XLF Options History — November 2016

In November 2016, XLF traded between $19.47 and $22.53. ATM implied volatility averaged 19.0%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.8% (HV 20d: 18.2%). Max pain ranged from $19.50 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2016-11-17: Highest Volume — 704,884 contracts
2016-11-10: Largest IV spike — 23.7% change
2016-11-14: Highest IV Rank — 7.6%
2016-11-14: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.38	$19.47	$22.53	$19.68	$22.53
Max Pain	$19.95	$19.50	$20.00	$19.50	$20.00
ATM IV	19.0%	16.3%	22.9%	20.0%	16.3%
Expected Move	5.7%	4.9%	6.6%	6.4%	5.3%
HV 20d	18.2%	9.1%	22.3%	10.4%	22.1%
HV 60d	15.4%	11.5%	17.4%	11.5%	17.4%
IV Rank	4.4%	2.4%	7.6%	5.3%	2.4%
IV Percentile	59.1%	29.4%	84.9%	74.2%	29.4%
Term Structure	-0.2%	-2.0%	1.1%	-0.3%	0.7%
VWIV	20.3%	17.7%	23.9%	23.9%	18.8%
Skew 25d	4.6%	2.2%	6.6%	5.9%	5.6%
Skew 10d	8.8%	2.4%	14.4%	12.1%	8.3%
Call IV 25d	17.3%	15.0%	21.1%	17.1%	16.2%
Put IV 25d	21.9%	18.1%	25.1%	23.0%	21.8%
Bid-Ask Spread %	21.70	13.59	71.10	17.11	16.73
Gamma HHI	0.26	0.19	0.31	0.28	0.27
Net GEX	94.7M	-18.2M	196.2M	11.7M	174.1M
Net DEX	-1.35B	-2.48B	440.0M	349.4M	-2.44B
Net VEX	-6.4M	-8.9M	-3.8M	-4.0M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.11	2.51	1.86	1.73
Total Volume	287,689.714	95,973	704,884	140,259	160,683
Total OI	3,047,102.095	2,168,698	3,877,062	2,168,698	3,877,062

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
2016-11-01	$19.68	$19.50	20.0%	6.4%	10.4%	5.3%	23.9%	5.9%	-0.3%	11.7M	349.4M	-4.0M	1.86	17.11	49,037	91,222	1,118,436	1,050,262
2016-11-02	$19.57	$19.50	19.9%	6.5%	9.1%	5.2%	23.0%	6.1%	-0.2%	3.3M	339.6M	-4.1M	2.51	19.17	43,709	109,892	1,145,074	1,040,066
2016-11-03	$19.54	$20.00	20.5%	5.6%	9.1%	5.7%	20.6%	6.4%	-0.2%	-3.3M	379.5M	-4.2M	0.74	16.03	66,284	48,938	1,154,446	1,102,484
2016-11-04	$19.47	$20.00	20.3%	6.5%	9.2%	5.5%	21.2%	6.6%	-0.1%	-18.2M	440.0M	-4.1M	1.54	14.40	74,985	115,198	1,180,652	1,111,910
2016-11-07	$19.94	$20.00	17.4%	5.2%	12.5%	3.2%	18.0%	6.1%	0.7%	35.5M	-67.5M	-4.1M	0.86	15.78	85,521	73,836	1,208,423	1,051,394
2016-11-08	$20.05	$20.00	17.2%	5.2%	12.0%	3.0%	18.6%	6.0%	1.1%	36.0M	-156.5M	-4.0M	1.55	14.31	57,865	89,530	1,210,637	1,083,839
2016-11-09	$20.86	$20.00	16.4%	5.0%	18.1%	2.5%	19.8%	3.5%	1.0%	46.5M	-809.1M	-3.8M	0.25	20.14	494,553	123,931	1,237,715	1,112,102
2016-11-10	$21.61	$20.00	20.3%	5.9%	20.6%	5.5%	21.2%	3.4%	-0.5%	53.8M	-1.31B	-4.4M	0.39	22.35	437,435	170,548	1,426,739	1,160,481
2016-11-11	$21.69	$20.00	19.7%	5.8%	20.6%	5.0%	20.2%	4.7%	0.5%	70.9M	-1.56B	-5.1M	0.52	23.48	111,312	57,684	1,538,783	1,260,814
2016-11-14	$22.11	$20.00	22.9%	6.6%	20.8%	7.6%	23.7%	3.9%	-1.3%	76.9M	-1.85B	-5.3M	0.37	20.10	465,147	173,218	1,621,248	1,252,393
2016-11-15	$22.12	$20.00	22.9%	6.6%	20.9%	7.6%	22.5%	3.7%	-1.1%	72.7M	-1.84B	-6.0M	0.13	16.87	618,005	80,576	1,643,889	1,321,856
2016-11-16	$21.86	$20.00	21.8%	6.2%	21.8%	6.7%	22.4%	3.3%	-2.0%	112.9M	-1.97B	-7.9M	0.66	14.85	156,002	103,683	2,134,892	1,353,432
2016-11-17	$22.14	$20.00	20.5%	5.9%	21.8%	5.7%	19.1%	3.8%	-0.4%	132.7M	-2.25B	-8.2M	0.11	71.10	636,881	68,003	2,210,305	1,404,180
2016-11-18	$22.21	$20.00	19.6%	5.6%	21.7%	4.9%	19.7%	4.2%	-0.1%	152.2M	-2.48B	-8.7M	0.76	13.59	76,300	57,725	2,400,098	1,433,260
2016-11-21	$22.21	$20.00	18.1%	5.3%	21.8%	3.8%	18.0%	4.7%	-0.6%	166.9M	-2.20B	-8.5M	0.66	20.71	92,815	61,127	2,272,672	1,274,120
2016-11-22	$22.27	$20.00	16.7%	4.9%	21.6%	2.7%	19.3%	5.5%	-0.1%	166.1M	-2.21B	-8.6M	0.61	42.36	141,702	87,050	2,244,066	1,305,845
2016-11-23	$22.39	$20.00	16.4%	4.9%	21.5%	2.4%	17.7%	4.2%	-1.4%	179.3M	-2.35B	-8.9M	0.32	16.42	260,141	82,060	2,302,789	1,362,046
2016-11-25	$22.41	$20.00	16.8%	5.0%	21.6%	2.7%	18.7%	3.1%	-0.8%	196.2M	-2.36B	-8.9M	1.57	26.98	37,356	58,617	2,400,624	1,397,571
2016-11-28	$22.13	$20.00	17.1%	5.3%	22.3%	3.0%	22.0%	2.2%	0.2%	160.7M	-1.99B	-8.3M	1.20	16.62	102,008	122,777	2,336,774	1,391,540
2016-11-29	$22.17	$20.00	17.3%	5.3%	22.3%	3.1%	18.5%	4.1%	-0.1%	161.1M	-1.98B	-8.7M	1.73	16.56	35,924	62,204	2,382,938	1,471,287
2016-11-30	$22.53	$20.00	16.3%	5.3%	22.1%	2.4%	18.8%	5.6%	0.7%	174.1M	-2.44B	-8.9M	1.73	16.73	58,882	101,801	2,395,334	1,481,728