XLF Options History — January 2019

In January 2019, XLF traded between $23.55 and $25.98. ATM implied volatility averaged 19.8%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.1% (HV 20d: 21.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2019-01-16: Highest Volume — 517,619 contracts
  • 2019-01-22: Largest IV spike — 17.1% change
  • 2019-01-03: Highest IV Rank — 66.9%
  • 2019-01-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.09$23.55$25.98$23.94$25.89
Max Pain$25.05$25.00$26.00$26.00$25.00
ATM IV19.8%16.3%26.4%25.8%16.4%
Expected Move5.8%4.7%7.6%7.6%5.0%
HV 20d21.9%16.1%25.7%25.7%16.6%
HV 60d22.2%21.2%23.3%22.4%21.2%
IV Rank35.9%19.7%66.9%63.9%20.2%
IV Percentile63.1%36.9%95.2%94.0%36.9%
Term Structure0.3%-1.5%1.5%-0.9%0.2%
VWIV21.5%17.7%27.6%27.6%17.7%
Skew 25d5.0%3.8%6.3%6.3%4.2%
Skew 10d10.6%7.7%13.8%13.8%7.7%
Call IV 25d17.8%14.7%23.8%23.1%14.9%
Put IV 25d22.8%18.7%30.0%29.5%19.1%
Bid-Ask Spread %1.981.532.602.071.92
Gamma HHI0.220.130.760.180.13
Net GEX-17.2M-77.1M270.8M-68.6M-35.3M
Net DEX809.2M-74.9M1.97B1.77B378.6M
Net VEX-9.4M-10.5M-8.8M-9.2M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.662.960.691.86
Total Volume147,732.8113,897517,619104,36272,879
Total OI2,883,748.4291,915,9053,694,6443,336,3542,071,943

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$23.94$26.0025.8%7.6%25.7%63.9%27.6%6.3%-0.9%-68.6M1.77B-9.2M0.692.0761,90142,4611,334,6052,001,749
2019-01-03$23.55$25.0026.4%7.1%22.2%66.9%26.3%6.2%-0.2%-77.1M1.97B-8.9M1.722.1128,09548,3571,356,6991,981,955
2019-01-04$24.23$25.0024.0%6.8%25.1%55.7%23.6%5.4%-0.3%-65.9M1.39B-9.2M1.202.2362,57175,2021,382,3051,986,400
2019-01-07$24.37$25.0022.6%6.9%25.0%49.2%24.5%5.4%1.4%-60.8M1.36B-9.0M2.612.0821,07255,0931,351,2071,947,249
2019-01-08$24.28$25.0021.8%6.6%24.8%45.5%24.9%6.0%1.3%-62.3M1.43B-9.0M1.751.9750,39988,2231,381,0831,944,211
2019-01-09$24.41$25.0021.5%6.6%24.0%44.1%25.1%5.2%1.5%-53.6M1.31B-9.0M1.032.6061,49663,4241,396,9931,956,250
2019-01-10$24.49$25.0021.9%6.6%23.9%45.6%24.7%5.2%1.5%-54.6M1.27B-9.0M2.361.9553,507126,3381,413,2871,991,307
2019-01-11$24.49$25.0021.1%6.3%23.8%42.1%22.6%5.9%1.3%-64.7M1.29B-9.2M0.912.4183,02075,7501,440,8902,050,307
2019-01-14$24.66$25.0020.0%5.6%23.7%36.8%21.4%5.3%0.8%-45.9M1.11B-9.0M2.421.5656,775137,5521,429,3322,046,303
2019-01-15$24.88$25.0018.4%5.3%23.5%29.6%19.7%5.2%-0.1%-27.2M857.4M-8.9M1.992.1744,49188,3281,455,2892,049,930
2019-01-16$25.46$25.0019.0%5.4%24.1%32.2%18.0%4.9%-1.5%-7.4M271.3M-8.8M1.571.80201,447316,1721,448,3782,057,527
2019-01-17$25.53$25.0016.4%4.7%24.1%20.2%18.5%3.9%1.1%-14.6M230.0M-9.4M2.142.1390,231193,4031,504,7422,097,569
2019-01-18$25.95$25.0016.3%4.7%23.5%19.7%18.0%3.8%-0.1%270.8M-74.9M-9.4M1.952.0292,667180,3541,531,4042,163,240
2019-01-22$25.62$25.0019.1%5.6%23.8%32.7%20.1%4.9%-0.1%-37.9M426.7M-9.4M1.842.1244,95582,618506,3821,409,523
2019-01-23$25.71$25.0018.9%5.6%21.5%31.7%20.9%4.8%0.1%-33.5M371.1M-9.3M1.831.8422,64841,415530,1271,395,294
2019-01-24$25.77$25.0017.1%5.0%19.3%23.2%18.7%4.8%0.2%-25.6M328.3M-9.3M2.921.7113,62239,747539,4511,410,163
2019-01-25$25.98$25.0016.6%4.8%16.1%21.2%18.6%4.0%0.2%233.4M175.1M-9.2M1.431.6299,039141,883543,2961,422,690
2019-01-28$25.89$25.0017.3%5.1%16.4%24.5%20.4%4.4%0.3%-46.6M391.7M-10.5M0.661.538,3645,533501,0891,485,490
2019-01-29$25.87$25.0017.5%5.2%16.6%25.1%21.3%4.5%0.0%-44.4M388.5M-10.5M2.962.0019,65758,207508,2861,488,388
2019-01-30$25.96$25.0017.0%5.0%16.4%22.9%18.5%4.1%0.3%-40.0M345.9M-10.5M0.691.7031,69321,800522,0571,524,327
2019-01-31$25.89$25.0016.4%5.0%16.6%20.2%17.7%4.2%0.2%-35.3M378.6M-10.5M1.861.9225,48347,396540,1721,531,771