XLF Options History — June 2017

In June 2017, XLF traded between $23.41 and $24.76. 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 1.5% (HV 20d: 13.1%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2017-06-07: Highest Volume — 613,702 contracts
2017-06-30: Largest IV drop — 15.0% change
2017-06-29: Highest IV Rank — 3.2%
2017-06-29: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.12	$23.41	$24.76	$23.50	$24.76
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	14.6%	13.2%	16.5%	15.8%	14.1%
Expected Move	4.3%	3.8%	4.6%	4.6%	3.9%
HV 20d	13.1%	10.3%	15.8%	13.9%	12.1%
HV 60d	13.7%	12.9%	14.9%	14.1%	13.2%
IV Rank	1.7%	0.6%	3.2%	2.6%	1.3%
IV Percentile	23.5%	2.4%	59.5%	42.5%	15.1%
Term Structure	0.1%	-1.9%	1.2%	-1.9%	0.2%
VWIV	15.1%	13.8%	16.6%	16.1%	14.1%
Skew 25d	2.7%	2.1%	3.2%	2.7%	2.8%
Skew 10d	6.1%	2.8%	9.2%	4.5%	6.1%
Call IV 25d	13.7%	12.6%	15.4%	14.0%	13.6%
Put IV 25d	16.4%	14.9%	18.1%	16.7%	16.4%
Bid-Ask Spread %	5.08	1.69	63.00	3.23	2.32
Gamma HHI	0.25	0.20	0.42	0.21	0.31
Net GEX	88.2M	-58.4M	230.1M	-58.4M	141.3M
Net DEX	-669.1M	-1.61B	461.8M	433.7M	-1.61B
Net VEX	-14.8M	-15.9M	-13.2M	-13.4M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.19	2.29	0.87	1.22
Total Volume	260,599.773	102,898	613,702	179,713	263,754
Total OI	4,544,392.136	3,777,752	5,392,645	4,609,311	4,388,632

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
2017-06-01	$23.50	$24.00	15.8%	4.6%	13.9%	2.6%	16.1%	2.7%	-1.9%	-58.4M	433.7M	-13.4M	0.87	3.23	95,995	83,718	1,912,507	2,696,804
2017-06-02	$23.46	$24.00	15.4%	4.5%	13.9%	2.3%	15.9%	2.8%	-1.8%	-37.6M	409.4M	-13.5M	0.76	63.00	112,520	85,721	1,971,968	2,715,976
2017-06-05	$23.50	$24.00	14.2%	4.4%	13.9%	1.4%	15.5%	2.4%	0.5%	-18.7M	326.6M	-13.3M	0.83	2.35	59,611	49,609	1,983,923	2,632,457
2017-06-06	$23.41	$24.00	14.6%	4.6%	13.9%	1.7%	14.7%	2.5%	0.3%	-30.3M	461.8M	-13.2M	0.58	2.03	266,825	153,810	2,000,220	2,643,922
2017-06-07	$23.62	$24.00	14.6%	4.0%	14.3%	1.7%	15.1%	2.8%	0.1%	-1.6M	178.1M	-13.7M	0.98	1.69	309,905	303,797	2,021,515	2,704,204
2017-06-08	$23.86	$24.00	13.9%	4.2%	14.7%	1.1%	14.8%	2.8%	0.6%	74.3M	-362.0M	-14.9M	0.30	1.73	151,997	45,608	2,265,154	2,877,816
2017-06-09	$24.28	$24.00	14.9%	4.3%	15.8%	1.9%	14.1%	2.8%	-0.1%	130.9M	-1.25B	-14.9M	0.28	3.27	263,804	74,307	2,331,782	2,894,721
2017-06-12	$24.32	$24.00	14.8%	4.4%	15.5%	1.8%	16.4%	3.1%	0.5%	168.0M	-1.28B	-14.9M	0.47	2.23	167,517	78,987	2,337,687	2,811,467
2017-06-13	$24.45	$24.00	14.1%	4.4%	15.4%	1.3%	14.3%	3.0%	1.2%	174.1M	-1.50B	-15.1M	0.54	2.07	139,526	75,442	2,357,620	2,859,754
2017-06-14	$24.48	$24.00	14.6%	4.5%	15.4%	1.7%	16.6%	3.2%	1.0%	191.6M	-1.58B	-15.1M	1.38	2.27	131,593	182,003	2,414,655	2,833,859
2017-06-15	$24.40	$24.00	14.6%	4.4%	10.3%	1.7%	14.9%	2.4%	0.8%	141.4M	-1.56B	-15.4M	0.28	2.68	181,943	51,806	2,487,066	2,905,579
2017-06-16	$24.27	$24.00	13.4%	4.0%	10.6%	0.7%	15.4%	2.6%	0.6%	111.1M	-742.4M	-15.2M	2.29	2.45	63,988	146,590	2,187,068	2,922,827
2017-06-19	$24.53	$24.00	13.3%	3.8%	11.0%	0.7%	14.1%	2.8%	0.1%	145.1M	-1.17B	-14.7M	1.72	2.34	108,113	186,059	1,802,532	1,975,220
2017-06-20	$24.35	$24.00	13.2%	3.8%	11.5%	0.6%	13.8%	2.1%	-0.0%	118.0M	-874.2M	-15.0M	1.22	2.54	80,037	97,705	1,785,322	2,019,349
2017-06-21	$24.15	$24.00	14.3%	4.1%	11.8%	1.4%	14.2%	3.1%	0.5%	74.8M	-509.6M	-15.6M	0.65	2.06	72,801	47,458	1,832,015	2,091,691
2017-06-22	$23.99	$24.00	14.5%	4.2%	12.1%	1.6%	14.6%	2.3%	0.0%	57.4M	-312.8M	-15.4M	1.58	2.19	101,791	161,330	1,869,520	2,103,751
2017-06-23	$23.85	$24.00	14.5%	4.1%	12.3%	1.6%	15.4%	2.3%	0.3%	38.6M	-58.5M	-15.4M	0.65	2.85	77,181	50,413	1,933,545	2,130,761
2017-06-26	$24.03	$24.00	14.1%	4.0%	12.6%	1.3%	16.0%	2.6%	0.0%	64.3M	-355.0M	-15.1M	1.62	1.72	39,342	63,556	1,909,506	2,108,532
2017-06-27	$24.18	$24.00	15.5%	4.5%	12.3%	2.4%	15.8%	2.5%	0.3%	67.6M	-577.8M	-15.2M	0.52	2.12	118,051	60,791	1,803,020	2,094,851
2017-06-28	$24.53	$24.00	15.5%	4.2%	12.4%	2.4%	14.6%	2.3%	-0.0%	157.8M	-1.21B	-15.6M	0.19	2.44	336,404	65,377	1,977,588	2,133,174
2017-06-29	$24.71	$24.00	16.5%	4.6%	12.2%	3.2%	16.1%	2.7%	-0.2%	230.1M	-1.57B	-15.9M	0.50	2.18	350,150	176,260	2,101,320	2,145,747
2017-06-30	$24.76	$24.00	14.1%	3.9%	12.1%	1.3%	14.1%	2.8%	0.2%	141.3M	-1.61B	-15.9M	1.22	2.32	119,036	144,718	2,151,241	2,237,391