XLF Options History — August 2017

In August 2017, XLF traded between $24.57 and $25.39. ATM implied volatility averaged 13.4%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.1% (HV 20d: 10.3%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.59.

Notable Days

2017-08-11: Highest Volume — 236,311 contracts
2017-08-10: Largest IV spike — 15.7% change
2017-08-11: Highest IV Rank — 3.5%
2017-08-17: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.94	$24.57	$25.39	$25.25	$24.69
Max Pain	$24.09	$24.00	$25.00	$25.00	$24.00
ATM IV	13.4%	11.5%	15.7%	12.5%	13.1%
Expected Move	3.9%	3.0%	4.4%	3.3%	3.7%
HV 20d	10.3%	7.8%	12.2%	8.4%	11.3%
HV 60d	11.3%	10.5%	12.2%	11.9%	10.9%
IV Rank	1.7%	0.2%	3.5%	1.0%	1.5%
IV Percentile	15.6%	1.6%	49.6%	2.8%	10.7%
Term Structure	0.6%	-1.4%	2.5%	-0.2%	1.2%
VWIV	14.9%	11.4%	18.9%	11.4%	14.1%
Skew 25d	3.8%	2.2%	5.1%	2.7%	4.3%
Skew 10d	8.7%	3.7%	12.4%	5.7%	9.2%
Call IV 25d	12.5%	11.1%	14.8%	11.3%	12.5%
Put IV 25d	16.3%	13.3%	20.0%	14.0%	16.8%
Bid-Ask Spread %	2.43	1.75	4.97	2.01	2.28
Gamma HHI	0.28	0.22	0.35	0.25	0.30
Net GEX	94.9M	38.8M	161.9M	122.6M	83.4M
Net DEX	-1.03B	-1.77B	-331.2M	-1.58B	-601.1M
Net VEX	-14.9M	-16.1M	-14.1M	-14.6M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.42	4.19	1.47	2.57
Total Volume	125,823.13	58,765	236,311	113,416	98,327
Total OI	4,183,547.217	3,883,366	4,414,354	3,883,366	4,316,232

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
2017-08-01	$25.25	$25.00	12.5%	3.3%	8.4%	1.0%	11.4%	2.7%	-0.2%	122.6M	-1.58B	-14.6M	1.47	2.01	45,847	67,569	1,740,378	2,142,988
2017-08-02	$25.29	$25.00	11.5%	3.0%	8.4%	0.2%	13.2%	2.4%	-0.0%	126.9M	-1.64B	-14.4M	1.54	2.52	43,118	66,286	1,746,709	2,182,755
2017-08-03	$25.20	$24.00	12.0%	3.8%	8.1%	0.7%	12.8%	2.2%	0.2%	116.3M	-1.48B	-14.5M	1.09	2.86	32,177	35,084	1,752,224	2,207,087
2017-08-04	$25.39	$24.00	11.6%	3.9%	8.3%	0.3%	13.6%	2.4%	0.1%	161.9M	-1.77B	-14.1M	1.58	2.01	43,536	68,683	1,766,642	2,210,924
2017-08-07	$25.36	$24.00	12.1%	4.1%	8.3%	0.7%	14.1%	2.6%	1.9%	107.6M	-1.67B	-14.3M	2.98	2.14	24,695	73,606	1,740,537	2,233,386
2017-08-08	$25.32	$24.00	12.3%	4.2%	7.8%	0.9%	14.7%	2.4%	2.5%	103.9M	-1.61B	-14.4M	0.42	2.94	158,516	66,259	1,754,952	2,252,721
2017-08-09	$25.26	$24.00	12.5%	4.1%	7.9%	1.1%	14.2%	3.3%	1.8%	110.3M	-1.62B	-14.9M	2.06	2.41	66,947	137,624	1,864,725	2,258,049
2017-08-10	$24.88	$24.00	14.5%	4.2%	9.5%	2.6%	16.6%	3.9%	-0.2%	57.5M	-885.2M	-15.8M	1.68	2.47	56,985	95,564	1,896,561	2,332,286
2017-08-11	$24.75	$24.00	15.7%	4.3%	9.6%	3.5%	16.4%	4.5%	-0.9%	58.0M	-576.6M	-16.1M	4.19	2.29	45,570	190,741	1,922,677	2,374,717
2017-08-14	$25.07	$24.00	13.4%	3.9%	10.5%	1.7%	14.3%	3.7%	0.6%	134.6M	-1.33B	-15.0M	1.49	2.03	30,134	45,029	1,925,437	2,358,015
2017-08-15	$25.18	$24.00	13.7%	3.9%	10.6%	1.9%	16.7%	3.4%	0.6%	137.8M	-1.53B	-14.8M	0.44	1.75	102,785	45,295	1,935,318	2,374,386
2017-08-16	$25.05	$24.00	13.7%	3.9%	10.8%	2.0%	15.3%	4.2%	0.6%	123.5M	-1.30B	-14.8M	1.67	2.23	42,079	70,286	1,936,871	2,375,545
2017-08-17	$24.66	$24.00	15.6%	4.4%	12.2%	3.4%	18.9%	5.1%	1.8%	38.8M	-467.1M	-15.8M	2.66	2.26	44,712	119,140	1,951,328	2,408,139
2017-08-18	$24.67	$24.00	15.2%	4.2%	12.1%	3.2%	18.7%	4.9%	1.9%	47.2M	-441.0M	-15.8M	0.75	2.18	129,064	97,217	1,948,061	2,466,293
2017-08-21	$24.57	$24.00	15.1%	4.3%	12.0%	3.1%	16.0%	4.7%	-1.2%	51.3M	-331.2M	-15.5M	1.65	2.47	53,872	88,995	1,870,655	2,292,207
2017-08-22	$24.81	$24.00	13.1%	3.6%	11.8%	1.5%	14.2%	4.6%	0.1%	115.7M	-867.7M	-14.8M	0.77	2.29	39,580	30,380	1,880,074	2,347,393
2017-08-23	$24.78	$24.00	13.3%	3.8%	11.6%	1.7%	15.3%	4.5%	0.2%	108.8M	-775.7M	-14.8M	1.86	1.96	31,738	58,974	1,878,064	2,341,127
2017-08-24	$24.74	$24.00	14.1%	4.1%	11.4%	2.3%	15.1%	4.3%	-1.4%	83.9M	-620.6M	-15.0M	1.04	2.52	45,446	47,283	1,890,369	2,369,563
2017-08-25	$24.83	$24.00	12.9%	3.6%	11.5%	1.4%	14.5%	3.8%	0.0%	103.0M	-951.1M	-14.5M	0.63	2.51	57,352	35,912	1,901,747	2,374,176
2017-08-28	$24.66	$24.00	13.2%	3.9%	11.3%	1.6%	13.6%	4.7%	1.4%	71.7M	-569.4M	-14.5M	1.81	2.33	20,911	37,854	1,855,527	2,349,407
2017-08-29	$24.57	$24.00	13.1%	4.1%	11.2%	1.5%	14.1%	5.0%	1.5%	50.3M	-394.3M	-14.5M	1.15	4.97	60,008	69,144	1,861,897	2,366,139
2017-08-30	$24.68	$24.00	13.2%	4.0%	11.4%	1.6%	15.3%	4.0%	1.3%	67.8M	-657.2M	-14.3M	1.08	2.44	35,367	38,241	1,863,640	2,403,658
2017-08-31	$24.69	$24.00	13.1%	3.7%	11.3%	1.5%	14.1%	4.3%	1.2%	83.4M	-601.1M	-14.3M	2.57	2.28	27,560	70,767	1,880,655	2,435,577