XLF Options History — May 2018

In May 2018, XLF traded between $26.89 and $28.37. ATM implied volatility averaged 16.1%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.2% (HV 20d: 14.9%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.30.

Notable Days

2018-05-22: Highest Volume — 678,277 contracts
2018-05-29: Largest IV spike — 25.0% change
2018-05-29: Highest IV Rank — 47.5%
2018-05-29: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.78	$26.89	$28.37	$27.40	$27.22
Max Pain	$28.00	$28.00	$28.00	$28.00	$28.00
ATM IV	16.1%	14.3%	18.8%	16.3%	17.8%
Expected Move	4.8%	4.2%	5.9%	4.6%	5.7%
HV 20d	14.9%	11.4%	19.7%	19.7%	18.5%
HV 60d	21.9%	20.5%	25.2%	25.2%	21.8%
IV Rank	30.9%	19.9%	47.5%	32.3%	41.3%
IV Percentile	67.9%	38.5%	87.7%	73.0%	80.2%
Term Structure	0.1%	-1.7%	2.3%	-0.1%	-0.7%
VWIV	17.0%	14.9%	20.7%	15.4%	20.1%
Skew 25d	3.5%	2.6%	4.6%	4.0%	3.8%
Skew 10d	7.2%	5.3%	9.8%	7.2%	6.8%
Call IV 25d	14.9%	13.5%	17.6%	14.9%	16.2%
Put IV 25d	18.3%	16.2%	22.3%	18.9%	20.0%
Bid-Ask Spread %	2.27	1.84	2.99	2.99	2.74
Gamma HHI	0.17	0.14	0.35	0.17	0.15
Net GEX	57.9M	-44.3M	229.0M	-9.9M	-7.2M
Net DEX	-380.7M	-1.19B	742.0M	260.2M	324.2M
Net VEX	-13.7M	-14.8M	-12.8M	-13.0M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.44	5.72	0.62	1.14
Total Volume	202,143.545	105,912	678,277	167,654	108,458
Total OI	4,061,721.955	3,581,662	4,611,314	3,581,662	4,611,314

Daily Data (22 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
2018-05-01	$27.40	$28.00	16.3%	4.6%	19.7%	32.3%	15.4%	4.0%	-0.1%	-9.9M	260.2M	-13.0M	0.62	2.99	103,262	64,392	1,832,963	1,748,699
2018-05-02	$27.19	$28.00	17.1%	5.0%	19.2%	36.9%	16.3%	3.2%	-0.3%	-27.5M	428.9M	-13.0M	0.92	2.14	67,605	62,134	1,855,913	1,774,240
2018-05-03	$26.89	$28.00	17.3%	5.2%	19.2%	38.3%	18.4%	3.1%	-0.2%	-44.3M	725.3M	-12.8M	1.76	2.19	53,255	93,964	1,887,627	1,799,038
2018-05-04	$27.32	$28.00	15.8%	5.0%	17.3%	28.7%	17.2%	3.1%	0.2%	-14.4M	349.6M	-13.0M	0.93	1.94	178,308	166,604	1,890,381	1,821,201
2018-05-07	$27.45	$28.00	16.2%	5.1%	16.6%	31.4%	16.8%	3.5%	1.6%	7.9M	51.2M	-13.6M	2.05	2.48	41,636	85,352	2,045,056	1,825,657
2018-05-08	$27.66	$28.00	16.3%	4.7%	16.5%	32.3%	17.4%	3.6%	0.0%	34.7M	-244.1M	-13.6M	1.09	2.05	113,997	123,959	2,055,717	1,830,921
2018-05-09	$28.00	$28.00	15.7%	4.8%	16.4%	28.3%	17.5%	3.0%	1.2%	72.9M	-715.7M	-14.1M	1.03	2.19	156,807	162,115	2,103,941	1,830,834
2018-05-10	$28.26	$28.00	15.3%	4.9%	15.2%	25.7%	16.9%	2.9%	2.3%	97.9M	-1.05B	-14.3M	1.52	2.68	73,733	111,807	2,140,238	1,900,082
2018-05-11	$28.24	$28.00	15.3%	4.6%	12.9%	25.5%	16.9%	2.6%	1.4%	86.4M	-1.01B	-13.9M	1.32	2.14	55,949	73,686	2,158,534	1,913,485
2018-05-14	$28.26	$28.00	15.3%	4.5%	12.4%	25.5%	14.9%	3.4%	-1.4%	99.2M	-968.2M	-13.4M	0.60	1.96	73,113	43,542	2,155,359	1,907,553
2018-05-15	$28.13	$28.00	16.4%	4.8%	12.6%	32.9%	17.1%	3.8%	-0.6%	92.3M	-854.0M	-13.8M	0.66	2.06	72,844	47,888	2,194,006	1,900,575
2018-05-16	$28.23	$28.00	16.3%	4.7%	12.3%	31.8%	16.7%	3.4%	-0.4%	105.5M	-1.00B	-13.6M	0.44	2.23	83,621	36,954	2,242,679	1,917,687
2018-05-17	$28.16	$28.00	15.8%	4.6%	11.4%	29.0%	18.1%	3.5%	-0.4%	103.1M	-930.8M	-13.5M	1.62	2.29	53,398	86,539	2,256,945	1,920,125
2018-05-18	$27.98	$28.00	15.3%	4.4%	11.7%	26.0%	15.4%	3.0%	-0.7%	229.0M	-615.0M	-13.2M	0.82	2.25	65,856	54,293	2,286,215	1,937,080
2018-05-21	$28.13	$28.00	15.5%	4.6%	11.8%	27.1%	15.9%	3.5%	0.1%	83.2M	-874.0M	-13.3M	0.91	2.27	55,415	50,497	2,059,128	1,765,444
2018-05-22	$28.37	$28.00	14.3%	4.2%	11.4%	19.9%	15.2%	2.9%	1.3%	113.2M	-1.19B	-13.2M	0.63	2.24	416,114	262,163	2,083,610	1,778,599
2018-05-23	$28.08	$28.00	15.5%	4.6%	12.1%	27.2%	16.6%	3.4%	0.2%	92.6M	-799.9M	-14.7M	0.74	2.80	139,248	103,654	2,299,584	1,924,791
2018-05-24	$27.95	$28.00	15.3%	4.5%	12.2%	26.0%	16.4%	3.6%	0.2%	94.7M	-703.4M	-14.8M	2.19	2.16	40,346	88,316	2,440,035	1,921,236
2018-05-25	$27.82	$28.00	15.0%	4.5%	12.3%	24.1%	16.4%	3.8%	0.1%	75.6M	-408.6M	-14.6M	5.72	2.16	23,453	134,211	2,448,142	1,933,204
2018-05-29	$26.90	$28.00	18.8%	5.9%	17.2%	47.5%	20.7%	4.6%	-0.6%	-25.2M	742.0M	-13.5M	1.31	2.16	179,498	235,680	2,438,642	1,957,232
2018-05-30	$27.42	$28.00	18.0%	5.2%	18.5%	42.4%	18.0%	4.0%	-1.7%	14.0M	111.4M	-14.2M	0.48	1.84	137,120	66,372	2,506,066	2,058,105
2018-05-31	$27.22	$28.00	17.8%	5.7%	18.5%	41.3%	20.1%	3.8%	-0.7%	-7.2M	324.2M	-14.3M	1.14	2.74	50,774	57,684	2,544,674	2,066,640