XLF Options History — December 2016

In December 2016, XLF traded between $22.65 and $23.72. ATM implied volatility averaged 17.9%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.0% (HV 20d: 15.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2016-12-08: Highest Volume — 850,373 contracts
  • 2016-12-08: Largest IV spike — 20.1% change
  • 2016-12-08: Highest IV Rank — 5.2%
  • 2016-12-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.40$22.65$23.72$22.83$23.23
Max Pain$21.52$20.00$22.00$20.00$22.00
ATM IV17.9%16.4%19.9%17.8%19.2%
Expected Move5.2%4.6%5.9%5.9%5.3%
HV 20d15.9%12.7%22.2%21.8%12.8%
HV 60d16.8%16.1%17.7%17.6%16.2%
IV Rank3.6%2.4%5.2%3.5%4.6%
IV Percentile49.8%29.8%69.8%50.0%63.5%
Term Structure0.3%-2.6%1.2%-0.2%0.3%
VWIV18.9%16.5%21.2%21.2%18.5%
Skew 25d2.7%-1.1%6.7%3.6%3.0%
Skew 10d5.4%-1.0%17.1%5.5%5.8%
Call IV 25d17.2%15.3%20.1%16.9%17.7%
Put IV 25d19.9%17.5%26.4%20.5%20.7%
Bid-Ask Spread %31.705.8576.2715.4969.16
Gamma HHI0.230.170.320.290.20
Net GEX129.7M74.2M163.7M161.2M93.2M
Net DEX-2.40B-3.77B-1.06B-2.79B-1.10B
Net VEX-9.3M-10.8M-8.7M-9.2M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.124.950.880.43
Total Volume273,681.19116,951850,373479,140183,574
Total OI3,992,153.6673,489,8124,630,2253,960,3763,724,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$22.83$20.0017.8%5.9%21.8%3.5%21.2%3.6%-0.2%161.2M-2.79B-9.2M0.8815.49255,166223,9742,413,3741,547,002
2016-12-02$22.65$20.0019.4%5.8%22.2%4.8%20.2%6.7%-2.6%145.4M-2.46B-9.5M1.0616.12125,742133,4182,450,6751,684,475
2016-12-05$22.89$21.0017.0%5.1%21.9%2.9%19.2%3.6%-0.0%147.4M-2.70B-9.1M0.8413.1283,18469,5512,444,4361,559,415
2016-12-06$23.12$21.0016.6%5.0%21.1%2.6%18.3%3.9%0.2%157.8M-3.05B-9.1M0.9112.2287,78679,5842,478,8211,583,552
2016-12-07$23.48$21.0016.5%5.5%21.3%2.5%20.0%2.7%0.7%154.0M-3.57B-8.9M0.6113.29217,767131,7852,515,6851,633,976
2016-12-08$23.72$21.0019.9%5.7%17.7%5.2%20.2%1.1%0.1%129.5M-3.67B-8.7M0.2612.21676,937173,4362,491,8171,701,409
2016-12-09$23.72$21.0018.6%5.5%14.1%4.2%20.8%1.9%0.4%160.6M-3.77B-10.0M0.8811.32289,542256,0432,799,6201,786,968
2016-12-12$23.54$21.0019.3%5.6%14.8%4.7%20.3%3.2%-0.4%163.7M-3.55B-10.8M0.8210.72128,274105,2842,940,8491,689,376
2016-12-13$23.59$22.0018.9%5.4%13.7%4.4%19.7%-1.1%0.3%148.1M-3.37B-9.7M0.7811.26110,69686,2042,761,1251,746,797
2016-12-14$23.53$22.0019.7%5.6%13.8%5.0%20.3%2.8%-0.3%143.5M-3.23B-9.7M0.6312.09155,13197,1222,772,9871,753,858
2016-12-15$23.71$22.0018.7%5.3%12.7%4.3%18.3%2.2%-0.4%137.7M-3.60B-9.5M0.129.70520,88660,7732,821,2531,795,492
2016-12-16$23.38$22.0017.8%5.3%13.8%3.6%18.8%1.7%1.0%93.2M-1.51B-9.2M0.835.8585,81471,4052,133,8031,803,445
2016-12-19$23.39$22.0016.6%4.8%13.8%2.6%16.5%2.6%0.7%118.2M-1.43B-8.9M0.939.0364,33859,6722,039,7761,450,036
2016-12-20$23.64$22.0016.9%4.9%14.1%2.8%18.0%2.5%0.6%140.6M-1.80B-8.8M1.3510.2581,687110,0602,048,2111,488,941
2016-12-21$23.62$22.0017.0%4.9%14.1%2.9%18.1%2.9%0.6%122.1M-1.62B-9.1M1.0571.2856,99059,9612,058,2211,546,538
2016-12-22$23.53$22.0016.8%4.8%14.3%2.7%18.3%2.3%0.6%98.3M-1.56B-9.1M1.9171.2199,034189,3522,039,0421,533,415
2016-12-23$23.56$22.0016.4%4.6%14.3%2.4%17.4%2.6%1.0%74.2M-1.57B-9.5M4.9571.3727,411135,8022,075,9591,664,649
2016-12-27$23.62$22.0017.0%4.7%13.1%2.9%17.9%2.5%0.9%128.6M-1.65B-8.9M3.1974.0528,28490,3372,015,8131,590,634
2016-12-28$23.38$22.0017.1%4.9%14.0%2.9%17.5%2.6%0.7%111.4M-1.35B-8.8M2.7576.2735,05196,3602,013,9851,599,816
2016-12-29$23.18$22.0018.4%5.2%13.6%4.0%17.6%3.4%1.2%94.8M-1.06B-8.8M1.6369.6977,528126,3602,010,9401,624,380
2016-12-30$23.23$22.0019.2%5.3%12.8%4.6%18.5%3.0%0.3%93.2M-1.10B-9.2M0.4369.16128,25455,3202,045,5551,679,106