XLF Options History — February 2019

In February 2019, XLF traded between $25.59 and $26.62. ATM implied volatility averaged 16.0%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.8% (HV 20d: 12.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 3.04.

Notable Days

2019-02-07: Highest Volume — 205,057 contracts
2019-02-08: Largest IV spike — 6.1% change
2019-02-08: Highest IV Rank — 23.7%
2019-02-15: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.24	$25.59	$26.62	$26.05	$26.56
Max Pain	$25.79	$25.00	$26.00	$25.00	$26.00
ATM IV	16.0%	14.1%	17.2%	16.1%	14.1%
Expected Move	4.8%	4.5%	5.1%	4.9%	4.5%
HV 20d	12.3%	11.0%	14.7%	14.7%	11.0%
HV 60d	20.4%	19.7%	21.0%	21.0%	19.7%
IV Rank	18.4%	9.3%	23.7%	18.7%	9.3%
IV Percentile	32.3%	7.1%	46.0%	32.5%	7.1%
Term Structure	0.1%	-1.7%	1.2%	0.3%	1.1%
VWIV	18.1%	16.0%	20.3%	16.0%	16.7%
Skew 25d	4.1%	2.9%	4.6%	4.1%	4.3%
Skew 10d	8.7%	6.8%	10.0%	9.5%	8.4%
Call IV 25d	14.6%	13.5%	15.8%	14.4%	13.5%
Put IV 25d	18.7%	17.8%	20.3%	18.5%	17.8%
Bid-Ask Spread %	1.83	1.40	2.63	1.96	1.59
Gamma HHI	0.19	0.13	0.32	0.32	0.15
Net GEX	-70.8M	-99.3M	21.3M	21.3M	-79.0M
Net DEX	412.8M	251.9M	778.0M	274.5M	375.0M
Net VEX	-11.0M	-12.0M	-10.3M	-10.5M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.04	0.50	11.23	0.50	1.47
Total Volume	111,495.632	55,390	205,057	104,955	85,333
Total OI	2,400,628.316	2,075,054	2,669,893	2,103,790	2,669,893

Daily Data (19 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
2019-02-01	$26.05	$25.00	16.1%	4.9%	14.7%	18.7%	16.0%	4.1%	0.3%	21.3M	274.5M	-10.5M	0.50	1.96	70,023	34,932	551,634	1,552,156
2019-02-04	$26.12	$25.00	15.8%	4.8%	11.9%	17.1%	19.4%	4.4%	0.9%	-37.3M	263.7M	-10.3M	3.46	2.01	30,183	104,428	537,215	1,537,839
2019-02-05	$26.12	$25.00	15.6%	4.7%	11.9%	16.6%	17.5%	4.4%	0.6%	-46.0M	310.6M	-10.5M	3.44	1.71	25,768	88,563	557,961	1,621,972
2019-02-06	$26.06	$25.00	15.5%	4.6%	11.8%	15.8%	16.2%	3.8%	0.6%	-62.3M	362.3M	-10.6M	3.79	2.05	13,695	51,903	566,617	1,663,522
2019-02-07	$25.78	$26.00	16.2%	4.8%	12.8%	19.1%	18.1%	4.3%	0.6%	-85.4M	613.8M	-10.8M	11.23	1.99	16,766	188,291	570,750	1,702,333
2019-02-08	$25.59	$26.00	17.2%	4.9%	13.3%	23.7%	20.3%	4.0%	-0.4%	-95.0M	778.0M	-11.1M	6.61	1.40	19,301	127,507	573,421	1,804,127
2019-02-11	$25.73	$26.00	17.1%	4.9%	13.3%	23.3%	19.6%	4.4%	1.1%	-96.2M	705.2M	-11.1M	1.06	1.56	27,605	29,399	561,931	1,856,822
2019-02-12	$26.13	$26.00	17.1%	4.9%	14.0%	23.5%	18.4%	3.8%	-0.2%	-71.2M	387.1M	-10.9M	3.03	1.69	42,537	129,092	575,953	1,892,409
2019-02-13	$26.26	$26.00	16.8%	4.8%	13.9%	22.2%	17.6%	3.9%	-1.5%	-77.6M	342.1M	-10.9M	0.78	2.00	44,043	34,188	587,569	1,959,942
2019-02-14	$26.01	$26.00	16.9%	4.9%	12.3%	22.4%	18.5%	2.9%	-0.4%	-99.3M	574.4M	-11.1M	1.32	1.72	41,568	54,722	572,318	1,966,627
2019-02-15	$26.41	$26.00	17.1%	5.1%	13.3%	23.6%	17.1%	4.3%	-1.6%	-67.3M	251.9M	-10.9M	1.86	1.92	43,487	80,963	591,761	1,995,835
2019-02-19	$26.54	$26.00	16.7%	4.9%	12.2%	21.4%	18.4%	4.3%	-1.6%	-75.5M	303.1M	-10.7M	5.51	2.17	12,156	67,012	535,060	1,795,407
2019-02-20	$26.62	$26.00	16.1%	4.7%	11.0%	18.8%	17.9%	4.2%	-1.7%	-76.5M	279.7M	-10.7M	3.34	2.02	20,988	70,099	542,179	1,829,253
2019-02-21	$26.48	$26.00	16.2%	4.8%	11.3%	19.4%	18.0%	3.9%	1.2%	-84.8M	413.3M	-11.1M	3.77	2.63	16,211	61,054	554,610	1,880,490
2019-02-22	$26.45	$26.00	16.0%	4.6%	11.3%	18.1%	18.4%	4.4%	1.2%	-78.0M	445.8M	-11.1M	1.27	1.68	49,185	62,405	556,160	1,915,364
2019-02-25	$26.59	$26.00	15.1%	4.8%	11.1%	14.1%	18.1%	3.9%	0.8%	-76.0M	344.1M	-11.0M	3.06	1.63	42,349	129,664	557,182	1,877,723
2019-02-26	$26.55	$26.00	14.8%	4.6%	11.0%	12.5%	19.7%	4.6%	0.9%	-81.1M	433.6M	-11.8M	1.30	1.42	24,127	31,263	572,944	1,970,055
2019-02-27	$26.59	$26.00	14.4%	4.6%	11.0%	11.0%	18.6%	4.6%	1.0%	-78.7M	384.4M	-11.7M	1.05	1.55	72,111	75,496	578,566	1,976,338
2019-02-28	$26.56	$26.00	14.1%	4.5%	11.0%	9.3%	16.7%	4.3%	1.1%	-79.0M	375.0M	-12.0M	1.47	1.59	34,531	50,802	634,019	2,035,874