XLF Options History — June 2018

In June 2018, XLF traded between $26.50 and $28.11. ATM implied volatility averaged 16.7%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.3% (HV 20d: 16.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2018-06-28: Highest Volume — 372,359 contracts
2018-06-21: Largest IV spike — 11.3% change
2018-06-28: Highest IV Rank — 54.1%
2018-06-28: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.39	$26.50	$28.11	$27.48	$26.67
Max Pain	$27.90	$27.00	$28.00	$28.00	$27.00
ATM IV	16.7%	15.1%	19.8%	16.4%	18.4%
Expected Move	4.9%	4.3%	5.9%	4.8%	5.3%
HV 20d	16.5%	10.2%	18.3%	18.3%	10.2%
HV 60d	19.6%	16.2%	22.0%	22.0%	16.2%
IV Rank	34.7%	24.4%	54.1%	32.8%	45.0%
IV Percentile	72.1%	55.6%	90.1%	71.8%	84.1%
Term Structure	-0.0%	-1.6%	1.7%	-1.6%	-0.1%
VWIV	17.1%	15.5%	20.0%	17.3%	18.1%
Skew 25d	3.0%	2.2%	3.9%	3.8%	3.1%
Skew 10d	6.1%	4.5%	8.5%	7.1%	6.1%
Call IV 25d	15.9%	14.5%	18.9%	14.9%	17.0%
Put IV 25d	18.9%	17.2%	21.7%	18.6%	20.1%
Bid-Ask Spread %	2.12	1.72	3.05	2.17	2.71
Gamma HHI	0.16	0.14	0.19	0.16	0.16
Net GEX	50.1M	-12.8M	152.5M	35.1M	28.2M
Net DEX	-136.9M	-1.07B	627.9M	-2.1M	307.8M
Net VEX	-13.6M	-14.6M	-12.8M	-14.1M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.24	5.22	1.02	0.50
Total Volume	197,977.619	93,268	372,359	178,285	199,080
Total OI	4,293,364.762	3,587,954	4,932,882	4,651,726	4,127,649

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
2018-06-01	$27.48	$28.00	16.4%	4.8%	18.3%	32.8%	17.3%	3.8%	-1.6%	35.1M	-2.1M	-14.1M	1.02	2.17	88,066	90,219	2,566,347	2,085,379
2018-06-04	$27.59	$28.00	15.8%	4.5%	17.5%	28.8%	16.0%	3.5%	0.0%	38.1M	-113.3M	-14.1M	0.63	1.86	57,213	36,055	2,574,182	2,094,665
2018-06-05	$27.45	$28.00	15.5%	4.8%	17.5%	26.9%	15.6%	2.9%	0.4%	10.9M	120.0M	-13.6M	0.24	2.11	136,482	33,355	2,591,497	2,081,500
2018-06-06	$27.92	$28.00	15.1%	4.6%	18.3%	24.4%	16.1%	2.4%	0.4%	106.7M	-705.9M	-14.3M	0.75	1.72	116,803	87,234	2,666,138	2,099,689
2018-06-07	$28.07	$28.00	15.7%	4.7%	17.9%	28.6%	17.8%	3.1%	0.0%	143.5M	-1.00B	-14.6M	1.01	2.35	104,974	106,037	2,689,840	2,111,881
2018-06-08	$28.08	$28.00	15.3%	4.5%	17.6%	26.0%	15.5%	3.0%	0.1%	132.5M	-978.8M	-14.5M	1.10	1.75	60,497	66,655	2,706,873	2,103,488
2018-06-11	$28.11	$28.00	15.9%	4.6%	17.6%	29.3%	16.1%	2.9%	0.4%	152.5M	-1.07B	-14.2M	0.52	1.79	125,890	65,598	2,687,097	2,107,583
2018-06-12	$27.90	$28.00	15.4%	4.5%	17.8%	26.2%	16.8%	2.7%	0.2%	114.7M	-724.2M	-13.9M	1.73	1.79	66,734	115,296	2,704,491	2,144,142
2018-06-13	$27.91	$28.00	15.6%	4.5%	17.7%	27.9%	16.0%	2.6%	0.3%	142.9M	-731.3M	-13.7M	0.73	1.89	145,112	105,867	2,737,640	2,172,947
2018-06-14	$27.64	$28.00	15.6%	4.3%	17.9%	27.7%	15.7%	2.9%	-0.6%	54.4M	-133.0M	-13.3M	0.62	2.02	131,502	81,141	2,754,301	2,178,581
2018-06-15	$27.45	$28.00	16.1%	4.9%	18.1%	30.8%	16.5%	2.2%	1.7%	-8.4M	251.2M	-13.5M	1.53	2.13	111,991	170,991	2,700,397	2,195,086
2018-06-18	$27.42	$28.00	16.4%	4.7%	18.0%	32.8%	16.5%	2.6%	0.1%	32.7M	-120.2M	-13.5M	1.32	1.91	120,644	159,235	2,010,280	1,577,674
2018-06-19	$27.36	$28.00	16.6%	4.8%	17.8%	34.0%	17.1%	2.5%	0.1%	19.8M	3.9M	-13.6M	5.22	2.27	34,128	178,247	2,043,651	1,626,488
2018-06-20	$27.31	$28.00	16.3%	4.7%	17.4%	32.2%	16.7%	2.6%	0.0%	20.0M	-19.5M	-13.5M	1.45	2.12	55,935	81,361	2,050,912	1,617,842
2018-06-21	$27.16	$28.00	18.2%	5.2%	17.2%	43.7%	18.2%	3.0%	-0.5%	14.7M	57.3M	-13.4M	1.52	2.60	67,171	101,914	2,080,430	1,604,230
2018-06-22	$27.09	$28.00	17.3%	5.0%	17.2%	38.4%	17.6%	2.7%	-0.8%	14.5M	178.1M	-13.1M	1.43	1.99	41,368	59,039	2,111,887	1,612,184
2018-06-25	$26.81	$28.00	18.4%	5.4%	17.4%	44.8%	18.8%	3.9%	-0.2%	6.4M	323.5M	-12.9M	2.00	2.12	63,839	127,957	2,085,748	1,547,240
2018-06-26	$26.74	$28.00	18.4%	5.2%	12.8%	45.1%	17.6%	3.3%	-0.1%	-6.7M	464.3M	-12.8M	0.41	1.94	119,750	49,456	2,115,591	1,569,721
2018-06-27	$26.50	$28.00	19.1%	5.4%	10.8%	49.3%	19.1%	3.8%	-0.1%	-12.8M	627.9M	-12.8M	0.65	2.22	134,867	87,468	2,175,021	1,575,199
2018-06-28	$26.62	$27.00	19.8%	5.9%	10.8%	54.1%	20.0%	2.9%	-0.2%	13.0M	390.7M	-13.2M	0.24	3.05	300,211	72,148	2,264,091	1,611,078
2018-06-29	$26.67	$27.00	18.4%	5.3%	10.2%	45.0%	18.1%	3.1%	-0.1%	28.2M	307.8M	-13.5M	0.50	2.71	132,872	66,208	2,494,217	1,633,432