XLF Options History — October 2018

In October 2018, XLF traded between $25.31 and $28.23. ATM implied volatility averaged 20.3%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.6% (HV 20d: 16.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 2.07.

Notable Days

2018-10-11: Highest Volume — 820,783 contracts
2018-10-11: Largest IV spike — 21.6% change
2018-10-29: Highest IV Rank — 90.5%
2018-10-29: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.76	$25.31	$28.23	$27.62	$26.39
Max Pain	$27.57	$27.00	$28.00	$28.00	$27.00
ATM IV	20.3%	15.4%	25.8%	15.6%	21.1%
Expected Move	6.0%	4.5%	8.3%	4.6%	6.7%
HV 20d	16.7%	11.8%	22.8%	11.9%	22.8%
HV 60d	13.3%	11.2%	16.1%	12.5%	16.1%
IV Rank	54.1%	21.9%	90.5%	23.2%	59.3%
IV Percentile	83.7%	51.2%	98.4%	56.3%	88.1%
Term Structure	-0.1%	-2.0%	0.9%	0.5%	-0.1%
VWIV	21.6%	15.4%	33.5%	15.4%	25.5%
Skew 25d	5.0%	3.0%	6.4%	3.3%	5.4%
Skew 10d	10.6%	5.6%	15.4%	5.6%	12.8%
Call IV 25d	18.6%	14.1%	23.7%	14.2%	19.3%
Put IV 25d	23.6%	17.5%	29.9%	17.5%	24.6%
Bid-Ask Spread %	2.57	1.70	4.37	1.97	3.16
Gamma HHI	0.16	0.12	0.19	0.14	0.12
Net GEX	-48.3M	-108.3M	79.2M	-3.2M	-68.4M
Net DEX	1.02B	-589.3M	2.15B	296.4M	1.01B
Net VEX	-13.1M	-14.2M	-12.2M	-12.7M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.67	11.00	1.51	1.89
Total Volume	247,155.391	100,953	820,783	104,350	220,430
Total OI	3,910,395.739	3,445,362	4,423,585	3,445,362	4,059,205

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
2018-10-01	$27.62	$28.00	15.6%	4.6%	11.9%	23.2%	15.4%	3.3%	0.5%	-3.2M	296.4M	-12.7M	1.51	1.97	41,570	62,780	1,602,672	1,842,690
2018-10-02	$27.69	$28.00	15.8%	4.7%	11.8%	24.3%	15.8%	3.5%	0.4%	-1.1M	271.6M	-12.9M	1.24	2.20	182,989	227,760	1,618,037	1,872,433
2018-10-03	$27.92	$28.00	15.4%	4.5%	12.2%	21.9%	16.0%	3.0%	0.8%	32.7M	-129.6M	-12.9M	0.74	1.95	175,216	129,323	1,668,844	1,934,332
2018-10-04	$28.08	$28.00	17.3%	5.0%	12.4%	34.4%	16.8%	3.2%	0.5%	62.8M	-416.8M	-13.5M	0.70	1.90	269,902	188,971	1,764,620	1,971,470
2018-10-05	$27.97	$28.00	17.5%	5.0%	12.5%	35.7%	18.0%	3.3%	0.1%	70.3M	-144.2M	-14.2M	0.76	2.09	111,567	85,119	1,856,937	2,038,312
2018-10-08	$28.23	$28.00	18.1%	5.1%	12.9%	40.1%	17.5%	4.2%	-0.3%	79.2M	-589.3M	-13.8M	0.89	2.13	80,894	71,859	1,809,676	1,987,473
2018-10-09	$28.09	$28.00	17.7%	5.0%	13.0%	37.1%	17.3%	4.0%	-0.1%	67.4M	-410.4M	-13.4M	3.40	1.70	30,645	104,289	1,827,527	1,995,045
2018-10-10	$27.36	$28.00	20.9%	6.3%	15.8%	58.4%	20.3%	5.5%	0.9%	-8.5M	533.6M	-13.9M	1.12	2.16	119,741	133,596	1,830,444	2,051,776
2018-10-11	$26.61	$28.00	25.5%	6.8%	18.4%	88.2%	26.6%	6.3%	-2.0%	-50.7M	1.32B	-13.6M	3.70	2.92	174,502	646,281	1,848,758	2,098,242
2018-10-12	$26.42	$28.00	24.1%	6.9%	18.1%	79.5%	22.2%	5.9%	-0.3%	-88.7M	1.75B	-13.6M	1.95	2.53	91,803	179,453	1,906,775	2,341,428
2018-10-15	$26.47	$28.00	21.4%	6.2%	18.2%	61.3%	20.3%	5.5%	-1.6%	-108.3M	1.77B	-13.1M	1.40	2.27	53,422	74,667	1,894,930	2,363,567
2018-10-16	$26.73	$28.00	17.9%	5.1%	18.5%	38.2%	18.2%	4.2%	0.8%	-106.8M	1.39B	-12.7M	0.86	2.09	85,850	73,882	1,919,479	2,372,115
2018-10-17	$26.91	$28.00	18.3%	5.3%	17.1%	41.1%	19.3%	5.1%	-0.9%	-83.8M	1.10B	-13.0M	1.46	2.63	54,653	79,903	1,955,866	2,373,005
2018-10-18	$26.62	$27.00	19.2%	5.5%	16.8%	47.0%	20.1%	6.1%	0.2%	-98.2M	1.53B	-13.3M	4.26	2.60	34,713	147,894	1,973,426	2,386,257
2018-10-19	$26.71	$27.00	18.7%	5.3%	16.9%	43.9%	21.8%	4.8%	0.5%	-83.8M	1.46B	-13.3M	11.00	2.90	31,963	351,527	1,983,342	2,440,243
2018-10-22	$26.16	$27.00	20.4%	6.1%	17.8%	55.1%	20.7%	5.4%	0.0%	-103.8M	1.50B	-12.4M	2.10	2.63	52,459	110,153	1,488,025	2,079,626
2018-10-23	$25.96	$27.00	20.8%	6.2%	17.8%	57.5%	21.8%	5.1%	0.1%	-108.3M	1.64B	-12.3M	1.82	2.67	68,265	124,207	1,506,328	2,084,410
2018-10-24	$25.45	$27.00	23.5%	7.2%	18.5%	75.6%	25.2%	6.4%	-0.6%	-103.0M	2.02B	-12.2M	1.39	2.89	80,474	112,023	1,534,356	2,109,137
2018-10-25	$25.72	$27.00	23.5%	7.3%	19.3%	75.1%	26.0%	5.9%	-0.5%	-103.7M	1.79B	-12.6M	1.36	2.75	76,388	103,853	1,594,575	2,139,033
2018-10-26	$25.32	$27.00	24.7%	7.7%	19.6%	83.0%	29.4%	6.4%	-0.6%	-106.2M	2.15B	-12.4M	1.53	4.37	148,795	228,237	1,615,793	2,190,771
2018-10-29	$25.31	$27.00	25.8%	8.3%	19.6%	90.5%	33.5%	6.2%	-1.0%	-101.9M	2.07B	-12.9M	1.95	3.82	54,788	106,815	1,661,385	2,322,827
2018-10-30	$25.85	$27.00	23.3%	7.4%	21.4%	74.3%	29.2%	6.1%	-0.3%	-95.6M	1.63B	-13.1M	0.67	2.72	60,624	40,329	1,692,721	2,331,189
2018-10-31	$26.39	$27.00	21.1%	6.7%	22.8%	59.3%	25.5%	5.4%	-0.1%	-68.4M	1.01B	-13.6M	1.89	3.16	76,268	144,162	1,721,322	2,337,883