XLF Options History — July 2017

In July 2017, XLF traded between $24.77 and $25.21. ATM implied volatility averaged 13.1%, placing in the 1.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.5% (HV 20d: 10.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2017-07-25: Highest Volume — 350,132 contracts
2017-07-25: Largest IV spike — 11.7% change
2017-07-06: Highest IV Rank — 2.0%
2017-07-06: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.95	$24.77	$25.21	$25.03	$25.15
Max Pain	$24.88	$24.00	$25.00	$24.00	$25.00
ATM IV	13.1%	11.1%	15.1%	14.7%	12.2%
Expected Move	3.8%	3.2%	4.3%	4.2%	3.4%
HV 20d	10.6%	8.8%	12.5%	12.4%	9.1%
HV 60d	12.6%	11.8%	13.4%	13.4%	11.9%
IV Rank	1.0%	0.0%	2.0%	1.8%	0.9%
IV Percentile	11.6%	0.0%	36.5%	29.8%	2.0%
Term Structure	0.1%	-0.3%	0.6%	0.3%	0.3%
VWIV	13.8%	11.4%	16.3%	14.8%	12.8%
Skew 25d	2.4%	1.4%	3.4%	2.3%	2.7%
Skew 10d	5.9%	3.6%	9.2%	6.3%	7.3%
Call IV 25d	12.7%	10.9%	14.5%	14.1%	11.5%
Put IV 25d	15.1%	13.1%	17.3%	16.4%	14.1%
Bid-Ask Spread %	2.27	1.67	4.78	4.78	2.00
Gamma HHI	0.32	0.23	0.50	0.33	0.27
Net GEX	139.8M	62.6M	222.1M	151.6M	107.1M
Net DEX	-1.56B	-2.05B	-984.7M	-1.94B	-1.42B
Net VEX	-15.1M	-16.2M	-13.7M	-16.2M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.53	4.57	1.28	2.31
Total Volume	146,465.25	70,477	350,132	143,568	103,793
Total OI	4,143,478.35	3,507,610	4,461,672	4,219,505	3,854,218

Daily Data (20 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
2017-07-03	$25.03	$24.00	14.7%	4.2%	12.4%	1.8%	14.8%	2.3%	0.3%	151.6M	-1.94B	-16.2M	1.28	4.78	62,947	80,621	1,996,024	2,223,481
2017-07-05	$25.09	$24.00	14.7%	4.2%	12.2%	1.7%	15.4%	2.4%	0.2%	161.9M	-2.05B	-16.1M	1.58	1.82	50,495	79,777	2,021,497	2,228,985
2017-07-06	$24.92	$25.00	15.1%	4.3%	12.5%	2.0%	15.1%	2.4%	-0.2%	159.4M	-1.76B	-16.1M	1.05	2.92	102,606	107,608	2,023,642	2,242,238
2017-07-07	$25.05	$25.00	14.4%	4.2%	12.2%	1.5%	15.1%	2.9%	-0.0%	169.5M	-1.88B	-15.9M	0.53	2.40	151,413	80,983	1,982,568	2,268,822
2017-07-10	$25.03	$25.00	14.2%	4.1%	10.9%	1.3%	15.3%	2.6%	-0.3%	162.6M	-2.01B	-15.2M	2.66	2.14	45,597	121,064	1,976,367	2,220,181
2017-07-11	$24.84	$25.00	14.6%	4.2%	11.4%	1.7%	16.3%	3.4%	-0.2%	140.4M	-1.47B	-16.1M	1.28	2.03	91,857	117,176	1,979,955	2,269,450
2017-07-12	$24.87	$25.00	14.5%	4.2%	11.3%	1.6%	15.6%	2.8%	0.1%	156.7M	-1.58B	-15.9M	0.81	1.89	71,594	57,727	2,031,490	2,285,965
2017-07-13	$25.01	$25.00	14.4%	4.2%	11.4%	1.5%	15.5%	2.7%	0.3%	169.6M	-1.86B	-15.5M	0.91	2.25	66,505	60,194	2,030,215	2,315,479
2017-07-14	$24.93	$25.00	13.3%	3.9%	11.4%	0.7%	13.6%	2.7%	0.5%	202.1M	-1.69B	-15.6M	0.57	2.01	128,601	72,963	2,067,117	2,371,973
2017-07-17	$24.83	$25.00	12.9%	3.7%	11.3%	0.3%	13.4%	1.9%	-0.1%	164.1M	-1.59B	-15.0M	1.64	1.96	26,708	43,769	2,052,676	2,359,200
2017-07-18	$24.77	$25.00	12.6%	3.6%	10.8%	0.1%	12.8%	1.9%	-0.1%	153.1M	-1.41B	-15.1M	0.79	1.92	60,944	48,374	2,043,188	2,381,991
2017-07-19	$24.82	$25.00	11.1%	3.2%	10.4%	0.0%	11.4%	1.9%	0.6%	177.3M	-1.52B	-14.5M	1.36	2.19	31,458	42,907	2,047,094	2,379,461
2017-07-20	$24.86	$25.00	11.3%	3.2%	9.8%	0.1%	13.2%	2.3%	0.4%	222.1M	-1.65B	-14.2M	0.65	1.73	45,371	29,439	2,061,828	2,381,862
2017-07-21	$24.79	$25.00	11.3%	3.3%	9.5%	0.1%	12.2%	1.4%	-0.3%	71.8M	-1.47B	-14.2M	1.64	1.77	36,579	60,156	2,077,796	2,383,876
2017-07-24	$24.92	$25.00	11.2%	3.2%	9.1%	0.1%	12.4%	2.2%	0.4%	87.8M	-1.13B	-13.7M	2.87	1.94	27,771	79,681	1,576,788	1,930,822
2017-07-25	$25.21	$25.00	12.6%	3.7%	9.5%	1.1%	12.7%	2.0%	0.3%	88.3M	-1.43B	-14.2M	1.50	2.71	140,130	210,002	1,584,389	1,979,678
2017-07-26	$25.04	$24.50	12.1%	3.4%	9.9%	0.7%	12.2%	1.9%	0.4%	87.1M	-1.20B	-14.8M	1.62	2.61	45,789	74,294	1,663,769	2,029,040
2017-07-27	$24.90	$25.00	12.9%	3.7%	9.1%	1.4%	13.3%	3.0%	0.1%	62.6M	-984.7M	-15.0M	4.57	2.60	28,207	128,848	1,678,987	2,076,131
2017-07-28	$24.96	$25.00	12.6%	3.5%	8.8%	1.1%	12.8%	2.7%	0.3%	100.0M	-1.09B	-14.7M	2.45	1.67	33,422	81,935	1,681,931	2,109,393
2017-07-31	$25.15	$25.00	12.2%	3.4%	9.1%	0.9%	12.8%	2.7%	0.3%	107.1M	-1.42B	-14.7M	2.31	2.00	31,318	72,475	1,728,004	2,126,214