XLF Options History — September 2018

In September 2018, XLF traded between $27.59 and $29.00. ATM implied volatility averaged 14.2%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.7% (HV 20d: 10.5%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.53.

Notable Days

  • 2018-09-20: Highest Volume — 591,808 contracts
  • 2018-09-24: Largest IV spike — 8.2% change
  • 2018-09-28: Highest IV Rank — 23.3%
  • 2018-09-06: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.31$27.59$29.00$28.46$27.59
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV14.2%13.1%15.6%14.6%15.6%
Expected Move4.2%3.8%4.5%4.1%4.4%
HV 20d10.5%8.4%12.0%11.4%11.9%
HV 60d11.7%11.2%12.5%11.6%12.5%
IV Rank13.7%6.8%23.3%16.7%23.3%
IV Percentile24.5%5.6%57.1%33.7%57.1%
Term Structure0.1%-1.2%1.5%-0.1%-0.3%
VWIV15.1%12.6%18.0%15.1%14.9%
Skew 25d3.7%2.6%4.5%4.0%3.1%
Skew 10d8.3%4.7%11.3%7.9%5.5%
Call IV 25d13.2%11.7%14.5%13.1%14.2%
Put IV 25d16.9%15.8%17.9%17.1%17.3%
Bid-Ask Spread %1.981.592.522.112.52
Gamma HHI0.290.150.800.390.15
Net GEX93.6M-11.6M768.0M108.9M-7.8M
Net DEX-488.9M-1.83B305.5M-720.5M305.5M
Net VEX-11.7M-12.7M-10.8M-12.7M-12.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.164.901.240.83
Total Volume190,17865,716591,80865,716167,081
Total OI3,785,804.0533,019,6274,131,8503,769,4713,502,877

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$28.46$28.0014.6%4.1%11.4%16.7%15.1%4.0%-0.1%108.9M-720.5M-12.7M1.242.1129,38436,3321,883,7771,885,694
2018-09-05$28.51$28.0014.2%4.2%11.2%14.3%18.0%4.1%0.3%117.3M-826.3M-12.7M3.002.3121,70865,1771,893,1691,886,137
2018-09-06$28.39$28.0014.7%4.5%11.2%17.3%14.6%4.5%0.3%93.1M-569.3M-12.1M1.431.7627,52439,4631,900,8381,891,588
2018-09-07$28.35$28.0014.2%4.5%11.0%13.9%14.8%4.4%0.3%86.4M-461.9M-12.6M2.901.7522,99266,7071,902,7421,983,656
2018-09-10$28.31$28.0014.1%4.5%10.1%13.6%13.8%3.9%1.5%79.5M-468.9M-11.9M2.061.7926,44654,5481,905,3571,964,977
2018-09-11$28.35$28.0013.7%4.3%9.4%10.9%15.9%3.8%1.5%102.7M-624.5M-11.8M1.321.8360,01878,9851,904,7261,983,008
2018-09-12$28.13$28.0014.4%4.2%9.5%15.4%15.6%3.9%0.3%11.9M-107.7M-11.8M1.421.7062,86789,1901,941,4062,050,941
2018-09-13$28.04$28.0013.6%3.9%9.2%9.7%14.0%3.8%0.2%15.0M-70.3M-11.5M1.311.7462,84682,0461,967,6082,055,069
2018-09-14$28.23$28.0013.4%4.0%8.4%8.9%12.6%4.2%0.5%7.6M-297.3M-11.0M0.682.2192,80862,9481,984,4982,051,947
2018-09-17$28.09$28.0014.2%4.1%8.5%14.3%17.0%3.8%-0.2%-4.4M-130.5M-11.0M4.902.0120,676101,2232,004,5702,049,155
2018-09-18$28.26$28.0014.0%4.1%8.7%12.5%13.2%3.7%-1.2%21.4M-371.1M-11.1M0.621.9980,60649,6422,008,7552,101,896
2018-09-19$28.78$28.0013.2%3.8%10.8%7.3%16.0%3.8%-0.2%319.2M-1.32B-11.1M0.861.94114,13498,0382,023,9802,106,132
2018-09-20$29.00$28.0013.4%3.9%10.9%8.9%13.8%3.3%-0.2%768.0M-1.83B-10.8M0.161.61510,31481,4942,001,6942,130,156
2018-09-21$28.76$28.0013.1%3.8%11.2%6.8%15.3%3.0%-0.2%44.2M-668.3M-10.9M1.201.5952,57763,2081,917,6112,172,505
2018-09-24$28.43$28.0014.2%4.1%12.0%13.9%17.4%3.5%0.1%14.9M-551.0M-11.1M3.091.99106,210328,6501,331,3091,688,318
2018-09-25$28.36$28.0014.3%4.3%10.9%14.4%14.9%3.3%0.1%18.1M-484.0M-11.6M0.282.39155,61743,7551,380,0781,753,015
2018-09-26$28.03$28.0015.3%4.5%11.6%21.2%15.5%3.0%-0.2%-11.6M-142.1M-11.9M0.772.36196,649150,5221,445,4581,817,785
2018-09-27$27.88$28.0014.6%4.1%11.7%16.4%14.6%2.6%-0.0%-6.3M47.6M-12.7M1.102.05148,145162,8521,563,5451,894,300
2018-09-28$27.59$28.0015.6%4.4%11.9%23.3%14.9%3.1%-0.3%-7.8M305.5M-12.7M0.832.5291,35175,7301,617,5771,885,300