XLF Options History — August 2018

In August 2018, XLF traded between $27.74 and $28.62. ATM implied volatility averaged 14.0%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.6% (HV 20d: 11.4%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.41.

Notable Days

2018-08-10: Highest Volume — 300,101 contracts
2018-08-30: Largest IV spike — 17.9% change
2018-08-13: Highest IV Rank — 26.9%
2018-08-15: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.23	$27.74	$28.62	$28.03	$28.33
Max Pain	$28.00	$28.00	$28.00	$28.00	$28.00
ATM IV	14.0%	12.1%	16.2%	15.2%	14.3%
Expected Move	4.1%	3.7%	4.6%	4.4%	3.9%
HV 20d	11.4%	10.0%	13.9%	13.8%	11.4%
HV 60d	13.4%	11.6%	14.5%	14.2%	11.6%
IV Rank	13.1%	0.0%	26.9%	23.6%	14.4%
IV Percentile	23.7%	0.0%	62.3%	46.4%	25.8%
Term Structure	0.3%	-1.4%	1.3%	-0.2%	-1.1%
VWIV	14.8%	12.8%	17.2%	15.6%	14.7%
Skew 25d	3.3%	2.5%	4.3%	3.4%	4.3%
Skew 10d	7.3%	5.0%	10.1%	6.7%	8.0%
Call IV 25d	12.9%	11.1%	14.7%	14.0%	12.6%
Put IV 25d	16.2%	13.7%	18.2%	17.4%	16.9%
Bid-Ask Spread %	2.04	1.52	2.85	1.87	2.41
Gamma HHI	0.24	0.15	0.36	0.18	0.33
Net GEX	167.6M	61.1M	315.0M	182.0M	84.0M
Net DEX	-930.3M	-1.79B	-105.6M	-1.05B	-579.3M
Net VEX	-13.2M	-14.0M	-12.4M	-13.1M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.41	3.86	0.49	1.51
Total Volume	156,462.478	41,494	300,101	114,136	41,494
Total OI	3,975,913.174	3,515,016	4,394,859	3,854,040	3,848,403

Daily Data (23 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
2018-08-01	$28.03	$28.00	15.2%	4.4%	13.8%	23.6%	15.6%	3.4%	-0.2%	182.0M	-1.05B	-13.1M	0.49	1.87	76,656	37,480	2,165,243	1,688,797
2018-08-02	$27.96	$28.00	14.5%	4.1%	13.9%	19.3%	16.2%	3.2%	-0.2%	179.7M	-952.1M	-13.0M	0.75	2.41	90,513	67,666	2,203,506	1,701,045
2018-08-03	$28.11	$28.00	14.0%	3.8%	13.9%	15.1%	13.5%	3.7%	-0.2%	215.4M	-1.22B	-13.2M	0.56	2.02	82,305	45,920	2,229,769	1,724,957
2018-08-06	$28.24	$28.00	13.5%	4.2%	11.6%	12.3%	13.8%	2.7%	0.2%	254.9M	-1.44B	-12.4M	0.74	1.52	88,608	65,580	2,242,692	1,719,479
2018-08-07	$28.42	$28.00	12.2%	4.0%	11.6%	0.9%	12.8%	2.5%	0.6%	307.3M	-1.76B	-12.4M	0.50	2.04	164,283	81,471	2,279,208	1,746,333
2018-08-08	$28.51	$28.00	12.1%	3.7%	11.3%	0.0%	13.5%	2.5%	0.4%	315.0M	-1.79B	-12.8M	1.60	1.54	97,460	155,745	2,303,541	1,793,207
2018-08-09	$28.34	$28.00	12.2%	4.1%	11.6%	0.8%	16.1%	2.6%	0.5%	276.0M	-1.43B	-13.5M	1.30	1.66	76,176	99,256	2,370,012	1,929,790
2018-08-10	$28.01	$28.00	14.3%	4.3%	12.4%	14.9%	15.3%	3.5%	0.3%	245.9M	-621.0M	-14.0M	0.88	2.85	159,751	140,350	2,397,777	1,948,549
2018-08-13	$27.74	$28.00	16.2%	4.5%	11.4%	26.9%	17.1%	3.6%	-0.5%	79.1M	-220.2M	-13.5M	2.62	2.09	36,372	95,128	2,281,820	1,939,989
2018-08-14	$27.97	$28.00	14.3%	4.3%	11.7%	14.5%	16.2%	3.3%	0.6%	127.5M	-557.7M	-12.9M	0.54	2.71	113,441	61,444	2,259,674	1,969,818
2018-08-15	$27.77	$28.00	15.4%	4.6%	11.0%	21.7%	17.2%	3.5%	0.9%	61.1M	-105.6M	-13.4M	1.54	2.02	73,727	113,687	2,302,340	1,988,777
2018-08-16	$28.11	$28.00	14.3%	4.3%	10.8%	14.4%	13.5%	3.0%	0.9%	216.1M	-856.4M	-13.1M	0.51	1.85	127,774	65,658	2,327,269	1,994,792
2018-08-17	$28.19	$28.00	14.7%	4.4%	10.8%	17.1%	15.0%	3.2%	1.0%	193.7M	-1.08B	-13.3M	0.54	1.69	146,846	79,528	2,353,031	2,041,828
2018-08-20	$28.29	$28.00	13.5%	3.9%	10.0%	9.0%	14.7%	3.4%	1.3%	97.3M	-748.2M	-13.0M	1.01	1.94	49,091	49,486	1,790,558	1,724,458
2018-08-21	$28.43	$28.00	13.7%	4.0%	10.1%	10.9%	13.4%	2.8%	1.2%	119.7M	-955.6M	-13.1M	0.41	2.18	150,960	61,370	1,806,140	1,743,141
2018-08-22	$28.31	$28.00	14.0%	4.0%	10.1%	12.5%	14.1%	3.2%	1.3%	121.8M	-866.5M	-13.3M	3.05	1.81	26,097	79,486	1,940,070	1,775,267
2018-08-23	$28.15	$28.00	14.7%	4.2%	10.3%	17.2%	14.2%	3.2%	-0.2%	79.4M	-534.2M	-13.6M	3.31	2.29	26,401	87,370	1,951,403	1,838,572
2018-08-24	$28.23	$28.00	14.4%	4.1%	10.3%	15.1%	14.5%	3.3%	-0.1%	86.1M	-526.2M	-13.1M	2.72	2.33	19,746	53,772	1,957,362	1,862,020
2018-08-27	$28.62	$28.00	13.3%	4.0%	11.4%	7.8%	14.5%	3.8%	0.8%	159.5M	-1.16B	-13.5M	1.16	1.82	60,084	69,816	1,914,541	1,849,602
2018-08-28	$28.61	$28.00	13.5%	4.0%	11.0%	9.4%	13.9%	3.4%	0.6%	164.1M	-1.19B	-13.5M	1.30	1.78	32,448	42,303	1,917,191	1,866,917
2018-08-29	$28.62	$28.00	12.7%	3.9%	11.0%	4.2%	13.7%	4.0%	1.1%	165.6M	-1.08B	-13.4M	1.52	1.87	83,391	127,013	1,938,738	1,880,908
2018-08-30	$28.37	$28.00	15.0%	4.0%	11.5%	19.2%	15.9%	4.3%	-1.4%	123.7M	-669.5M	-13.2M	3.86	2.26	19,652	75,832	1,987,470	1,949,999
2018-08-31	$28.33	$28.00	14.3%	3.9%	11.4%	14.4%	14.7%	4.3%	-1.1%	84.0M	-579.3M	-12.9M	1.51	2.41	16,524	24,970	1,924,112	1,924,291