XLF Options History — March 2017

In March 2017, XLF traded between $23.45 and $25.28. ATM implied volatility averaged 15.4%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.5% (HV 20d: 15.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.28.

Notable Days

2017-03-30: Highest Volume — 686,492 contracts
2017-03-21: Largest IV spike — 26.9% change
2017-03-24: Highest IV Rank — 4.5%
2017-03-27: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.34	$23.45	$25.28	$25.28	$23.82
Max Pain	$23.87	$23.00	$24.00	$23.00	$24.00
ATM IV	15.4%	12.5%	18.2%	16.7%	15.8%
Expected Move	4.5%	3.7%	5.3%	4.8%	4.7%
HV 20d	15.9%	13.6%	19.0%	15.5%	15.0%
HV 60d	14.9%	13.9%	15.9%	14.7%	15.7%
IV Rank	2.1%	0.0%	4.5%	2.7%	2.7%
IV Percentile	30.5%	0.0%	74.2%	45.6%	36.9%
Term Structure	0.3%	-1.0%	1.4%	-1.0%	0.2%
VWIV	16.2%	13.6%	18.9%	18.0%	16.6%
Skew 25d	1.6%	-18.5%	4.3%	-18.5%	1.3%
Skew 10d	-4.2%	-94.6%	10.1%	-94.6%	4.2%
Call IV 25d	15.8%	12.1%	36.7%	36.7%	16.0%
Put IV 25d	17.5%	14.8%	20.4%	18.2%	17.2%
Bid-Ask Spread %	19.97	9.39	76.83	60.62	74.79
Gamma HHI	0.23	0.15	0.38	0.29	0.18
Net GEX	28.7M	-259.2M	134.0M	114.8M	18.1M
Net DEX	-696.8M	-2.74B	1.09B	-2.74B	65.1M
Net VEX	-14.6M	-16.6M	-13.0M	-13.0M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.23	3.44	0.90	3.44
Total Volume	324,915.217	135,884	686,492	616,303	288,799
Total OI	5,170,153.13	4,255,792	5,823,499	5,110,215	5,356,278

Daily Data (23 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
2017-03-01	$25.28	$23.00	16.7%	4.8%	15.5%	2.7%	18.0%	-18.5%	-1.0%	114.8M	-2.74B	-13.0M	0.90	60.62	324,462	291,841	2,032,933	3,077,282
2017-03-02	$24.89	$23.00	16.4%	4.9%	17.0%	2.4%	17.9%	2.0%	0.6%	98.9M	-1.98B	-13.7M	0.23	15.14	333,766	75,828	2,044,938	3,190,804
2017-03-03	$24.95	$23.00	16.1%	4.6%	16.6%	2.2%	16.4%	2.6%	1.1%	132.2M	-2.13B	-13.6M	0.59	13.29	157,918	93,891	2,113,680	3,226,664
2017-03-06	$24.85	$24.00	15.5%	4.5%	15.5%	1.7%	16.4%	1.7%	0.2%	122.2M	-1.90B	-13.8M	1.28	11.41	80,326	102,687	2,126,632	3,115,156
2017-03-07	$24.72	$24.00	15.3%	4.4%	15.5%	1.6%	15.8%	2.2%	0.7%	110.2M	-1.67B	-13.6M	1.35	12.41	105,842	142,867	2,145,899	3,166,213
2017-03-08	$24.75	$24.00	15.9%	4.5%	15.4%	2.1%	16.6%	2.6%	0.6%	112.6M	-1.64B	-14.4M	1.97	11.80	93,485	183,773	2,174,000	3,241,699
2017-03-09	$24.81	$24.00	14.5%	4.4%	15.0%	1.0%	17.2%	3.0%	-0.2%	114.3M	-1.80B	-14.1M	2.02	12.97	78,333	158,545	2,206,767	3,355,806
2017-03-10	$24.77	$24.00	13.9%	4.2%	14.6%	0.4%	16.1%	2.6%	0.3%	92.2M	-1.70B	-14.4M	0.53	13.52	326,313	174,058	2,239,469	3,418,023
2017-03-13	$24.82	$24.00	12.5%	4.1%	14.6%	0.0%	15.3%	2.0%	0.7%	134.0M	-1.76B	-14.2M	0.31	12.59	218,098	67,261	2,357,669	3,377,984
2017-03-14	$24.77	$24.00	14.5%	4.1%	14.2%	1.6%	15.7%	1.7%	-0.3%	113.0M	-1.67B	-14.5M	3.38	13.20	32,241	108,986	2,375,764	3,318,307
2017-03-15	$24.76	$24.00	12.9%	3.8%	13.7%	0.4%	14.0%	4.3%	0.2%	80.7M	-1.71B	-14.0M	0.78	76.83	166,215	130,287	2,385,622	3,367,062
2017-03-16	$24.82	$24.00	13.2%	3.8%	13.6%	0.6%	13.6%	1.9%	-0.1%	87.4M	-1.77B	-14.2M	0.48	11.30	450,805	216,912	2,399,915	3,423,584
2017-03-17	$24.50	$24.00	13.7%	4.1%	14.4%	1.0%	14.3%	2.7%	1.4%	-259.2M	54.8M	-14.3M	2.74	10.04	54,614	149,494	1,920,095	3,544,541
2017-03-20	$24.35	$24.00	13.0%	3.7%	14.5%	0.4%	13.7%	2.9%	0.7%	-29.7M	30.8M	-14.0M	2.84	9.39	36,774	104,287	1,561,437	2,694,355
2017-03-21	$23.55	$24.00	16.5%	4.7%	18.5%	3.2%	16.2%	3.5%	-0.1%	-100.3M	1.05B	-14.2M	0.98	15.70	300,718	295,008	1,576,885	2,744,388
2017-03-22	$23.55	$24.00	17.4%	5.0%	18.5%	3.9%	16.6%	3.4%	-0.3%	-93.3M	1.09B	-15.1M	0.93	13.34	255,185	238,153	1,678,898	2,842,712
2017-03-23	$23.56	$24.00	18.0%	5.1%	18.5%	4.4%	17.1%	3.8%	1.4%	-72.9M	897.8M	-15.6M	0.76	12.19	130,630	99,422	1,823,319	2,910,308
2017-03-24	$23.55	$24.00	18.2%	5.2%	18.4%	4.5%	17.4%	3.4%	0.7%	-55.9M	950.3M	-15.9M	0.35	13.62	196,923	68,624	1,875,524	2,953,508
2017-03-27	$23.45	$24.00	18.0%	5.3%	18.1%	4.3%	18.9%	2.9%	-0.5%	-53.0M	932.6M	-15.9M	1.06	13.74	75,119	79,456	1,945,601	2,905,145
2017-03-28	$23.77	$24.00	15.3%	4.5%	19.0%	2.2%	16.3%	2.3%	0.1%	-3.4M	495.1M	-15.4M	0.69	10.77	80,270	55,614	1,967,411	2,908,770
2017-03-29	$23.64	$24.00	15.5%	4.4%	14.8%	2.4%	15.5%	2.2%	-0.1%	-34.6M	760.5M	-15.5M	1.33	9.70	69,863	92,865	1,969,629	2,952,311
2017-03-30	$23.94	$24.00	16.0%	4.6%	15.1%	2.8%	16.0%	1.4%	0.4%	32.8M	114.2M	-15.3M	0.48	11.03	464,422	222,070	1,948,879	2,951,656
2017-03-31	$23.82	$24.00	15.8%	4.7%	15.0%	2.7%	16.6%	1.3%	0.2%	18.1M	65.1M	-16.6M	3.44	74.79	65,059	223,740	2,323,815	3,032,463