XLF Options History — July 2018

In July 2018, XLF traded between $26.48 and $28.16. ATM implied volatility averaged 16.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.5% (HV 20d: 12.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2018-07-23: Highest Volume — 517,589 contracts
2018-07-13: Largest IV drop — 10.0% change
2018-07-02: Highest IV Rank — 48.6%
2018-07-02: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.45	$26.48	$28.16	$26.67	$27.95
Max Pain	$27.24	$27.00	$28.00	$27.00	$28.00
ATM IV	16.0%	14.4%	19.0%	19.0%	15.1%
Expected Move	4.6%	4.1%	5.4%	5.4%	4.3%
HV 20d	12.5%	7.4%	15.1%	10.0%	14.2%
HV 60d	14.6%	14.1%	15.1%	15.1%	14.2%
IV Rank	29.7%	20.6%	48.6%	48.6%	23.3%
IV Percentile	57.6%	34.9%	87.7%	87.7%	46.0%
Term Structure	0.1%	-0.6%	0.8%	-0.4%	-0.3%
VWIV	16.1%	14.6%	18.6%	18.6%	15.5%
Skew 25d	3.1%	2.3%	4.0%	3.5%	3.2%
Skew 10d	6.5%	4.8%	7.8%	7.2%	7.0%
Call IV 25d	15.0%	13.4%	17.5%	17.5%	14.1%
Put IV 25d	18.2%	16.4%	21.0%	21.0%	17.3%
Bid-Ask Spread %	1.99	1.49	2.90	2.37	2.63
Gamma HHI	0.22	0.13	0.44	0.15	0.18
Net GEX	127.1M	-17.7M	274.0M	20.4M	174.9M
Net DEX	-695.3M	-1.62B	595.5M	291.3M	-1.04B
Net VEX	-12.7M	-13.3M	-12.2M	-13.1M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.16	2.07	0.93	0.39
Total Volume	218,280.238	95,038	517,589	95,038	310,246
Total OI	3,870,342.095	3,191,774	4,209,108	3,855,465	3,820,487

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
2018-07-02	$26.67	$27.00	19.0%	5.4%	10.0%	48.6%	18.6%	3.5%	-0.4%	20.4M	291.3M	-13.1M	0.93	2.37	49,251	45,787	2,249,565	1,605,900
2018-07-03	$26.48	$27.00	18.3%	5.3%	10.1%	44.4%	18.5%	4.0%	-0.2%	-5.2M	595.5M	-12.6M	1.45	2.63	40,022	57,900	2,242,773	1,614,666
2018-07-05	$26.53	$27.00	17.9%	4.8%	7.5%	41.7%	17.8%	3.3%	0.0%	-17.7M	556.0M	-12.4M	0.28	1.85	97,128	27,614	2,246,720	1,624,225
2018-07-06	$26.66	$27.00	17.2%	4.6%	7.4%	37.6%	16.5%	3.2%	0.0%	12.2M	347.1M	-12.6M	2.07	1.76	32,772	67,705	2,304,254	1,631,860
2018-07-09	$27.29	$27.00	16.0%	4.8%	11.8%	30.1%	15.8%	3.1%	0.7%	105.3M	-492.1M	-12.7M	0.45	1.53	184,684	82,458	2,281,646	1,613,086
2018-07-10	$27.21	$27.00	16.8%	4.8%	11.8%	35.2%	16.0%	3.1%	0.0%	105.5M	-481.9M	-12.8M	0.27	1.49	123,932	32,853	2,352,013	1,624,340
2018-07-11	$27.06	$27.00	16.8%	4.8%	11.7%	35.2%	17.0%	2.8%	-0.0%	88.5M	-283.6M	-12.6M	0.49	1.82	76,732	37,901	2,407,237	1,631,037
2018-07-12	$27.08	$27.00	17.1%	4.9%	11.7%	37.2%	17.1%	2.7%	-0.0%	100.1M	-326.4M	-12.8M	0.60	1.96	151,490	91,166	2,449,954	1,646,819
2018-07-13	$26.95	$27.00	15.4%	4.4%	11.3%	26.5%	15.5%	2.8%	0.0%	44.2M	12.9M	-12.3M	0.80	1.68	151,246	121,681	2,521,040	1,688,068
2018-07-16	$27.46	$27.00	15.6%	4.5%	13.2%	27.4%	15.7%	2.8%	-0.6%	170.6M	-856.1M	-12.3M	0.40	1.71	110,489	44,085	2,454,769	1,640,569
2018-07-17	$27.54	$27.00	14.4%	4.1%	13.2%	20.6%	14.6%	2.7%	0.8%	180.5M	-971.7M	-12.2M	0.29	1.71	128,599	37,600	2,412,759	1,640,321
2018-07-18	$27.91	$27.00	14.5%	4.1%	13.9%	20.7%	14.9%	2.3%	0.1%	274.0M	-1.62B	-12.3M	0.25	1.84	149,819	37,004	2,448,728	1,650,255
2018-07-19	$27.55	$27.00	15.0%	4.3%	14.8%	24.0%	16.3%	2.7%	0.6%	156.7M	-909.0M	-12.4M	0.71	1.69	141,469	99,793	2,437,459	1,661,904
2018-07-20	$27.59	$27.00	14.9%	4.2%	14.6%	22.7%	15.0%	2.6%	0.8%	134.3M	-962.7M	-12.2M	0.32	1.52	226,559	72,404	2,444,292	1,682,325
2018-07-23	$27.94	$27.00	15.5%	4.5%	15.1%	26.9%	15.4%	3.7%	-0.0%	127.3M	-1.11B	-12.4M	0.16	2.05	446,797	70,792	1,761,408	1,430,366
2018-07-24	$28.01	$27.00	15.5%	4.5%	14.5%	26.6%	16.4%	3.6%	-0.1%	193.6M	-1.45B	-13.3M	0.80	1.95	155,957	124,235	2,055,799	1,458,199
2018-07-25	$28.12	$28.00	15.2%	4.4%	14.4%	23.3%	15.3%	3.4%	0.0%	208.4M	-1.53B	-13.0M	0.49	2.55	126,203	61,447	2,077,430	1,501,958
2018-07-26	$28.06	$28.00	15.0%	4.4%	13.8%	22.7%	15.7%	3.0%	0.1%	194.1M	-1.44B	-13.1M	1.18	2.04	67,252	79,296	2,084,848	1,496,091
2018-07-27	$28.16	$28.00	15.0%	4.3%	13.8%	22.5%	14.9%	3.3%	-0.1%	195.7M	-1.50B	-12.5M	0.53	2.90	240,063	127,350	2,071,820	1,530,700
2018-07-30	$28.14	$28.00	15.6%	4.6%	13.9%	26.3%	15.9%	3.8%	-0.1%	206.1M	-1.42B	-13.0M	0.27	2.09	200,401	53,703	2,174,605	1,604,889
2018-07-31	$27.95	$28.00	15.1%	4.3%	14.2%	23.3%	15.5%	3.2%	-0.3%	174.9M	-1.04B	-13.2M	0.39	2.63	223,255	86,991	2,148,221	1,672,266