XLF Options History — March 2018

In March 2018, XLF traded between $26.85 and $29.69. ATM implied volatility averaged 19.6%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.7% (HV 20d: 22.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.46.

Notable Days

2018-03-22: Highest Volume — 485,292 contracts
2018-03-22: Largest IV spike — 22.3% change
2018-03-23: Highest IV Rank — 91.7%
2018-03-28: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.50	$26.85	$29.69	$28.39	$27.60
Max Pain	$28.90	$28.00	$29.00	$28.00	$29.00
ATM IV	19.6%	16.0%	25.9%	20.3%	22.4%
Expected Move	5.7%	4.5%	7.6%	5.8%	6.7%
HV 20d	22.3%	17.3%	29.5%	29.5%	26.0%
HV 60d	20.1%	18.7%	23.2%	19.0%	23.2%
IV Rank	52.6%	29.9%	91.7%	57.1%	70.1%
IV Percentile	90.5%	74.6%	99.2%	97.2%	96.0%
Term Structure	0.0%	-1.3%	1.2%	-1.3%	-0.3%
VWIV	20.3%	16.6%	26.0%	23.1%	23.9%
Skew 25d	5.2%	3.7%	7.0%	5.8%	5.2%
Skew 10d	11.1%	7.6%	14.3%	12.3%	11.6%
Call IV 25d	17.7%	14.7%	23.8%	18.1%	20.2%
Put IV 25d	22.9%	18.6%	30.8%	23.8%	25.4%
Bid-Ask Spread %	2.96	2.39	3.78	2.78	2.40
Gamma HHI	0.21	0.11	0.65	0.15	0.11
Net GEX	56.0M	-54.3M	395.5M	26.5M	-10.8M
Net DEX	-495.5M	-1.82B	1.04B	-412.7M	265.4M
Net VEX	-12.7M	-13.6M	-11.5M	-13.0M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.55	3.15	2.04	0.69
Total Volume	180,328.048	76,849	485,292	205,719	209,261
Total OI	3,289,835.81	2,895,820	3,588,111	3,276,602	3,348,016

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
2018-03-01	$28.39	$28.00	20.3%	5.8%	29.5%	57.1%	23.1%	5.8%	-1.3%	26.5M	-412.7M	-13.0M	2.04	2.78	67,731	137,988	1,484,279	1,792,323
2018-03-02	$28.51	$28.00	18.2%	5.6%	29.4%	44.0%	21.8%	6.5%	1.2%	30.8M	-525.4M	-12.7M	1.85	2.92	55,949	103,338	1,502,753	1,801,858
2018-03-05	$28.88	$29.00	17.9%	5.3%	29.0%	42.2%	19.3%	5.0%	0.2%	68.0M	-942.0M	-12.7M	1.80	2.39	42,435	76,500	1,506,309	1,820,968
2018-03-06	$28.94	$29.00	17.9%	5.3%	23.8%	42.0%	17.7%	5.1%	0.3%	68.4M	-991.7M	-12.7M	0.68	2.55	55,522	37,831	1,527,200	1,833,851
2018-03-07	$28.92	$29.00	18.0%	5.3%	23.6%	42.6%	19.5%	4.9%	0.4%	73.0M	-998.0M	-12.6M	1.32	2.46	38,901	51,242	1,547,241	1,838,167
2018-03-08	$28.94	$29.00	17.9%	5.2%	23.5%	42.3%	19.2%	4.7%	0.2%	81.4M	-1.00B	-12.6M	2.52	3.11	21,858	54,991	1,559,324	1,840,894
2018-03-09	$29.69	$29.00	16.4%	4.5%	18.3%	32.9%	17.0%	4.2%	0.2%	100.2M	-1.82B	-12.0M	0.55	2.91	140,876	76,940	1,564,630	1,865,249
2018-03-12	$29.66	$29.00	16.4%	4.5%	17.9%	32.8%	18.2%	3.7%	-0.6%	123.4M	-1.82B	-11.5M	1.05	2.73	109,019	114,440	1,555,665	1,877,826
2018-03-13	$29.27	$29.00	16.7%	5.1%	18.5%	34.7%	16.9%	3.8%	1.1%	102.7M	-1.37B	-12.4M	1.49	2.39	51,937	77,231	1,607,816	1,929,644
2018-03-14	$28.94	$29.00	17.3%	5.0%	19.0%	38.5%	17.5%	4.7%	0.2%	82.7M	-918.4M	-12.7M	1.13	2.53	57,688	65,460	1,599,378	1,965,445
2018-03-15	$28.97	$29.00	16.6%	4.9%	17.3%	34.1%	16.9%	4.0%	0.7%	169.6M	-926.2M	-12.5M	0.67	2.66	122,201	81,811	1,615,874	1,972,237
2018-03-16	$28.96	$29.00	16.0%	4.7%	17.3%	29.9%	16.6%	4.0%	0.4%	395.5M	-634.4M	-12.8M	1.09	2.69	76,164	82,865	1,519,366	2,005,799
2018-03-19	$28.68	$29.00	19.2%	5.5%	17.6%	49.9%	20.2%	4.6%	0.1%	16.8M	-359.5M	-12.8M	1.25	3.77	70,669	88,490	1,257,692	1,638,128
2018-03-20	$28.74	$29.00	18.6%	5.3%	17.5%	46.1%	17.6%	4.8%	0.2%	25.4M	-451.9M	-12.7M	1.37	3.24	42,782	58,469	1,273,186	1,655,404
2018-03-21	$28.72	$29.00	19.0%	5.4%	17.5%	48.9%	18.2%	4.9%	-0.4%	37.8M	-414.7M	-12.4M	2.49	2.78	33,724	84,012	1,308,456	1,664,875
2018-03-22	$27.69	$29.00	23.2%	6.7%	21.6%	75.1%	22.2%	6.2%	-0.3%	-26.8M	422.0M	-12.8M	3.15	3.64	116,944	368,348	1,321,768	1,672,245
2018-03-23	$26.85	$29.00	25.9%	7.4%	23.1%	91.7%	26.0%	6.9%	-0.7%	-49.4M	1.04B	-13.0M	2.57	3.78	88,620	227,601	1,393,873	1,801,234
2018-03-26	$27.72	$29.00	23.3%	6.9%	25.6%	75.8%	23.6%	6.3%	-0.7%	-32.3M	256.6M	-13.0M	0.75	3.31	115,599	86,479	1,381,209	1,758,497
2018-03-27	$27.17	$29.00	24.9%	7.3%	26.3%	85.2%	24.5%	7.0%	-0.3%	-52.2M	643.1M	-13.1M	1.21	3.60	95,183	115,411	1,438,520	1,753,687
2018-03-28	$27.21	$29.00	25.4%	7.6%	26.1%	88.4%	25.6%	6.3%	-0.1%	-54.3M	558.1M	-13.5M	0.96	3.52	94,303	90,076	1,482,420	1,803,246
2018-03-29	$27.60	$29.00	22.4%	6.7%	26.0%	70.1%	23.9%	5.2%	-0.3%	-10.8M	265.4M	-13.6M	0.69	2.40	124,107	85,154	1,520,172	1,827,844