XLF Options History — April 2018

In April 2018, XLF traded between $26.96 and $27.99. ATM implied volatility averaged 20.7%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 6.6% (HV 20d: 27.2%). 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 8 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2018-04-12: Highest Volume — 401,686 contracts
  • 2018-04-06: Largest IV spike — 12.8% change
  • 2018-04-02: Highest IV Rank — 91.5%
  • 2018-04-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.60$26.96$27.99$26.96$27.58
Max Pain$28.14$28.00$29.00$29.00$28.00
ATM IV20.7%16.9%25.9%25.9%16.9%
Expected Move6.0%4.9%8.1%8.1%4.9%
HV 20d27.2%20.0%31.1%27.1%20.0%
HV 60d25.1%23.7%25.7%23.7%25.5%
IV Rank59.1%35.6%91.5%91.5%35.6%
IV Percentile90.2%77.4%98.8%98.8%77.4%
Term Structure-0.1%-1.1%0.9%-0.7%-0.1%
VWIV21.0%16.7%28.5%28.5%16.7%
Skew 25d4.5%3.4%6.3%6.3%3.8%
Skew 10d9.2%6.3%14.7%14.7%7.2%
Call IV 25d18.9%15.2%23.2%23.2%15.2%
Put IV 25d23.4%19.0%29.4%29.4%19.0%
Bid-Ask Spread %2.481.743.513.512.18
Gamma HHI0.140.110.190.110.16
Net GEX9.2M-31.2M50.9M-24.1M8.6M
Net DEX31.8M-344.3M546.1M546.1M74.0M
Net VEX-13.9M-14.7M-13.2M-13.7M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.341.701.610.74
Total Volume184,712.667119,251401,686153,432122,775
Total OI3,430,293.193,094,4953,839,2893,094,4953,556,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$26.96$29.0025.9%8.1%27.1%91.5%28.5%6.3%-0.7%-24.1M546.1M-13.7M1.613.5158,75694,6761,438,6831,655,812
2018-04-03$27.31$29.0023.6%7.4%27.1%77.2%27.9%6.0%-0.5%-17.2M320.6M-13.6M1.702.3144,18375,0681,463,4781,676,889
2018-04-04$27.69$29.0022.6%6.9%27.7%71.1%23.6%5.5%-0.4%-6.0M114.8M-13.8M0.972.6179,82777,4801,476,3001,681,268
2018-04-05$27.91$28.0021.4%6.1%27.9%63.5%21.2%5.7%-0.5%13.2M-122.0M-13.8M0.662.76109,60772,3021,512,3061,685,194
2018-04-06$27.11$28.0024.1%6.7%29.5%80.5%22.6%5.6%-0.4%-31.2M496.4M-13.7M1.062.7072,91577,6341,548,9241,709,149
2018-04-09$27.50$28.0023.3%6.8%28.3%75.3%22.9%5.6%0.6%-9.1M203.5M-13.8M0.772.0887,14667,4801,544,6001,700,841
2018-04-10$27.76$28.0022.3%6.4%28.7%69.5%22.4%5.2%0.1%2.2M-16.4M-14.0M0.443.09131,62758,2451,575,4501,737,264
2018-04-11$27.44$28.0022.6%6.6%28.6%71.3%21.2%4.9%0.3%1.8M132.9M-13.9M1.642.30119,277195,8531,661,1441,691,860
2018-04-12$27.99$28.0022.4%6.4%29.6%69.6%22.8%4.0%0.1%33.1M-344.3M-14.7M0.872.64214,283187,4031,712,3181,772,685
2018-04-13$27.40$28.0021.6%6.3%30.3%64.7%21.7%4.4%0.7%-1.9M213.7M-14.2M1.383.22120,100165,9421,811,4121,754,159
2018-04-16$27.69$28.0018.9%5.3%30.7%48.1%19.4%3.9%0.9%20.5M-73.7M-13.8M1.651.8859,56998,2271,794,5901,763,090
2018-04-17$27.65$28.0017.9%5.1%30.6%41.8%18.6%3.6%0.9%17.7M16.8M-13.5M1.642.2480,824132,5381,819,1171,765,073
2018-04-18$27.49$28.0019.8%5.7%30.6%53.5%19.4%3.6%-1.1%431.6K106.2M-13.5M1.021.7471,55373,2481,837,8691,785,851
2018-04-19$27.88$28.0018.9%5.5%31.1%48.3%19.0%3.5%-0.5%50.9M-252.0M-14.1M0.342.38158,31753,6331,879,3511,816,621
2018-04-20$27.85$28.0018.5%5.3%28.2%45.8%18.6%3.7%0.1%25.8M-212.3M-14.3M0.682.2096,14365,0172,006,7721,832,517
2018-04-23$27.82$28.0018.0%5.2%25.7%42.5%18.5%4.1%-0.4%27.1M-214.6M-14.0M0.842.8167,63156,7321,703,5071,671,886
2018-04-24$27.53$28.0019.5%5.6%23.5%51.9%19.0%4.2%-0.3%13.6M-26.8M-14.1M0.552.17137,57175,0001,739,7581,688,753
2018-04-25$27.59$28.0020.0%5.9%22.3%54.8%19.8%3.4%-0.3%18.9M-82.7M-14.2M1.522.3952,32779,7091,776,8871,703,768
2018-04-26$27.72$28.0018.5%5.4%22.3%45.6%19.3%3.4%-0.5%27.6M-119.8M-13.9M1.252.6155,59269,2471,803,0191,719,321
2018-04-27$27.70$28.0017.4%5.0%21.8%38.7%16.8%3.9%-0.3%20.5M-92.9M-13.5M0.652.2599,39564,1141,825,5991,736,969
2018-04-30$27.58$28.0016.9%4.9%20.0%35.6%16.7%3.8%-0.1%8.6M74.0M-13.2M0.742.1870,64152,1341,825,4721,730,631