XLF Options History — November 2017

In November 2017, XLF traded between $26.10 and $27.54. ATM implied volatility averaged 14.4%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.9% (HV 20d: 9.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-11-29: Highest Volume — 749,916 contracts
  • 2017-11-29: Largest IV spike — 13.7% change
  • 2017-11-29: Highest IV Rank — 62.4%
  • 2017-11-29: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.47$26.10$27.54$26.65$27.54
Max Pain$25.12$25.00$26.00$26.00$26.00
ATM IV14.4%12.7%16.9%14.1%15.1%
Expected Move4.5%4.0%5.5%4.1%5.2%
HV 20d9.5%7.6%13.5%8.6%13.5%
HV 60d11.5%11.1%12.1%12.0%11.5%
IV Rank31.3%13.1%62.4%25.1%43.0%
IV Percentile40.9%7.5%81.0%32.9%58.7%
Term Structure0.3%-1.1%2.1%0.0%0.1%
VWIV15.7%13.8%19.7%15.5%18.7%
Skew 25d1.9%1.1%2.9%1.6%1.7%
Skew 10d3.7%2.2%5.4%3.3%3.3%
Call IV 25d13.8%12.4%16.1%13.5%15.3%
Put IV 25d15.7%13.7%17.7%15.1%17.1%
Bid-Ask Spread %2.201.733.611.982.46
Gamma HHI0.330.200.440.420.36
Net GEX136.3M54.3M251.4M210.3M234.8M
Net DEX-1.76B-3.56B-1.01B-2.23B-3.56B
Net VEX-12.7M-13.6M-11.5M-13.4M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.222.691.040.79
Total Volume202,037.04849,799749,91649,799691,537
Total OI4,562,890.6674,146,6444,945,5664,631,5054,639,287

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$26.65$26.0014.1%4.1%8.6%25.1%15.5%1.6%0.0%210.3M-2.23B-13.4M1.041.9824,41825,3812,164,8972,466,608
2017-11-02$26.88$25.0013.3%4.3%8.4%18.4%15.1%1.8%0.2%232.1M-2.69B-13.2M0.221.91104,65423,3752,167,2162,471,915
2017-11-03$26.77$25.0013.1%4.2%8.6%16.4%15.4%1.7%0.3%232.4M-2.54B-13.0M0.981.8078,46676,5882,183,1942,477,909
2017-11-06$26.77$25.0012.7%4.1%8.5%13.1%14.7%1.7%1.6%251.4M-2.41B-12.9M0.961.7369,35766,6552,144,6942,482,896
2017-11-07$26.37$25.0014.1%4.7%10.1%25.2%16.6%2.1%2.1%160.7M-1.59B-13.4M1.291.9963,73081,9382,154,0462,492,247
2017-11-08$26.24$25.0014.6%4.6%10.3%29.0%15.8%2.1%1.5%78.3M-1.20B-13.2M0.991.96111,458110,0642,162,5762,515,398
2017-11-09$26.17$25.0015.0%4.7%10.0%32.9%16.1%2.2%1.7%96.7M-1.19B-13.6M1.472.3173,276107,4482,191,1372,575,735
2017-11-10$26.10$25.0014.7%4.5%10.0%30.6%15.1%2.1%1.8%64.9M-1.01B-13.0M0.712.1389,15662,9622,190,6552,612,276
2017-11-13$26.14$25.0015.1%4.4%9.7%33.5%15.2%2.0%-0.6%67.1M-1.21B-12.7M0.912.0049,07044,8152,207,2362,539,448
2017-11-14$26.11$25.0015.4%4.5%9.4%35.9%15.6%2.5%-0.4%54.3M-1.15B-12.9M1.102.2863,02269,2302,233,2482,556,067
2017-11-15$26.23$25.0016.2%4.6%9.3%42.8%16.3%2.9%-0.6%65.9M-1.27B-13.0M0.372.50133,66648,8972,264,9062,573,064
2017-11-16$26.18$25.0015.0%4.3%9.3%35.9%15.0%2.0%-0.2%82.0M-1.37B-13.0M1.242.5134,76343,0072,352,8802,580,407
2017-11-17$26.15$25.0015.5%4.5%8.1%45.9%16.0%1.7%-1.1%87.7M-1.39B-12.9M1.672.1174,364124,1862,352,5962,592,970
2017-11-20$26.28$25.0013.5%4.0%8.4%25.7%14.1%1.9%0.4%115.0M-1.31B-12.6M1.402.0133,57846,9211,881,1682,265,476
2017-11-21$26.36$25.0013.3%4.0%8.0%24.0%14.1%2.0%0.6%133.7M-1.47B-12.3M0.911.8857,06451,8731,899,9642,281,766
2017-11-22$26.26$25.0013.0%4.0%8.0%20.2%14.1%1.1%0.5%103.5M-1.40B-11.9M1.152.5533,56738,5301,890,6672,294,011
2017-11-24$26.22$25.0013.6%4.1%7.6%27.2%13.8%2.3%-0.5%103.7M-1.29B-12.1M1.253.6126,79733,5561,908,2712,293,634
2017-11-27$26.21$25.0013.9%4.4%7.6%29.6%15.6%1.8%0.2%112.3M-1.35B-11.7M2.692.3584,327226,5801,899,7722,288,921
2017-11-28$26.88$25.0014.8%5.2%12.0%40.2%17.9%1.1%0.1%178.8M-2.40B-11.7M0.682.13187,190127,3961,939,4512,306,259
2017-11-29$27.36$25.5016.9%5.5%13.4%62.4%19.7%1.3%-0.6%196.0M-3.01B-11.8M0.281.93586,084163,8321,998,7782,327,058
2017-11-30$27.54$26.0015.1%5.2%13.5%43.0%18.7%1.7%0.1%234.8M-3.56B-11.5M0.792.46386,068305,4692,202,5942,436,693