XLF Options History — January 2018

In January 2018, XLF traded between $27.88 and $30.14. ATM implied volatility averaged 14.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.5% (HV 20d: 8.9%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.02.

Notable Days

2018-01-10: Highest Volume — 488,655 contracts
2018-01-19: Largest IV drop — 12.9% change
2018-01-30: Highest IV Rank — 55.5%
2018-01-30: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.20	$27.88	$30.14	$27.88	$29.74
Max Pain	$28.57	$27.00	$29.00	$27.00	$29.00
ATM IV	14.5%	12.3%	16.2%	14.5%	16.0%
Expected Move	4.2%	3.4%	5.0%	4.1%	4.6%
HV 20d	8.9%	7.6%	11.5%	11.5%	8.7%
HV 60d	11.1%	11.0%	11.3%	11.0%	11.3%
IV Rank	36.1%	12.3%	55.5%	36.7%	53.0%
IV Percentile	47.9%	4.0%	87.3%	47.6%	85.3%
Term Structure	0.1%	-1.2%	0.6%	0.2%	0.0%
VWIV	15.3%	13.6%	17.9%	16.0%	17.8%
Skew 25d	2.1%	1.4%	2.8%	1.8%	2.7%
Skew 10d	4.7%	3.0%	7.2%	3.8%	6.4%
Call IV 25d	14.0%	12.1%	15.6%	14.6%	14.7%
Put IV 25d	16.1%	14.8%	17.8%	16.4%	17.4%
Bid-Ask Spread %	2.19	1.64	3.43	2.06	2.76
Gamma HHI	0.30	0.20	0.50	0.25	0.21
Net GEX	141.9M	89.8M	220.0M	89.8M	101.5M
Net DEX	-2.37B	-3.64B	-1.43B	-1.43B	-1.80B
Net VEX	-10.9M	-11.7M	-10.1M	-10.9M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	0.57	9.70	1.17	2.65
Total Volume	262,275.667	110,196	488,655	143,445	127,026
Total OI	3,804,339.381	2,795,707	4,731,523	3,992,598	3,022,945

Daily Data (21 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
2018-01-02	$27.88	$27.00	14.5%	4.1%	11.5%	36.7%	16.0%	1.8%	0.2%	89.8M	-1.43B	-10.9M	1.17	2.06	66,174	77,271	1,549,227	2,443,371
2018-01-03	$28.07	$27.00	14.3%	4.0%	9.9%	34.6%	14.1%	2.3%	0.2%	110.9M	-1.64B	-10.8M	0.82	1.88	60,619	49,577	1,567,186	2,446,866
2018-01-04	$28.33	$28.00	14.3%	4.4%	10.1%	34.5%	15.5%	1.5%	0.3%	145.3M	-2.05B	-10.3M	0.67	1.78	220,033	146,430	1,580,749	2,451,631
2018-01-05	$28.40	$28.00	14.1%	4.2%	10.0%	31.9%	14.4%	1.6%	0.2%	134.6M	-2.07B	-10.7M	2.41	1.64	98,700	238,250	1,640,256	2,512,249
2018-01-08	$28.38	$28.00	14.0%	4.2%	10.0%	31.0%	13.9%	1.9%	0.6%	143.5M	-1.96B	-10.7M	1.58	1.88	136,806	215,769	1,632,594	2,489,986
2018-01-09	$28.59	$28.00	14.8%	4.2%	10.2%	40.0%	15.5%	1.4%	-0.1%	174.4M	-2.39B	-10.9M	1.21	2.24	160,145	194,539	1,718,031	2,520,794
2018-01-10	$28.82	$28.00	14.7%	4.3%	10.4%	38.5%	16.4%	1.8%	0.3%	220.0M	-2.72B	-11.3M	3.55	1.77	107,281	381,374	1,814,454	2,581,885
2018-01-11	$28.94	$29.00	14.6%	4.3%	9.8%	37.7%	15.6%	1.9%	0.3%	206.3M	-2.78B	-11.6M	1.77	1.86	88,367	156,670	1,828,827	2,684,175
2018-01-12	$29.22	$29.00	14.2%	4.1%	8.6%	33.8%	15.9%	1.7%	0.0%	194.5M	-3.26B	-10.8M	0.57	1.77	278,731	159,496	1,831,630	2,721,014
2018-01-16	$29.15	$29.00	16.0%	4.6%	8.2%	52.9%	16.5%	2.2%	-0.5%	201.5M	-3.19B	-11.2M	0.96	3.20	163,376	157,215	1,927,556	2,671,422
2018-01-17	$29.37	$29.00	15.3%	4.4%	8.4%	45.5%	15.6%	2.6%	-0.9%	196.5M	-3.44B	-10.8M	1.84	1.96	101,956	187,213	1,965,765	2,708,529
2018-01-18	$29.34	$29.00	14.9%	4.3%	8.0%	41.4%	15.0%	2.8%	-1.2%	177.0M	-3.34B	-11.2M	0.76	1.73	129,557	98,903	1,959,631	2,731,912
2018-01-19	$29.54	$29.00	13.0%	3.7%	7.9%	20.3%	13.6%	2.1%	0.3%	167.8M	-3.64B	-10.8M	0.76	1.83	157,055	118,982	1,979,689	2,751,834
2018-01-22	$29.78	$29.00	12.3%	3.4%	7.9%	12.3%	13.7%	2.7%	0.4%	112.7M	-1.96B	-10.1M	9.70	2.30	27,226	264,126	1,248,589	1,547,118
2018-01-23	$29.80	$29.00	13.2%	3.8%	7.7%	22.5%	14.0%	2.1%	0.6%	95.0M	-1.87B	-10.5M	1.55	2.28	88,348	136,815	1,257,288	1,554,826
2018-01-24	$30.03	$29.00	13.8%	4.0%	7.6%	28.6%	14.7%	2.2%	0.3%	104.8M	-2.12B	-10.8M	1.74	2.37	80,382	140,237	1,313,873	1,570,200
2018-01-25	$29.95	$29.00	14.0%	3.9%	7.6%	31.7%	14.2%	2.2%	0.4%	107.6M	-2.07B	-10.6M	3.85	2.06	37,782	145,367	1,320,980	1,592,749
2018-01-26	$30.14	$29.00	13.9%	3.9%	7.6%	29.7%	14.7%	2.3%	0.5%	99.9M	-2.21B	-10.4M	1.83	2.14	50,445	92,106	1,328,859	1,592,480
2018-01-29	$30.08	$29.00	15.4%	4.4%	7.8%	46.5%	15.9%	2.5%	0.4%	97.6M	-2.10B	-10.6M	0.73	3.43	117,354	86,118	1,321,041	1,551,244
2018-01-30	$29.74	$29.00	16.2%	5.0%	9.0%	55.5%	17.9%	2.4%	0.2%	97.7M	-1.79B	-11.6M	2.23	3.00	50,693	113,275	1,389,638	1,568,034
2018-01-31	$29.74	$29.00	16.0%	4.6%	8.7%	53.0%	17.8%	2.7%	0.0%	101.5M	-1.80B	-11.7M	2.65	2.76	34,816	92,210	1,417,412	1,605,533