XLF Options History — February 2017

In February 2017, XLF traded between $23.24 and $24.61. ATM implied volatility averaged 15.5%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.0% (HV 20d: 14.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.73.

Notable Days

2017-02-15: Highest Volume — 603,335 contracts
2017-02-28: Largest IV spike — 9.3% change
2017-02-28: Highest IV Rank — 3.2%
2017-02-28: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.08	$23.24	$24.61	$23.39	$24.52
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	15.5%	14.4%	17.4%	15.0%	17.4%
Expected Move	4.6%	4.0%	5.4%	4.0%	5.4%
HV 20d	14.5%	12.2%	16.8%	15.2%	12.2%
HV 60d	14.9%	13.6%	17.7%	17.7%	13.6%
IV Rank	1.7%	0.9%	3.2%	1.3%	3.2%
IV Percentile	25.3%	11.5%	59.9%	17.1%	59.9%
Term Structure	-0.2%	-3.2%	1.9%	0.5%	1.7%
VWIV	16.4%	13.9%	19.0%	13.9%	19.0%
Skew 25d	2.6%	0.5%	4.6%	3.1%	4.6%
Skew 10d	3.4%	-18.0%	7.3%	5.6%	-4.1%
Call IV 25d	14.7%	14.0%	16.1%	14.1%	15.3%
Put IV 25d	17.3%	15.7%	19.9%	17.2%	19.9%
Bid-Ask Spread %	23.51	9.95	79.02	79.02	15.41
Gamma HHI	0.26	0.20	0.36	0.27	0.22
Net GEX	114.3M	32.1M	193.5M	35.9M	94.5M
Net DEX	-1.39B	-2.26B	-171.2M	-382.0M	-1.51B
Net VEX	-13.2M	-14.2M	-12.1M	-12.1M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.32	4.32	0.69	3.86
Total Volume	292,037.789	114,494	603,335	393,650	294,930
Total OI	4,644,221.053	3,980,782	5,249,740	3,980,782	4,905,699

Daily Data (19 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
2017-02-01	$23.39	$23.00	15.0%	4.0%	15.2%	1.3%	13.9%	3.1%	0.5%	35.9M	-382.0M	-12.1M	0.69	79.02	232,692	160,958	1,780,031	2,200,751
2017-02-02	$23.24	$23.00	15.8%	5.0%	14.8%	2.0%	17.1%	3.4%	0.2%	32.1M	-171.2M	-12.8M	1.02	10.55	86,126	87,877	1,906,014	2,289,496
2017-02-03	$23.73	$23.00	15.7%	4.6%	16.1%	1.9%	16.6%	2.8%	0.4%	83.8M	-1.14B	-12.8M	0.90	11.41	220,755	198,830	1,961,698	2,334,385
2017-02-06	$23.60	$23.00	15.4%	4.5%	16.1%	1.6%	16.4%	2.7%	-0.1%	90.5M	-842.6M	-13.2M	2.22	11.16	62,480	138,960	2,012,608	2,432,126
2017-02-07	$23.56	$23.00	15.0%	4.4%	15.8%	1.4%	16.5%	2.7%	0.2%	80.5M	-671.1M	-13.1M	3.33	10.33	26,435	88,059	1,967,270	2,444,544
2017-02-08	$23.40	$23.00	15.0%	4.9%	15.9%	1.3%	16.9%	2.7%	1.9%	47.1M	-416.2M	-13.0M	1.60	11.68	68,330	109,474	1,985,658	2,461,162
2017-02-09	$23.71	$23.00	15.3%	4.5%	16.6%	1.6%	17.0%	2.4%	0.4%	116.2M	-992.4M	-13.1M	1.05	11.43	74,845	78,435	2,016,796	2,537,268
2017-02-10	$23.79	$23.00	14.4%	4.4%	16.5%	0.9%	15.4%	1.5%	1.0%	126.1M	-1.17B	-13.2M	0.82	10.72	161,687	132,389	2,049,838	2,559,523
2017-02-13	$24.07	$23.00	15.6%	4.5%	16.8%	1.8%	16.0%	2.3%	-0.3%	170.6M	-1.72B	-12.8M	0.69	10.18	226,002	155,574	2,093,590	2,619,778
2017-02-14	$24.34	$23.00	16.0%	4.6%	14.0%	2.1%	17.1%	2.7%	-0.5%	165.1M	-2.18B	-12.9M	1.01	10.72	251,770	253,439	2,158,488	2,728,150
2017-02-15	$24.51	$23.00	15.8%	4.5%	13.8%	1.9%	16.3%	2.2%	0.1%	157.8M	-2.26B	-13.3M	0.32	12.16	457,588	145,747	2,171,563	2,875,693
2017-02-16	$24.45	$23.00	16.0%	4.6%	13.6%	2.1%	16.6%	2.4%	-1.4%	162.9M	-2.26B	-13.8M	2.63	9.95	75,915	199,724	2,281,653	2,865,298
2017-02-17	$24.45	$23.00	15.4%	4.5%	13.6%	1.6%	15.6%	2.3%	-1.0%	193.5M	-2.16B	-13.8M	4.32	11.06	62,601	270,715	2,296,193	2,953,547
2017-02-21	$24.60	$23.00	15.2%	4.2%	13.5%	1.5%	14.4%	0.5%	-3.2%	153.6M	-1.91B	-13.1M	0.44	12.93	127,310	56,091	1,980,436	2,539,060
2017-02-22	$24.61	$23.00	15.2%	4.4%	13.2%	1.5%	16.2%	2.7%	-2.0%	129.2M	-1.84B	-13.3M	0.97	76.25	150,392	145,754	1,953,914	2,572,976
2017-02-23	$24.61	$23.00	15.1%	4.4%	12.2%	1.4%	15.4%	3.0%	-1.1%	126.7M	-1.79B	-13.2M	3.55	37.58	75,648	268,513	1,959,676	2,628,261
2017-02-24	$24.42	$23.00	15.5%	4.6%	12.7%	1.7%	17.4%	2.7%	-0.7%	99.3M	-1.39B	-14.2M	1.95	16.26	79,637	155,296	1,998,980	2,847,010
2017-02-27	$24.57	$23.00	15.9%	4.8%	12.5%	2.0%	17.1%	2.5%	0.6%	106.7M	-1.65B	-13.9M	1.46	77.87	68,076	99,664	1,988,350	2,882,717
2017-02-28	$24.52	$23.00	17.4%	5.4%	12.2%	3.2%	19.0%	4.6%	1.7%	94.5M	-1.51B	-14.2M	3.86	15.41	60,738	234,192	2,014,609	2,891,090