XLF Options History — December 2018

In December 2018, XLF traded between $22.39 and $27.10. ATM implied volatility averaged 26.2%, placing in the 82.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.8% (HV 20d: 22.4%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.93.

Notable Days

2018-12-06: Highest Volume — 361,431 contracts
2018-12-04: Largest IV spike — 28.0% change
2018-12-18: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.33	$22.39	$27.10	$27.10	$23.77
Max Pain	$26.75	$26.00	$27.00	$27.00	$26.00
ATM IV	26.2%	17.3%	33.5%	17.3%	26.6%
Expected Move	7.9%	5.7%	10.0%	5.7%	8.2%
HV 20d	22.4%	17.7%	25.6%	17.7%	25.3%
HV 60d	20.5%	18.0%	22.3%	18.0%	22.3%
IV Rank	82.6%	34.4%	100.0%	34.4%	67.8%
IV Percentile	94.6%	57.9%	100.0%	57.9%	95.6%
Term Structure	-0.3%	-2.1%	1.8%	-0.1%	-0.5%
VWIV	27.4%	21.1%	33.4%	21.1%	30.0%
Skew 25d	6.5%	4.0%	7.8%	4.0%	6.6%
Skew 10d	14.4%	8.2%	26.3%	8.2%	15.7%
Call IV 25d	23.9%	15.6%	30.1%	15.6%	24.8%
Put IV 25d	30.4%	19.6%	37.9%	19.6%	31.5%
Bid-Ask Spread %	3.36	1.92	18.35	2.24	2.15
Gamma HHI	0.18	0.14	0.21	0.14	0.18
Net GEX	-91.5M	-117.2M	-47.2M	-47.2M	-68.4M
Net DEX	2.37B	431.7M	3.49B	431.7M	1.88B
Net VEX	-9.1M	-10.7M	-7.6M	-10.6M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.95	4.90	1.69	1.19
Total Volume	196,490.4	42,338	361,431	103,638	202,102
Total OI	3,711,729.05	3,225,338	4,110,491	3,642,310	3,375,982

Daily Data (20 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
2018-12-03	$27.10	$27.00	17.3%	5.7%	17.7%	34.4%	21.1%	4.0%	-0.1%	-47.2M	431.7M	-10.6M	1.69	2.24	38,482	65,156	1,515,465	2,126,845
2018-12-04	$25.97	$27.00	22.1%	7.8%	22.8%	66.5%	27.2%	6.0%	0.2%	-106.1M	1.59B	-10.6M	1.59	3.55	90,368	143,793	1,522,633	2,141,694
2018-12-05	$25.96	$27.00	22.9%	8.3%	22.8%	71.3%	29.2%	5.9%	0.3%	-100.4M	1.59B	-10.7M	1.48	18.35	108,023	159,724	1,522,633	2,141,694
2018-12-06	$25.58	$27.00	23.4%	6.4%	22.2%	74.8%	23.8%	7.6%	-0.2%	-117.2M	1.97B	-10.4M	2.73	2.13	96,926	264,505	1,582,819	2,199,078
2018-12-07	$25.29	$27.00	23.0%	6.9%	22.2%	72.3%	25.1%	6.9%	0.2%	-115.9M	2.21B	-10.0M	1.35	1.96	18,014	24,324	1,622,223	2,239,817
2018-12-10	$24.81	$27.00	25.5%	7.3%	22.9%	88.4%	25.9%	7.0%	-0.3%	-105.4M	2.41B	-9.5M	2.80	2.55	65,568	183,276	1,576,988	2,161,383
2018-12-11	$24.61	$27.00	24.6%	6.8%	22.2%	82.4%	24.4%	5.7%	-0.4%	-101.7M	2.53B	-9.0M	2.47	2.23	51,865	128,059	1,607,172	2,175,503
2018-12-12	$24.72	$27.00	24.0%	6.7%	22.1%	78.8%	24.6%	5.5%	-0.5%	-100.2M	2.48B	-9.0M	1.03	1.92	55,198	57,127	1,626,958	2,178,500
2018-12-13	$24.48	$27.00	23.7%	7.2%	22.1%	76.9%	25.1%	5.4%	1.8%	-101.3M	2.68B	-8.6M	1.86	2.09	83,044	154,278	1,646,019	2,171,425
2018-12-14	$24.20	$27.00	25.4%	7.3%	21.8%	87.5%	25.3%	4.8%	0.2%	-93.2M	2.87B	-8.8M	3.16	2.46	32,999	104,213	1,692,229	2,253,764
2018-12-17	$23.91	$27.00	27.1%	7.7%	21.6%	98.9%	25.1%	6.6%	-1.0%	-96.4M	2.90B	-8.5M	2.71	1.98	49,279	133,728	1,614,664	2,219,755
2018-12-18	$23.94	$27.00	27.8%	8.0%	21.7%	100.0%	27.5%	7.3%	-0.9%	-93.3M	2.89B	-8.7M	1.06	2.03	109,800	115,958	1,636,406	2,237,706
2018-12-19	$23.59	$27.00	26.8%	7.7%	21.7%	93.2%	27.2%	7.3%	0.5%	-93.3M	3.15B	-8.1M	1.59	3.05	97,646	155,563	1,717,920	2,256,638
2018-12-20	$23.37	$27.00	29.6%	8.6%	21.7%	100.0%	28.2%	7.1%	-2.1%	-100.7M	3.29B	-8.4M	1.29	2.67	55,616	71,629	1,770,376	2,315,985
2018-12-21	$22.84	$27.00	29.6%	8.5%	22.5%	100.0%	29.5%	7.4%	-0.6%	-80.8M	3.49B	-8.1M	1.50	3.26	64,869	97,214	1,779,749	2,330,742
2018-12-24	$22.39	$26.00	33.5%	10.0%	20.4%	100.0%	33.2%	7.8%	-0.5%	-74.6M	2.66B	-7.6M	4.90	3.64	31,383	153,858	1,310,368	1,914,970
2018-12-26	$23.20	$26.00	31.2%	9.4%	25.6%	89.3%	33.4%	7.7%	-0.6%	-81.2M	2.30B	-8.3M	2.01	3.11	81,348	163,902	1,327,290	1,921,409
2018-12-27	$23.39	$26.00	30.8%	9.4%	24.6%	87.4%	31.2%	7.0%	-0.6%	-75.7M	2.09B	-8.8M	1.29	3.04	84,721	109,126	1,372,532	1,976,659
2018-12-28	$23.52	$26.00	29.8%	9.1%	25.0%	82.5%	30.5%	6.5%	-0.5%	-77.7M	2.02B	-9.0M	0.95	2.88	116,575	110,549	1,425,910	2,024,678
2018-12-31	$23.77	$26.00	26.6%	8.2%	25.3%	67.8%	30.0%	6.6%	-0.5%	-68.4M	1.88B	-9.0M	1.19	2.15	92,208	109,894	1,387,302	1,988,680