XLF Options History — May 2017 In May 2017, XLF traded between $23.08 and $23.88. ATM implied volatility averaged 14.6%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.7% (HV 20d: 13.9%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.90.
Notable Days 2017-05-17 : Highest Volume — 523,048 contracts2017-05-17 : Largest IV spike — 46.0% change2017-05-17 : Highest IV Rank — 5.1%2017-05-17 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $23.59 $23.08 $23.88 $23.72 $23.25 Max Pain $24.00 $24.00 $24.00 $24.00 $24.00 ATM IV 14.6% 12.8% 18.9% 13.9% 15.9% Expected Move 4.3% 3.7% 5.4% 4.1% 4.8% HV 20d 13.9% 13.1% 17.0% 13.4% 13.7% HV 60d 14.7% 13.8% 15.5% 15.3% 13.9% IV Rank 1.7% 0.3% 5.1% 1.2% 2.7% IV Percentile 21.1% 0.4% 81.3% 8.3% 46.0% Term Structure -0.0% -1.7% 1.2% 0.4% -0.9% VWIV 15.5% 13.0% 19.6% 14.0% 17.0% Skew 25d 2.4% 1.5% 3.8% 1.5% 3.3% Skew 10d 5.2% 3.4% 8.5% 4.4% 4.1% Call IV 25d 13.5% 12.2% 17.5% 13.3% 14.0% Put IV 25d 16.0% 14.4% 20.7% 14.8% 17.4% Bid-Ask Spread % 15.65 1.68 82.42 77.32 57.86 Gamma HHI 0.20 0.18 0.27 0.21 0.22 Net GEX -47.4M -148.6M 6.2M -46.7M -83.6M Net DEX 269.6M -65.6M 1.15B 189.1M 754.1M Net VEX -13.4M -14.0M -12.9M -13.9M -12.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 0.45 4.82 1.11 3.12 Total Volume 174,487.5 46,110 523,048 117,836 309,380 Total OI 4,656,194.909 4,201,821 5,143,369 4,504,145 4,438,331
Daily Data (22 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 2017-05-01 $23.72 $24.00 13.9% 4.1% 13.4% 1.2% 14.0% 1.5% 0.4% -46.7M 189.1M -13.9M 1.11 77.32 55,894 61,942 1,848,187 2,655,958 2017-05-02 $23.61 $24.00 14.4% 4.1% 13.4% 1.5% 13.8% 2.2% 0.0% -57.5M 263.3M -13.7M 2.04 73.33 15,154 30,956 1,875,148 2,671,614 2017-05-03 $23.82 $24.00 13.7% 4.1% 13.7% 0.9% 14.3% 2.4% 0.5% -23.8M -54.5M -13.7M 1.05 82.42 67,657 71,256 1,888,330 2,685,723 2017-05-04 $23.88 $24.00 14.2% 4.4% 13.6% 1.3% 15.9% 2.0% -0.0% -20.9M -65.6M -13.9M 1.25 4.00 36,869 46,145 1,924,924 2,704,642 2017-05-05 $23.84 $24.00 13.8% 4.3% 13.6% 1.1% 15.3% 2.3% 0.3% -29.2M -8.0M -14.0M 0.85 5.42 42,576 35,981 1,947,559 2,729,448 2017-05-08 $23.80 $24.00 12.8% 4.0% 13.6% 0.3% 14.4% 2.1% 0.8% -20.1M -25.9M -13.2M 2.02 4.97 41,301 83,392 1,951,678 2,703,648 2017-05-09 $23.69 $24.00 14.1% 4.2% 13.6% 1.3% 14.9% 2.3% 0.5% -51.2M 188.4M -13.3M 1.02 10.09 78,413 79,722 1,951,714 2,747,402 2017-05-10 $23.79 $24.00 12.9% 4.0% 13.6% 0.4% 14.6% 1.9% 0.9% -8.1M -59.8M -13.2M 0.65 1.93 78,398 51,007 2,001,354 2,736,701 2017-05-11 $23.68 $24.00 14.0% 4.2% 13.4% 1.2% 14.9% 1.9% 0.2% -39.9M 159.3M -13.2M 3.91 1.68 48,343 189,080 2,039,994 2,754,965 2017-05-12 $23.54 $24.00 13.9% 4.2% 13.2% 1.1% 15.1% 2.2% 0.7% -100.7M 385.5M -13.3M 1.65 1.79 76,570 126,626 2,033,451 2,806,178 2017-05-15 $23.74 $24.00 13.9% 4.0% 13.3% 1.2% 14.7% 2.3% 1.0% -18.2M 76.9M -13.3M 1.20 1.71 122,552 147,218 2,062,664 2,848,260 2017-05-16 $23.78 $24.00 13.0% 3.7% 13.1% 0.4% 13.0% 2.6% 0.8% 6.2M -65.3M -13.3M 1.45 1.74 59,109 85,947 2,120,413 2,843,075 2017-05-17 $23.08 $24.00 18.9% 5.4% 17.0% 5.1% 19.6% 2.5% -0.4% -148.6M 1.15B -13.7M 3.03 1.95 129,942 393,106 2,134,397 2,862,655 2017-05-18 $23.20 $24.00 18.6% 5.3% 15.7% 4.8% 19.4% 3.8% -0.4% -137.8M 1.00B -13.9M 2.54 1.94 54,244 137,541 2,150,020 2,959,707 2017-05-19 $23.31 $24.00 16.2% 4.8% 15.5% 2.9% 18.2% 2.7% -1.7% -76.4M 656.4M -13.3M 4.03 1.95 46,890 188,939 2,166,680 2,976,689 2017-05-22 $23.39 $24.00 14.5% 4.3% 14.1% 1.6% 14.4% 3.0% 1.2% -62.6M 463.2M -13.0M 0.66 2.33 145,006 96,006 1,760,070 2,441,751 2017-05-23 $23.59 $24.00 14.7% 4.4% 14.0% 1.8% 14.9% 2.8% -1.0% -32.2M 204.4M -13.4M 1.39 2.39 80,109 111,353 1,824,473 2,507,060 2017-05-24 $23.59 $24.00 14.5% 4.4% 14.0% 1.6% 14.9% 2.8% -0.6% -26.1M 172.4M -13.3M 0.45 2.22 94,374 42,848 1,848,110 2,523,734 2017-05-25 $23.66 $24.00 14.2% 4.3% 14.0% 1.4% 15.5% 2.5% -0.8% -4.5M 89.0M -13.3M 1.28 2.08 40,171 51,349 1,900,588 2,536,923 2017-05-26 $23.64 $24.00 13.9% 4.2% 13.5% 1.1% 14.8% 2.1% -0.9% -17.7M 91.4M -13.3M 2.19 2.09 31,322 68,671 1,912,127 2,556,280 2017-05-30 $23.46 $24.00 15.5% 4.4% 13.5% 2.4% 16.5% 2.3% -1.6% -42.8M 365.2M -13.0M 4.82 3.18 14,656 70,710 1,852,645 2,551,018 2017-05-31 $23.25 $24.00 15.9% 4.8% 13.7% 2.7% 17.0% 3.3% -0.9% -83.6M 754.1M -12.9M 3.12 57.86 75,116 234,264 1,855,892 2,582,439
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