XLF Options History — February 2018

In February 2018, XLF traded between $27.30 and $29.99. ATM implied volatility averaged 19.8%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 5.0% (HV 20d: 24.8%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.41.

Notable Days

2018-02-07: Highest Volume — 404,250 contracts
2018-02-05: Largest IV spike — 34.7% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.74	$27.30	$29.99	$29.99	$28.96
Max Pain	$27.95	$27.00	$28.00	$27.00	$28.00
ATM IV	19.8%	14.7%	27.2%	14.9%	18.1%
Expected Move	5.6%	4.4%	7.8%	4.4%	5.3%
HV 20d	24.8%	8.8%	28.8%	8.8%	28.8%
HV 60d	17.3%	11.3%	19.0%	11.3%	18.5%
IV Rank	59.4%	22.4%	100.0%	40.7%	43.0%
IV Percentile	91.3%	59.5%	100.0%	62.3%	92.5%
Term Structure	-0.2%	-2.8%	1.5%	0.1%	-0.3%
VWIV	20.4%	16.0%	28.0%	16.3%	18.8%
Skew 25d	5.0%	2.9%	8.5%	3.0%	4.4%
Skew 10d	11.3%	5.2%	24.3%	5.2%	8.6%
Call IV 25d	18.1%	14.0%	24.0%	14.0%	16.9%
Put IV 25d	23.1%	17.0%	31.6%	17.0%	21.2%
Bid-Ask Spread %	3.24	2.13	5.99	2.22	2.82
Gamma HHI	0.21	0.11	0.64	0.22	0.16
Net GEX	70.3M	-8.2M	331.7M	112.1M	57.0M
Net DEX	-868.2M	-2.01B	401.1M	-2.01B	-1.01B
Net VEX	-13.4M	-14.9M	-11.9M	-11.9M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.57	3.41	1.08	1.16
Total Volume	183,144.105	70,263	404,250	180,001	83,577
Total OI	3,316,246.421	3,050,534	3,638,749	3,050,534	3,253,041

Daily Data (19 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
2018-02-01	$29.99	$27.00	14.9%	4.4%	8.8%	40.7%	16.3%	3.0%	0.1%	112.1M	-2.01B	-11.9M	1.08	2.22	86,676	93,325	1,437,265	1,613,269
2018-02-02	$29.36	$28.00	17.5%	5.1%	12.1%	69.3%	17.8%	3.1%	-0.3%	73.2M	-1.44B	-12.8M	1.24	2.87	154,404	190,829	1,495,530	1,624,232
2018-02-05	$28.07	$28.00	23.6%	6.5%	20.5%	100.0%	22.7%	4.4%	1.5%	20.2M	-278.4M	-13.4M	2.00	5.99	111,658	223,749	1,532,483	1,647,974
2018-02-06	$28.37	$28.00	23.7%	6.9%	20.9%	100.0%	25.3%	7.3%	0.1%	31.0M	-469.4M	-14.3M	2.02	4.27	86,162	174,257	1,592,297	1,707,290
2018-02-07	$28.54	$28.00	20.6%	5.6%	20.8%	75.3%	20.0%	4.7%	-1.4%	46.9M	-635.9M	-14.0M	3.41	2.88	91,764	312,486	1,609,935	1,722,008
2018-02-08	$27.30	$28.00	26.9%	7.8%	25.9%	100.0%	24.6%	7.4%	0.2%	-8.2M	401.1M	-14.5M	1.48	4.81	91,636	135,746	1,609,138	1,785,958
2018-02-09	$27.70	$28.00	27.2%	7.0%	26.5%	100.0%	28.0%	8.5%	-2.8%	2.3M	211.7M	-14.9M	2.39	4.65	83,940	200,407	1,632,925	1,821,437
2018-02-12	$28.06	$28.00	23.3%	6.7%	26.7%	75.4%	26.0%	7.8%	-0.2%	12.3M	-123.7M	-14.9M	0.89	4.30	85,848	76,114	1,621,725	1,883,124
2018-02-13	$28.20	$28.00	21.9%	6.3%	26.8%	66.8%	23.1%	5.0%	-0.1%	26.7M	-329.8M	-14.5M	1.66	3.03	37,589	62,458	1,672,253	1,904,252
2018-02-14	$28.84	$28.00	17.4%	5.0%	28.0%	38.9%	19.0%	5.2%	0.5%	97.2M	-937.8M	-13.9M	0.78	3.04	67,128	52,308	1,668,202	1,970,547
2018-02-15	$28.97	$28.00	17.8%	5.1%	28.0%	41.7%	18.6%	4.3%	0.8%	144.6M	-1.21B	-13.6M	0.83	2.13	65,623	54,698	1,675,543	1,857,008
2018-02-16	$29.06	$28.00	17.9%	5.1%	27.9%	41.9%	18.2%	2.9%	0.6%	331.7M	-1.51B	-13.2M	0.57	2.30	134,248	76,681	1,689,013	1,873,955
2018-02-20	$28.96	$28.00	18.8%	5.4%	27.8%	47.3%	20.2%	5.1%	-0.2%	55.7M	-1.09B	-13.2M	1.90	3.25	24,257	46,006	1,427,450	1,707,014
2018-02-21	$28.95	$28.00	18.0%	5.0%	27.8%	42.5%	18.8%	4.1%	-0.4%	56.4M	-1.07B	-13.1M	0.90	2.95	64,454	58,297	1,434,855	1,720,174
2018-02-22	$28.70	$28.00	18.8%	5.4%	27.6%	47.4%	19.4%	5.2%	-1.7%	49.3M	-817.3M	-12.9M	1.91	2.63	35,522	67,833	1,446,636	1,741,956
2018-02-23	$29.10	$28.00	16.6%	4.5%	28.2%	33.6%	17.7%	5.0%	-0.0%	65.2M	-1.21B	-12.6M	1.19	2.15	40,568	48,463	1,457,017	1,755,848
2018-02-26	$29.52	$28.00	14.7%	4.4%	28.7%	22.4%	16.0%	3.9%	1.0%	87.8M	-1.56B	-12.3M	0.69	2.53	97,282	67,313	1,440,641	1,749,418
2018-02-27	$29.34	$28.00	18.0%	4.9%	28.7%	42.4%	17.5%	3.8%	-1.3%	75.3M	-1.41B	-12.5M	0.62	2.79	59,376	37,056	1,461,571	1,765,698
2018-02-28	$28.96	$28.00	18.1%	5.3%	28.8%	43.0%	18.8%	4.4%	-0.3%	57.0M	-1.01B	-12.6M	1.16	2.82	38,770	44,807	1,477,820	1,775,221