XLF Options History — October 2017

In October 2017, XLF traded between $26.05 and $26.82. ATM implied volatility averaged 13.8%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.4% (HV 20d: 9.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.66.

Notable Days

2017-10-05: Highest Volume — 482,184 contracts
2017-10-25: Largest IV spike — 9.5% change
2017-10-09: Highest IV Rank — 32.1%
2017-10-30: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.39	$26.05	$26.82	$26.06	$26.59
Max Pain	$25.86	$25.00	$26.00	$25.00	$26.00
ATM IV	13.8%	12.7%	14.9%	13.7%	14.2%
Expected Move	4.1%	3.7%	4.4%	3.8%	4.3%
HV 20d	9.4%	8.1%	15.3%	15.3%	8.8%
HV 60d	12.0%	11.9%	12.2%	11.9%	12.1%
IV Rank	22.6%	12.8%	32.1%	22.1%	26.0%
IV Percentile	24.2%	7.1%	44.8%	19.0%	35.3%
Term Structure	0.1%	-1.2%	1.0%	0.4%	0.3%
VWIV	14.5%	12.8%	16.4%	15.2%	14.3%
Skew 25d	2.1%	0.9%	2.8%	2.7%	2.0%
Skew 10d	4.9%	3.1%	6.8%	5.8%	4.3%
Call IV 25d	13.4%	12.2%	14.2%	13.1%	13.9%
Put IV 25d	15.5%	14.3%	16.4%	15.8%	15.9%
Bid-Ask Spread %	2.04	1.61	2.91	2.27	2.08
Gamma HHI	0.30	0.21	0.39	0.35	0.38
Net GEX	215.3M	144.5M	301.5M	267.4M	192.0M
Net DEX	-2.57B	-3.20B	-2.11B	-2.83B	-2.11B
Net VEX	-13.9M	-14.6M	-13.4M	-13.8M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.19	13.16	0.69	0.44
Total Volume	232,260.773	74,534	482,184	438,848	117,264
Total OI	4,350,448.045	3,916,001	4,775,176	3,960,026	4,584,890

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
2017-10-02	$26.06	$25.00	13.7%	3.8%	15.3%	22.1%	15.2%	2.7%	0.4%	267.4M	-2.83B	-13.8M	0.69	2.27	259,554	179,294	2,112,976	1,847,050
2017-10-03	$26.15	$25.00	13.8%	3.8%	11.7%	22.2%	14.0%	2.5%	-0.2%	238.4M	-2.64B	-13.4M	0.41	2.20	129,160	52,446	1,994,071	1,921,930
2017-10-04	$26.05	$25.00	13.8%	3.9%	12.0%	22.3%	14.6%	2.2%	0.2%	252.4M	-2.50B	-13.9M	0.89	2.28	77,862	69,659	2,055,728	1,937,333
2017-10-05	$26.32	$26.00	14.1%	4.3%	9.5%	25.4%	14.4%	2.1%	-0.0%	207.7M	-2.92B	-13.6M	0.19	1.61	405,972	76,212	2,079,931	1,967,110
2017-10-06	$26.33	$26.00	13.9%	4.3%	9.5%	23.8%	14.3%	1.8%	0.4%	229.9M	-2.97B	-13.8M	0.25	1.79	209,317	52,609	2,179,819	1,987,074
2017-10-09	$26.24	$26.00	14.9%	4.3%	8.8%	32.1%	14.3%	2.3%	0.1%	222.8M	-2.61B	-13.8M	0.80	1.97	107,564	86,255	2,135,378	1,979,971
2017-10-10	$26.34	$26.00	14.1%	4.3%	8.1%	24.8%	14.8%	2.2%	1.0%	217.3M	-2.77B	-13.8M	0.99	1.83	65,150	64,713	2,147,029	2,037,407
2017-10-11	$26.30	$26.00	14.6%	4.3%	8.3%	29.4%	15.0%	2.1%	0.6%	217.0M	-2.76B	-13.7M	1.81	1.89	54,677	98,951	2,155,329	2,052,799
2017-10-12	$26.11	$26.00	14.4%	4.2%	8.9%	27.4%	15.0%	2.0%	0.2%	223.1M	-2.37B	-14.3M	1.56	2.13	136,715	213,244	2,186,184	2,098,751
2017-10-13	$26.12	$26.00	13.6%	4.0%	8.8%	20.7%	13.9%	2.1%	0.4%	230.3M	-2.30B	-14.4M	1.09	2.12	98,911	107,885	2,224,697	2,224,124
2017-10-16	$26.30	$26.00	13.5%	3.9%	8.4%	20.0%	13.5%	2.8%	-0.8%	229.2M	-2.64B	-13.8M	1.03	1.98	100,589	103,414	2,162,759	2,248,045
2017-10-17	$26.13	$26.00	12.9%	3.7%	8.7%	15.3%	13.2%	2.1%	-0.5%	301.5M	-2.40B	-13.4M	13.16	1.96	28,287	372,389	2,170,501	2,208,032
2017-10-18	$26.30	$26.00	13.6%	3.9%	8.7%	20.5%	13.6%	2.5%	-1.2%	221.6M	-2.57B	-14.1M	0.70	2.02	108,799	75,865	2,172,324	2,537,403
2017-10-19	$26.30	$26.00	12.7%	3.7%	8.7%	12.8%	12.8%	2.2%	-0.6%	243.5M	-2.53B	-14.1M	1.66	1.85	55,944	92,726	2,190,845	2,544,482
2017-10-20	$26.61	$26.00	13.2%	3.8%	9.4%	17.3%	13.6%	0.9%	-0.3%	144.5M	-3.20B	-13.7M	0.32	1.97	311,464	101,005	2,212,455	2,562,721
2017-10-23	$26.59	$26.00	13.2%	3.8%	9.3%	17.1%	13.4%	1.9%	0.4%	162.9M	-2.12B	-13.9M	0.43	1.76	170,243	72,537	1,928,373	2,346,944
2017-10-24	$26.78	$26.00	13.2%	3.9%	9.4%	17.7%	15.2%	1.8%	0.3%	188.9M	-2.52B	-13.5M	0.85	2.25	129,487	110,519	2,003,038	2,363,434
2017-10-25	$26.67	$26.00	14.5%	4.3%	8.8%	28.4%	15.8%	2.8%	0.2%	173.3M	-2.31B	-14.6M	1.15	2.17	71,351	82,230	2,090,187	2,391,882
2017-10-26	$26.82	$26.00	13.6%	4.2%	8.9%	21.2%	16.0%	2.1%	0.2%	195.5M	-2.60B	-14.1M	1.28	2.91	55,830	71,268	2,101,289	2,414,297
2017-10-27	$26.76	$26.00	13.9%	4.0%	8.9%	23.0%	14.7%	1.7%	0.1%	193.7M	-2.56B	-13.7M	5.40	2.05	40,262	217,580	2,129,678	2,457,356
2017-10-30	$26.68	$26.00	14.4%	4.4%	8.7%	27.8%	16.4%	2.0%	0.2%	184.7M	-2.28B	-13.7M	1.39	1.70	31,217	43,317	2,124,532	2,439,699
2017-10-31	$26.59	$26.00	14.2%	4.3%	8.8%	26.0%	14.3%	2.0%	0.3%	192.0M	-2.11B	-13.9M	0.44	2.08	81,349	35,915	2,135,268	2,449,622