XLF Options History — March 2019

In March 2019, XLF traded between $25.26 and $26.90. ATM implied volatility averaged 16.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.7% (HV 20d: 12.5%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2019-03-29: Highest Volume — 264,660 contracts
  • 2019-03-22: Largest IV spike — 14.3% change
  • 2019-03-22: Highest IV Rank — 33.7%
  • 2019-03-22: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.14$25.26$26.90$26.72$25.70
Max Pain$26.62$26.00$27.00$26.00$26.00
ATM IV16.2%13.7%19.3%14.7%17.1%
Expected Move4.8%4.0%5.6%4.6%4.6%
HV 20d12.5%9.8%15.5%11.1%15.4%
HV 60d16.6%14.8%19.7%19.7%14.8%
IV Rank19.4%7.6%33.7%12.3%23.2%
IV Percentile38.0%5.2%70.2%16.3%50.4%
Term Structure-0.0%-0.9%1.6%1.5%-0.2%
VWIV16.9%13.7%22.2%16.1%18.6%
Skew 25d4.4%3.3%5.8%4.2%3.8%
Skew 10d8.7%5.2%11.2%9.1%7.9%
Call IV 25d14.7%12.5%18.1%13.9%15.1%
Put IV 25d19.1%15.8%22.6%18.1%19.0%
Bid-Ask Spread %1.811.252.511.461.35
Gamma HHI0.170.140.230.160.18
Net GEX-78.4M-124.4M-18.4M-54.2M-55.3M
Net DEX685.1M47.2M1.32B240.8M881.8M
Net VEX-12.5M-13.0M-12.0M-12.1M-12.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.343.541.570.44
Total Volume137,458.42953,897264,660216,187264,660
Total OI2,739,124.2862,446,1333,007,3572,713,9482,760,878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$26.72$26.0014.7%4.6%11.1%12.3%16.1%4.2%1.5%-54.2M240.8M-12.1M1.571.4684,255131,932663,6312,050,317
2019-03-04$26.52$26.0015.9%5.1%11.4%17.8%17.8%5.2%0.0%-71.8M464.9M-12.7M1.351.5153,81372,385676,5152,056,722
2019-03-05$26.49$26.0015.8%4.7%11.4%17.2%18.2%5.0%0.1%-82.7M451.3M-12.5M1.131.4925,26628,631685,2292,083,110
2019-03-06$26.27$26.0015.8%4.8%11.8%17.3%19.3%4.6%0.1%-90.6M651.1M-12.6M1.861.2538,05670,679694,7752,051,197
2019-03-07$25.98$26.0017.4%5.5%12.5%24.8%22.2%5.8%0.0%-105.3M965.2M-12.9M3.541.5034,633122,571710,6392,086,358
2019-03-08$25.93$26.0017.2%5.1%11.8%23.6%18.4%5.5%-0.2%-103.8M1.05B-13.0M2.711.4743,610118,004722,2292,163,430
2019-03-11$26.24$27.0015.8%4.6%12.1%17.4%15.0%4.7%0.0%-124.4M634.3M-12.3M3.242.3123,80077,037704,9272,174,918
2019-03-12$26.30$27.0013.9%4.5%12.1%8.3%13.7%4.3%1.6%-118.8M590.2M-12.2M0.622.4154,81334,178712,1272,194,303
2019-03-13$26.52$27.0013.8%4.0%11.2%8.2%14.0%4.0%-0.9%-82.6M350.6M-12.0M0.382.51102,58838,790750,8152,189,182
2019-03-14$26.62$27.0014.4%4.1%11.1%11.0%15.6%4.5%-0.7%-48.7M184.8M-12.2M0.592.12133,46679,069815,5802,191,777
2019-03-15$26.60$27.0013.7%4.0%10.5%7.6%15.0%3.3%-0.3%-40.8M281.4M-12.1M1.152.4037,81143,368747,8832,222,261
2019-03-18$26.90$27.0014.2%4.1%9.8%9.9%14.4%3.6%0.0%-18.4M47.2M-12.0M1.001.8653,66953,822643,2591,802,874
2019-03-19$26.64$27.0016.2%4.3%10.4%19.0%14.7%3.4%-0.4%-44.3M264.4M-12.3M0.342.0799,52934,192660,8361,842,539
2019-03-20$26.20$27.0016.9%4.7%11.9%22.4%15.2%3.9%-0.3%-73.1M670.6M-12.6M1.092.0876,19882,860733,2341,861,856
2019-03-21$26.07$27.0016.9%4.7%11.9%22.5%18.6%3.8%-0.4%-79.2M772.5M-12.6M2.931.2959,770175,057716,0361,870,680
2019-03-22$25.37$27.0019.3%5.6%15.2%33.7%18.4%4.5%-0.8%-86.8M1.32B-12.8M2.542.2554,358137,867740,9641,925,449
2019-03-25$25.26$27.0018.9%5.6%14.9%31.8%18.7%4.8%-0.3%-98.1M1.31B-12.7M1.961.6726,59652,057734,6821,882,910
2019-03-26$25.43$27.0017.7%5.4%15.3%26.2%17.8%4.1%0.1%-94.7M1.16B-12.7M0.901.5933,77630,376751,8181,883,866
2019-03-27$25.49$27.0018.1%5.4%15.3%28.1%17.6%4.7%-0.3%-89.9M1.11B-12.6M0.961.8350,35748,102770,0411,888,193
2019-03-28$25.62$26.0017.5%4.6%15.5%25.2%15.9%4.7%0.3%-83.3M984.9M-12.7M0.491.6370,29434,332806,5861,896,984
2019-03-29$25.70$26.0017.1%4.6%15.4%23.2%18.6%3.8%-0.2%-55.3M881.8M-12.6M0.441.35183,27481,386852,4951,908,383