XLF Options History — November 2018

In November 2018, XLF traded between $26.00 and $27.34. ATM implied volatility averaged 20.6%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.2% (HV 20d: 20.4%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.68.

Notable Days

2018-11-16: Highest Volume — 284,716 contracts
2018-11-07: Largest IV drop — 16.7% change
2018-11-20: Highest IV Rank — 77.4%
2018-11-20: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.71	$26.00	$27.34	$26.38	$27.07
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	20.6%	17.2%	23.8%	20.5%	19.2%
Expected Move	6.2%	5.5%	6.9%	6.5%	6.3%
HV 20d	20.4%	17.7%	23.1%	22.6%	17.7%
HV 60d	16.9%	16.0%	18.0%	16.1%	18.0%
IV Rank	56.0%	33.6%	77.4%	55.8%	47.2%
IV Percentile	83.4%	62.7%	95.6%	86.5%	77.8%
Term Structure	-0.3%	-2.0%	1.6%	0.1%	0.1%
VWIV	22.7%	17.6%	28.6%	24.7%	23.2%
Skew 25d	5.1%	4.3%	6.1%	4.9%	4.8%
Skew 10d	11.1%	9.4%	13.0%	12.2%	10.1%
Call IV 25d	18.6%	15.7%	21.8%	19.2%	16.8%
Put IV 25d	23.7%	20.2%	27.9%	24.2%	21.6%
Bid-Ask Spread %	2.67	2.06	4.00	3.56	2.49
Gamma HHI	0.14	0.12	0.27	0.13	0.14
Net GEX	-54.8M	-145.0M	30.1M	-76.1M	-8.5M
Net DEX	718.7M	-93.7M	1.49B	1.02B	307.9M
Net VEX	-12.3M	-13.4M	-11.2M	-13.4M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.65	4.19	1.14	4.19
Total Volume	164,000.095	89,924	284,716	157,557	121,228
Total OI	3,945,905.143	3,453,735	4,329,812	4,113,820	3,706,885

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
2018-11-01	$26.38	$27.00	20.5%	6.5%	22.6%	55.8%	24.7%	4.9%	0.1%	-76.1M	1.02B	-13.4M	1.14	3.56	73,683	83,874	1,736,073	2,377,747
2018-11-02	$26.39	$27.00	20.9%	6.7%	22.6%	58.0%	28.6%	5.7%	0.5%	-78.4M	1.05B	-13.3M	1.79	4.00	95,879	171,383	1,783,276	2,391,545
2018-11-05	$26.80	$27.00	21.0%	6.2%	23.1%	58.8%	23.3%	5.5%	-0.2%	-32.8M	545.3M	-13.4M	1.00	2.59	96,267	96,305	1,805,627	2,360,727
2018-11-06	$26.82	$27.00	20.7%	6.1%	23.1%	57.2%	23.1%	4.9%	-0.1%	-35.4M	557.6M	-13.4M	1.97	2.48	81,091	159,635	1,829,030	2,407,320
2018-11-07	$27.28	$27.00	17.3%	5.5%	22.3%	34.2%	17.6%	4.3%	0.1%	18.4M	-45.6M	-12.8M	0.92	2.48	68,742	63,310	1,854,034	2,420,813
2018-11-08	$27.34	$27.00	17.2%	5.6%	19.7%	33.6%	19.2%	4.5%	0.1%	30.1M	-93.7M	-12.6M	1.20	3.02	102,375	123,271	1,843,686	2,419,010
2018-11-09	$27.18	$27.00	18.7%	5.7%	19.7%	43.8%	18.5%	4.5%	0.2%	822.7K	96.0M	-12.8M	1.25	3.00	39,888	50,036	1,858,769	2,471,043
2018-11-12	$26.63	$27.00	21.6%	6.1%	21.1%	63.1%	20.9%	5.5%	-0.1%	-75.8M	900.0M	-12.8M	2.30	2.71	39,250	90,146	1,780,428	2,377,613
2018-11-13	$26.76	$27.00	20.1%	6.0%	20.9%	52.9%	21.4%	5.1%	1.0%	-65.4M	734.6M	-12.5M	0.86	2.16	62,182	53,536	1,791,933	2,393,981
2018-11-14	$26.47	$27.00	22.1%	6.8%	21.1%	66.3%	23.2%	5.5%	1.6%	-94.5M	1.07B	-12.5M	2.46	2.60	36,823	90,532	1,806,366	2,411,931
2018-11-15	$26.69	$27.00	21.6%	6.1%	21.0%	62.6%	24.6%	5.1%	-0.3%	-79.6M	822.0M	-12.2M	0.65	2.24	67,752	44,036	1,806,113	2,425,410
2018-11-16	$26.82	$27.00	19.4%	5.8%	21.0%	48.3%	22.5%	4.9%	1.2%	-45.6M	642.7M	-12.0M	1.03	2.47	140,440	144,276	1,856,001	2,427,566
2018-11-19	$26.70	$27.00	22.3%	6.5%	19.6%	67.4%	21.7%	5.2%	-1.8%	-55.5M	750.2M	-12.0M	1.09	3.20	53,604	58,375	1,443,651	2,010,084
2018-11-20	$26.32	$27.00	23.8%	6.9%	20.1%	77.4%	24.9%	6.1%	-1.9%	-73.2M	1.11B	-12.1M	2.27	2.53	65,391	148,236	1,450,004	2,017,710
2018-11-21	$26.30	$27.00	21.9%	6.3%	18.6%	65.1%	23.8%	5.3%	-1.9%	-83.0M	1.21B	-11.8M	1.59	2.22	52,172	83,196	1,500,922	2,094,557
2018-11-23	$26.00	$27.00	23.3%	6.8%	18.9%	73.9%	25.3%	5.2%	-1.6%	-145.0M	1.49B	-11.4M	1.00	2.85	74,388	74,295	1,501,214	2,087,031
2018-11-26	$26.56	$27.00	21.2%	6.5%	19.2%	60.4%	23.4%	5.3%	-1.7%	-73.6M	971.8M	-11.5M	3.29	2.66	39,200	129,010	1,479,353	2,072,012
2018-11-27	$26.53	$27.00	20.5%	6.3%	19.3%	55.7%	22.9%	4.8%	-2.0%	-83.3M	1.04B	-11.2M	2.05	2.06	49,639	101,542	1,487,042	2,106,888
2018-11-28	$27.01	$27.00	19.2%	6.1%	18.9%	47.0%	21.7%	5.1%	-0.5%	-50.7M	420.2M	-11.2M	1.55	2.29	61,263	95,223	1,501,686	2,105,163
2018-11-29	$26.91	$27.00	19.2%	6.2%	17.7%	47.3%	22.7%	4.8%	-0.3%	-44.8M	494.6M	-11.2M	1.76	2.47	58,789	103,739	1,539,857	2,123,907
2018-11-30	$27.07	$27.00	19.2%	6.3%	17.7%	47.2%	23.2%	4.8%	0.1%	-8.5M	307.9M	-11.2M	4.19	2.49	23,370	97,858	1,558,714	2,148,171