XLF Options History — January 2017

In January 2017, XLF traded between $22.96 and $23.72. ATM implied volatility averaged 16.5%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.7% (HV 20d: 13.8%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.31.

Notable Days

2017-01-27: Highest Volume — 402,714 contracts
2017-01-20: Largest IV drop — 9.6% change
2017-01-03: Highest IV Rank — 4.1%
2017-01-05: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.40	$22.96	$23.72	$23.44	$23.34
Max Pain	$22.90	$22.00	$23.00	$22.00	$23.00
ATM IV	16.5%	14.3%	18.5%	18.5%	15.7%
Expected Move	4.7%	4.1%	5.5%	5.3%	4.5%
HV 20d	13.8%	11.8%	16.0%	12.7%	15.6%
HV 60d	17.0%	16.3%	17.7%	16.3%	17.7%
IV Rank	2.5%	0.7%	4.1%	4.1%	1.8%
IV Percentile	36.0%	8.3%	60.3%	58.3%	24.2%
Term Structure	0.0%	-1.4%	1.0%	-0.2%	0.4%
VWIV	16.9%	13.4%	18.8%	18.7%	17.7%
Skew 25d	3.1%	2.0%	4.0%	4.0%	3.2%
Skew 10d	6.6%	4.9%	8.2%	8.2%	7.0%
Call IV 25d	15.6%	13.4%	17.6%	17.6%	15.0%
Put IV 25d	18.8%	15.7%	21.5%	21.5%	18.2%
Bid-Ask Spread %	21.13	4.76	86.55	19.33	74.20
Gamma HHI	0.27	0.20	0.37	0.23	0.27
Net GEX	69.5M	-667.8K	130.4M	104.9M	30.3M
Net DEX	-944.6M	-1.58B	-135.3M	-1.25B	-277.9M
Net VEX	-9.6M	-12.0M	-8.9M	-8.9M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	0.45	15.87	1.45	1.44
Total Volume	237,016.9	90,298	402,714	133,348	221,015
Total OI	3,985,601.5	3,141,143	4,722,167	3,755,385	3,870,069

Daily Data (20 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
2017-01-03	$23.44	$22.00	18.5%	5.3%	12.7%	4.1%	18.7%	4.0%	-0.2%	104.9M	-1.25B	-8.9M	1.45	19.33	54,347	79,001	2,070,152	1,685,233
2017-01-04	$23.70	$22.00	18.2%	5.1%	12.8%	3.9%	18.2%	3.3%	0.0%	130.4M	-1.58B	-9.1M	1.63	12.59	45,384	74,000	2,105,992	1,739,229
2017-01-05	$23.43	$23.00	17.9%	5.5%	13.2%	3.6%	18.4%	3.5%	0.1%	112.8M	-1.32B	-9.1M	1.48	8.04	114,833	169,802	2,125,723	1,760,653
2017-01-06	$23.60	$23.00	17.1%	4.7%	12.2%	3.0%	17.7%	2.7%	0.2%	111.5M	-1.50B	-9.3M	0.67	7.50	107,972	72,160	2,201,822	1,859,724
2017-01-09	$23.42	$23.00	17.4%	5.3%	12.0%	3.2%	17.5%	2.7%	1.0%	98.3M	-1.33B	-9.1M	2.08	9.46	29,347	60,951	2,172,606	1,854,323
2017-01-10	$23.53	$23.00	17.3%	4.8%	12.1%	3.2%	18.5%	2.9%	-0.8%	102.1M	-1.38B	-9.2M	2.67	9.42	67,537	180,210	2,188,662	1,886,679
2017-01-11	$23.53	$23.00	17.3%	4.6%	11.8%	3.1%	18.0%	3.0%	-1.1%	87.6M	-1.34B	-9.3M	1.13	6.19	53,362	60,185	2,227,938	2,056,150
2017-01-12	$23.39	$23.00	18.2%	5.4%	12.0%	3.8%	18.8%	3.4%	0.6%	72.8M	-1.12B	-9.6M	1.39	10.31	155,913	216,179	2,250,969	2,087,775
2017-01-13	$23.55	$23.00	17.2%	4.7%	12.2%	3.1%	17.7%	3.5%	-1.4%	90.0M	-1.43B	-9.8M	1.43	12.59	141,922	202,675	2,355,215	2,256,512
2017-01-17	$22.96	$23.00	18.3%	5.2%	14.8%	3.9%	18.6%	3.5%	-0.3%	17.0M	-373.0M	-9.2M	1.75	8.42	93,910	164,507	2,350,990	2,237,551
2017-01-18	$23.17	$23.00	17.3%	5.0%	14.5%	3.1%	17.5%	3.8%	0.1%	18.9M	-734.8M	-9.2M	2.32	12.76	67,261	156,141	2,339,079	2,265,929
2017-01-19	$23.03	$23.00	17.2%	4.9%	14.7%	3.0%	17.2%	3.1%	0.1%	16.7M	-443.4M	-9.1M	3.03	11.92	57,345	173,805	2,373,657	2,307,803
2017-01-20	$23.11	$23.00	15.5%	4.4%	14.1%	1.7%	15.1%	3.2%	0.5%	24.1M	-759.3M	-8.9M	0.45	4.76	258,614	116,621	2,378,520	2,343,647
2017-01-23	$23.04	$23.00	15.1%	4.3%	14.1%	1.4%	14.9%	3.4%	0.2%	-667.8K	-135.3M	-9.4M	2.00	5.19	41,750	83,363	1,602,235	1,611,730
2017-01-24	$23.31	$23.00	14.3%	4.1%	14.8%	0.7%	15.2%	3.1%	0.1%	42.3M	-499.4M	-9.3M	1.15	7.48	146,177	168,364	1,563,876	1,577,267
2017-01-25	$23.69	$23.00	14.4%	4.1%	16.0%	0.8%	13.4%	2.9%	0.3%	97.7M	-981.1M	-9.9M	1.11	5.33	143,611	159,641	1,659,008	1,633,215
2017-01-26	$23.72	$23.00	14.6%	4.3%	15.9%	1.0%	14.5%	2.4%	0.5%	100.3M	-1.03B	-10.4M	1.26	26.42	69,976	87,947	1,718,360	1,745,827
2017-01-27	$23.61	$23.00	14.4%	4.2%	15.6%	0.9%	14.9%	2.0%	0.3%	88.9M	-940.8M	-10.5M	15.87	86.55	23,871	378,843	1,749,643	1,791,089
2017-01-30	$23.44	$23.00	15.1%	4.5%	15.5%	1.4%	16.3%	3.2%	0.1%	43.6M	-448.1M	-11.4M	1.88	84.04	84,062	157,734	1,680,375	2,026,803
2017-01-31	$23.34	$23.00	15.7%	4.5%	15.6%	1.8%	17.7%	3.2%	0.4%	30.3M	-277.9M	-12.0M	1.44	74.20	90,666	130,349	1,739,145	2,130,924