XLF Options History — December 2017

In December 2017, XLF traded between $27.55 and $28.24. ATM implied volatility averaged 15.3%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.5% (HV 20d: 13.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-12-01: Highest Volume — 549,169 contracts
  • 2017-12-07: Largest IV drop — 8.1% change
  • 2017-12-04: Highest IV Rank — 71.4%
  • 2017-12-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.93$27.55$28.24$27.55$27.99
Max Pain$25.85$25.00$27.00$26.00$27.00
ATM IV15.3%14.0%17.7%17.4%14.1%
Expected Move4.5%3.9%6.0%6.0%4.0%
HV 20d13.8%11.3%15.1%13.3%11.3%
HV 60d11.1%10.7%11.4%10.8%11.2%
IV Rank45.7%31.4%71.4%68.3%31.9%
IV Percentile60.6%33.3%88.1%87.3%36.1%
Term Structure0.2%-0.5%1.2%-0.5%0.2%
VWIV16.2%14.0%21.2%21.2%14.3%
Skew 25d1.7%0.5%2.7%2.5%1.7%
Skew 10d3.3%0.4%4.7%4.5%3.3%
Call IV 25d15.1%13.6%17.9%17.9%13.6%
Put IV 25d16.8%14.9%20.4%20.4%15.3%
Bid-Ask Spread %2.491.963.132.242.15
Gamma HHI0.410.260.530.330.26
Net GEX245.9M106.0M348.8M187.5M106.0M
Net DEX-2.84B-4.38B-1.67B-3.17B-1.72B
Net VEX-12.2M-12.9M-11.1M-12.8M-11.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.154.020.150.72
Total Volume251,013.560,170549,169549,169172,303
Total OI4,684,112.74,198,6155,400,3154,633,2534,245,227

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$27.55$26.0017.4%6.0%13.3%68.3%21.2%2.5%-0.5%187.5M-3.17B-12.8M0.152.24476,79272,3772,168,0162,465,237
2017-12-04$28.03$25.0017.7%5.0%14.3%71.4%18.0%2.5%-0.3%246.5M-4.10B-12.6M0.261.97372,82596,0422,391,4782,448,510
2017-12-05$27.85$25.0016.9%5.1%14.6%63.1%17.9%2.7%0.5%246.8M-3.67B-12.6M0.362.78157,18457,0272,379,2522,490,154
2017-12-06$27.75$25.0016.7%4.9%13.3%60.7%18.8%2.1%0.3%275.9M-3.49B-12.7M0.512.62226,676116,1332,434,2552,516,862
2017-12-07$27.83$25.0015.4%4.5%13.0%46.0%16.2%1.9%-0.3%299.9M-3.67B-12.9M0.583.13132,25076,1942,538,6972,600,984
2017-12-08$27.97$25.0014.9%4.6%12.9%40.7%17.1%2.0%1.2%348.8M-3.93B-12.7M0.741.9671,46352,7022,533,4242,624,228
2017-12-11$27.93$25.0014.6%4.3%12.8%37.3%16.2%1.8%0.5%305.3M-3.83B-12.2M1.142.4986,89398,9272,493,8032,606,139
2017-12-12$28.24$25.0015.5%4.5%13.0%47.4%16.3%2.3%0.3%275.5M-4.38B-12.0M0.691.98190,581131,3372,539,6522,706,090
2017-12-13$27.86$25.0015.0%4.4%14.4%41.9%15.5%2.1%0.3%246.6M-3.44B-12.7M1.102.63235,516260,0952,510,8352,762,486
2017-12-14$27.69$25.0015.0%4.3%14.7%42.6%17.0%1.7%0.1%202.2M-3.12B-12.9M0.423.01258,054108,8752,536,5092,863,806
2017-12-15$27.80$26.0014.9%4.4%14.6%41.3%15.5%1.6%1.0%182.9M-1.67B-12.3M0.552.16183,464101,2201,875,3572,850,597
2017-12-18$28.07$26.0015.8%4.5%14.7%51.1%15.9%1.9%-0.3%200.1M-2.14B-12.4M1.232.3763,71178,6481,821,0042,387,508
2017-12-19$27.97$26.0015.4%4.4%14.9%46.9%15.5%1.2%-0.1%215.9M-2.12B-11.9M1.122.1761,83569,0531,834,1472,433,521
2017-12-20$27.90$26.0014.8%4.2%15.1%39.7%15.1%1.1%0.1%226.2M-2.00B-11.9M4.022.8746,405186,7591,856,9182,450,429
2017-12-21$28.12$27.0015.1%4.3%14.9%43.5%15.4%0.5%0.2%243.9M-2.29B-11.9M0.622.33146,87590,5401,847,8862,500,171
2017-12-22$28.05$27.0014.1%4.0%15.0%32.1%14.0%0.9%0.3%315.3M-2.17B-11.8M0.492.31181,23588,3301,839,7792,503,680
2017-12-26$27.96$27.0014.7%4.3%15.1%39.1%15.0%1.3%0.2%198.3M-1.82B-11.5M2.092.9619,47040,7001,734,9652,463,650
2017-12-27$27.99$27.0014.6%4.2%12.7%37.4%14.9%1.2%0.4%247.6M-1.88B-11.4M1.162.8047,52255,0591,740,6432,463,535
2017-12-28$28.12$27.0014.0%3.9%11.3%31.4%14.7%1.3%0.2%347.1M-2.15B-11.1M1.642.8141,36567,8331,752,3202,470,500
2017-12-29$27.99$27.0014.1%4.0%11.3%31.9%14.3%1.7%0.2%106.0M-1.72B-11.1M0.722.15100,40471,8991,745,9822,499,245