XLF Options History — September 2017

In September 2017, XLF traded between $23.89 and $25.83. ATM implied volatility averaged 14.1%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.7% (HV 20d: 14.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2017-09-14: Highest Volume — 579,565 contracts
2017-09-05: Largest IV spike — 34.9% change
2017-09-27: Highest IV Rank — 24.9%
2017-09-05: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.98	$23.89	$25.83	$24.81	$25.83
Max Pain	$24.10	$24.00	$25.00	$24.00	$25.00
ATM IV	14.1%	12.5%	16.8%	12.5%	13.3%
Expected Move	4.1%	3.3%	4.9%	3.3%	3.9%
HV 20d	14.8%	11.1%	15.8%	11.1%	15.1%
HV 60d	12.0%	10.7%	12.6%	10.7%	11.8%
IV Rank	8.4%	1.0%	24.9%	1.0%	17.9%
IV Percentile	25.2%	4.8%	65.1%	4.8%	14.7%
Term Structure	0.3%	-0.2%	1.4%	0.3%	0.6%
VWIV	14.6%	12.1%	16.0%	12.1%	14.1%
Skew 25d	3.4%	2.1%	5.2%	3.5%	2.5%
Skew 10d	7.6%	5.1%	10.8%	8.3%	5.3%
Call IV 25d	13.3%	11.7%	15.0%	11.9%	12.7%
Put IV 25d	16.7%	15.0%	19.8%	15.4%	15.3%
Bid-Ask Spread %	2.26	1.77	2.78	2.53	2.56
Gamma HHI	0.29	0.21	0.49	0.37	0.30
Net GEX	151.2M	-85.9M	313.2M	137.1M	227.2M
Net DEX	-1.19B	-2.41B	650.3M	-836.0M	-2.41B
Net VEX	-14.2M	-15.5M	-13.5M	-14.1M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.20	3.14	0.96	0.32
Total Volume	221,346.3	102,020	579,565	154,436	232,709
Total OI	4,187,914.2	3,434,937	5,129,824	4,331,748	3,886,570

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
2017-09-01	$24.81	$24.00	12.5%	3.3%	11.1%	1.0%	12.1%	3.5%	0.3%	137.1M	-836.0M	-14.1M	0.96	2.53	78,779	75,657	1,901,927	2,429,821
2017-09-05	$24.23	$24.00	16.8%	4.9%	13.7%	4.4%	15.9%	5.0%	0.1%	-2.0M	66.0M	-14.1M	3.14	2.59	41,506	130,328	1,936,339	2,419,733
2017-09-06	$24.30	$24.00	14.6%	4.7%	13.8%	2.7%	15.7%	4.4%	0.5%	1.8M	-100.5M	-13.6M	1.33	2.32	99,669	132,480	1,964,720	2,461,379
2017-09-07	$23.89	$24.00	16.0%	4.7%	14.8%	3.7%	15.9%	5.2%	0.6%	-85.9M	650.3M	-14.2M	0.47	2.31	202,225	94,977	2,045,476	2,517,318
2017-09-08	$24.10	$24.00	16.5%	4.8%	14.6%	4.1%	15.8%	4.1%	0.8%	-36.7M	207.7M	-14.4M	0.69	2.36	116,862	80,124	2,116,297	2,552,412
2017-09-11	$24.50	$24.00	14.8%	4.7%	15.8%	2.8%	15.0%	3.8%	1.4%	60.6M	-456.1M	-14.3M	0.20	1.90	361,445	72,058	2,138,042	2,584,823
2017-09-12	$24.80	$24.00	14.0%	4.1%	15.8%	2.2%	15.1%	3.5%	0.2%	257.9M	-1.21B	-15.2M	0.20	2.23	211,450	42,967	2,420,560	2,567,715
2017-09-13	$24.84	$24.00	14.2%	4.1%	15.7%	2.3%	15.5%	3.2%	0.0%	313.2M	-1.48B	-15.1M	0.47	1.77	137,739	64,052	2,515,054	2,580,293
2017-09-14	$24.78	$24.00	13.8%	4.0%	15.6%	2.0%	16.0%	3.5%	-0.1%	259.7M	-1.25B	-15.5M	0.32	1.77	440,672	138,893	2,530,830	2,598,994
2017-09-15	$24.76	$24.00	13.8%	4.0%	14.5%	2.1%	15.0%	3.2%	0.2%	137.0M	-646.1M	-14.5M	0.71	1.90	61,623	43,566	2,118,214	2,618,423
2017-09-18	$25.04	$24.00	13.9%	4.0%	15.1%	2.1%	13.8%	2.7%	0.1%	160.3M	-1.26B	-13.9M	0.32	2.18	176,930	56,049	1,721,920	1,713,017
2017-09-19	$25.24	$24.00	14.4%	4.1%	15.2%	2.6%	14.2%	2.7%	-0.2%	179.5M	-1.57B	-14.0M	0.46	2.78	103,506	47,699	1,790,275	1,731,941
2017-09-20	$25.40	$24.00	13.2%	3.8%	15.0%	3.0%	13.2%	3.3%	-0.0%	196.0M	-1.82B	-14.0M	0.21	2.04	225,415	46,276	1,844,449	1,755,605
2017-09-21	$25.45	$24.00	13.0%	3.7%	14.9%	16.0%	13.7%	3.1%	-0.0%	236.4M	-1.99B	-14.2M	0.44	2.73	97,471	43,051	1,943,282	1,774,296
2017-09-22	$25.45	$24.00	12.8%	3.7%	14.9%	13.9%	13.7%	3.3%	-0.1%	190.5M	-1.85B	-14.2M	0.79	2.47	66,303	52,671	1,913,288	1,792,064
2017-09-25	$25.39	$24.00	13.6%	3.9%	14.9%	21.1%	14.1%	3.2%	0.2%	179.0M	-1.65B	-14.0M	0.72	2.23	59,337	42,683	1,869,732	1,774,309
2017-09-26	$25.38	$24.00	13.0%	3.4%	14.6%	15.4%	14.1%	3.0%	0.4%	194.3M	-1.65B	-13.6M	0.42	2.29	81,368	33,894	1,872,919	1,789,444
2017-09-27	$25.72	$24.50	14.1%	4.1%	15.1%	24.9%	14.4%	2.1%	0.2%	193.8M	-2.23B	-13.5M	0.24	2.06	236,654	57,495	1,913,593	1,799,907
2017-09-28	$25.72	$24.50	14.0%	4.0%	15.1%	24.5%	14.9%	2.7%	0.3%	223.5M	-2.26B	-14.2M	0.44	2.19	97,194	43,149	2,021,163	1,832,140
2017-09-29	$25.83	$25.00	13.3%	3.9%	15.1%	17.9%	14.1%	2.5%	0.6%	227.2M	-2.41B	-14.0M	0.32	2.56	175,974	56,735	2,038,349	1,848,221