003,624
2016-10-14	$19.46	$19.00	18.4%	5.8%	13.7%	4.0%	19.6%	4.7%	0.3%	62.3M	673.3M	-3.6M	0.95	11.98	129,795	122,684	1,289,440	1,018,875
2016-10-17	$19.36	$19.00	19.7%	5.8%	13.8%	5.1%	20.2%	5.5%	-2.7%	33.7M	753.2M	-3.5M	1.38	4.78	59,225	81,506	1,287,755	1,022,419
2016-10-18	$19.46	$19.00	18.8%	5.4%	13.8%	4.3%	17.1%	5.0%	-1.9%	45.0M	587.2M	-3.3M	1.09	14.06	58,456	63,859	1,276,665	969,847
2016-10-19	$19.68	$19.00	15.0%	4.3%	14.3%	1.4%	15.6%	4.7%	1.5%	72.0M	481.1M	-3.4M	1.41	8.83	75,493	106,476	1,282,169	980,796
2016-10-20	$19.66	$19.00	15.9%	4.5%	14.3%	2.0%	16.2%	4.3%	1.3%	56.2M	525.7M	-3.5M	1.57	11.58	53,341	83,823	1,266,886	1,030,427
2016-10-21	$19.66	$19.00	15.2%	4.2%	14.0%	1.5%	18.8%	3.9%	1.5%	39.6M	537.2M	-3.4M	1.26	6.95	55,692	70,362	1,276,083	1,044,805
2016-10-24	$19.74	$19.00	16.0%	4.6%	12.6%	2.1%	15.7%	4.9%	0.3%	44.2M	232.3M	-3.5M	1.16	13.27	35,609	41,153	1,074,681	772,576
2016-10-25	$19.67	$19.00	15.9%	4.7%	12.5%	2.0%	17.9%	4.4%	0.1%	45.7M	179.5M	-3.2M	1.51	14.99	28,195	42,649	1,077,228	718,220
2016-10-26	$19.81	$19.00	14.3%	4.3%	12.6%	0.7%	19.3%	4.4%	0.4%	50.5M	102.3M	-3.3M	1.59	6.50	37,607	59,685	1,078,892	721,578
2016-10-27	$19.86	$19.00	14.8%	4.5%	11.5%	1.2%	18.3%	4.7%	0.2%	50.5M	83.1M	-3.3M	2.11	14.27	32,898	69,301	1,091,609	738,778
2016-10-28	$19.77	$19.00	16.4%	5.0%	10.6%	2.4%	19.2%	5.2%	0.1%	43.2M	151.8M	-3.4M	5.40	16.24	60,794	328,366	1,096,301	764,448
2016-10-31	$19.79	$19.50	17.0%	5.2%	10.2%	2.9%	22.9%	5.6%	0.1%	20.6M	278.6M	-3.9M	2.47	15.61	74,134	182,825	1,096,835	1,031,329