XLF Options History — April 2017

In April 2017, XLF traded between $22.93 and $23.92. ATM implied volatility averaged 17.3%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.2% (HV 20d: 14.1%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.99.

Notable Days

2017-04-13: Highest Volume — 454,054 contracts
2017-04-24: Largest IV drop — 15.4% change
2017-04-12: Highest IV Rank — 6.2%
2017-04-12: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.46	$22.93	$23.92	$23.68	$23.55
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	17.3%	13.7%	20.3%	16.5%	13.8%
Expected Move	4.9%	3.9%	5.7%	4.8%	3.9%
HV 20d	14.1%	9.9%	15.1%	15.1%	13.2%
HV 60d	15.1%	14.5%	15.6%	15.6%	15.3%
IV Rank	3.8%	1.0%	6.2%	3.2%	1.1%
IV Percentile	57.1%	4.8%	91.3%	48.4%	6.7%
Term Structure	-0.1%	-1.4%	1.4%	1.4%	0.2%
VWIV	17.6%	14.1%	21.6%	16.4%	14.1%
Skew 25d	3.1%	2.1%	4.8%	2.8%	2.2%
Skew 10d	6.4%	4.1%	9.6%	4.7%	4.8%
Call IV 25d	16.0%	13.1%	18.5%	16.1%	13.2%
Put IV 25d	19.2%	15.4%	22.2%	18.9%	15.4%
Bid-Ask Spread %	12.72	4.21	74.77	12.90	5.78
Gamma HHI	0.22	0.18	0.32	0.18	0.19
Net GEX	-84.7M	-195.3M	-1.3M	-1.3M	-51.0M
Net DEX	918.2M	-134.8M	2.00B	458.9M	410.3M
Net VEX	-15.2M	-16.7M	-13.9M	-16.7M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	0.23	10.44	0.70	10.44
Total Volume	226,202	57,527	454,054	216,608	401,333
Total OI	5,174,536.421	4,463,094	5,518,435	5,330,025	4,558,822

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
2017-04-03	$23.68	$24.00	16.5%	4.8%	15.1%	3.2%	16.4%	2.8%	1.4%	-1.3M	458.9M	-16.7M	0.70	12.90	127,494	89,114	2,307,318	3,022,707
2017-04-04	$23.65	$24.00	17.0%	4.7%	15.0%	3.6%	17.1%	2.4%	-0.4%	-13.7M	568.4M	-16.6M	1.01	74.77	55,939	56,660	2,308,252	3,083,902
2017-04-05	$23.54	$24.00	16.5%	4.7%	15.0%	3.1%	15.9%	3.1%	0.4%	-59.7M	825.7M	-16.3M	0.23	14.61	210,344	47,334	2,240,455	3,100,496
2017-04-06	$23.61	$24.00	16.9%	4.9%	15.0%	3.5%	18.3%	2.8%	0.3%	-48.7M	764.7M	-16.1M	0.46	9.43	189,880	87,635	2,241,888	3,127,882
2017-04-07	$23.55	$24.00	18.1%	4.8%	15.0%	4.4%	17.4%	3.8%	-0.3%	-64.6M	888.3M	-16.2M	2.11	10.56	63,254	133,542	2,274,534	3,146,650
2017-04-10	$23.46	$24.00	18.5%	5.4%	14.9%	4.8%	18.5%	3.4%	0.3%	-87.1M	1.07B	-15.9M	0.89	6.65	113,083	101,042	2,228,159	3,189,650
2017-04-11	$23.37	$24.00	19.8%	5.6%	14.9%	5.8%	19.1%	3.1%	-0.4%	-117.1M	1.28B	-15.6M	1.95	9.38	72,771	141,874	2,220,139	3,193,695
2017-04-12	$23.20	$24.00	20.3%	5.7%	15.0%	6.2%	21.4%	3.7%	0.0%	-136.4M	1.45B	-15.1M	1.99	7.76	99,473	198,097	2,220,355	3,143,392
2017-04-13	$23.01	$24.00	19.4%	5.4%	14.9%	5.4%	18.1%	4.4%	-0.5%	-174.6M	1.85B	-15.1M	4.87	8.04	77,372	376,682	2,267,096	3,173,373
2017-04-17	$22.93	$24.00	19.5%	5.6%	14.5%	5.5%	21.6%	3.7%	0.3%	-194.1M	2.00B	-15.1M	4.12	4.38	30,558	125,929	2,218,413	3,271,213
2017-04-18	$23.13	$24.00	18.4%	5.2%	15.1%	4.7%	18.1%	3.3%	0.2%	-182.3M	1.65B	-14.7M	1.38	7.67	47,530	65,472	2,227,486	3,187,327
2017-04-19	$22.99	$24.00	17.8%	5.1%	9.9%	4.2%	17.7%	3.5%	-0.4%	-195.3M	1.75B	-14.5M	2.52	9.30	60,153	151,539	2,255,651	3,150,236
2017-04-20	$23.43	$24.00	17.9%	5.2%	12.2%	4.3%	18.0%	3.2%	-0.6%	-123.6M	1.09B	-14.5M	0.89	7.22	172,099	152,411	2,254,772	3,129,785
2017-04-21	$23.26	$24.00	18.8%	5.5%	12.5%	5.0%	20.9%	4.8%	-1.4%	-89.1M	1.24B	-14.9M	0.87	11.84	171,773	149,101	2,376,280	3,142,155
2017-04-24	$23.69	$24.00	15.9%	4.6%	14.2%	2.7%	16.2%	2.7%	0.4%	-33.4M	255.0M	-14.7M	0.30	27.58	140,399	42,649	1,831,614	2,631,480
2017-04-25	$23.90	$24.00	14.5%	4.2%	14.4%	1.6%	14.7%	2.5%	-0.5%	-9.0M	-70.0M	-14.6M	1.30	4.21	90,789	118,468	1,824,678	2,644,222
2017-04-26	$23.92	$24.00	14.6%	4.1%	13.6%	1.7%	15.3%	2.1%	-0.1%	-2.1M	-134.8M	-14.4M	0.70	4.32	46,096	32,422	1,860,353	2,700,229
2017-04-27	$23.79	$24.00	13.7%	4.2%	13.6%	1.0%	14.7%	2.4%	0.1%	-26.1M	99.9M	-14.3M	1.12	5.18	27,176	30,351	1,859,959	2,701,574
2017-04-28	$23.55	$24.00	13.8%	3.9%	13.2%	1.1%	14.1%	2.2%	0.2%	-51.0M	410.3M	-13.9M	10.44	5.78	35,076	366,257	1,864,597	2,694,225