XLF Options History — April 2019

In April 2019, XLF traded between $26.31 and $28.02. ATM implied volatility averaged 15.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.0% (HV 20d: 15.3%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-04-12: Highest Volume — 535,769 contracts
  • 2019-04-11: Largest IV spike — 6.9% change
  • 2019-04-11: Highest IV Rank — 23.5%
  • 2019-04-09: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.04$26.31$28.02$26.31$27.95
Max Pain$26.05$26.00$27.00$26.00$27.00
ATM IV15.3%13.7%17.1%15.7%13.7%
Expected Move4.4%3.9%5.0%4.8%4.0%
HV 20d15.3%10.3%17.8%17.6%10.3%
HV 60d13.7%13.3%15.0%15.0%13.4%
IV Rank15.2%7.6%23.5%16.7%7.6%
IV Percentile28.9%5.6%54.8%32.9%5.6%
Term Structure-0.2%-1.2%1.0%0.2%0.3%
VWIV15.7%13.2%17.5%15.3%15.9%
Skew 25d3.5%3.1%4.0%3.8%3.5%
Skew 10d7.3%6.4%8.8%8.8%6.9%
Call IV 25d13.9%12.3%15.3%14.4%12.4%
Put IV 25d17.4%15.5%19.1%18.1%15.9%
Bid-Ask Spread %2.001.442.562.141.98
Gamma HHI0.220.150.330.150.22
Net GEX83.4M31.1M143.8M31.1M82.6M
Net DEX-519.3M-1.12B48.4M44.4M-862.3M
Net VEX-13.6M-14.5M-12.7M-12.7M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.172.510.262.51
Total Volume195,948.14384,141535,769349,984152,840
Total OI3,004,255.6672,661,3793,341,9742,661,3792,899,094

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$26.31$26.0015.7%4.8%17.6%16.7%15.3%3.8%0.2%31.1M44.4M-12.7M0.262.14277,15772,827949,8831,711,496
2019-04-02$26.36$26.0015.6%4.8%17.6%16.4%16.6%3.6%-0.0%52.2M-19.4M-13.1M1.012.0774,94875,6321,054,3741,757,560
2019-04-03$26.39$26.0016.0%4.9%17.4%18.5%15.9%3.8%0.1%59.5M-105.7M-13.1M1.542.53120,998186,5181,090,8711,771,924
2019-04-04$26.57$26.0016.5%4.6%17.0%20.6%17.5%3.6%-0.1%48.5M-151.7M-13.4M0.321.86357,971114,9041,053,0921,780,203
2019-04-05$26.56$26.0015.7%4.4%17.0%16.9%16.0%3.3%0.0%80.5M-324.7M-14.5M1.001.6051,75151,5561,314,9681,854,658
2019-04-08$26.61$26.0016.1%4.4%16.5%18.7%15.8%3.7%-0.8%92.3M-254.2M-14.2M0.462.3164,41729,4241,294,5941,803,713
2019-04-09$26.38$26.0016.4%5.0%16.8%20.2%16.9%3.3%1.0%52.5M48.4M-14.0M0.641.6279,93850,9801,283,6261,821,682
2019-04-10$26.52$26.0016.0%4.4%16.7%18.3%17.3%3.6%-0.7%96.3M-121.4M-14.2M0.311.71160,95349,8651,335,3051,846,726
2019-04-11$26.65$26.0017.1%4.6%16.7%23.5%17.5%3.8%-1.2%84.8M-251.6M-14.0M0.402.56163,52964,8201,246,0531,869,676
2019-04-12$27.12$26.0016.6%4.8%17.8%21.2%15.8%4.0%0.1%143.8M-929.0M-13.9M0.171.88458,18177,5881,305,1121,898,250
2019-04-15$26.95$26.0016.4%4.7%17.5%20.4%16.2%3.6%-0.1%101.9M-548.4M-13.9M0.452.3599,06544,1381,330,7581,887,782
2019-04-16$27.34$26.0015.9%4.6%17.8%17.8%15.8%3.8%-1.0%132.8M-1.02B-13.7M0.802.2576,69361,4091,342,3681,915,346
2019-04-17$27.43$26.0015.7%4.5%16.5%17.1%15.6%3.7%-0.7%133.7M-1.12B-13.6M0.242.29116,02428,1251,359,0321,937,637
2019-04-18$27.35$26.0015.0%4.3%16.4%13.6%15.3%3.3%-0.8%98.5M-1.11B-13.6M0.861.9661,27352,5111,396,1041,945,870
2019-04-22$27.29$26.0014.1%3.9%12.3%9.5%14.5%3.6%-0.4%69.0M-501.1M-13.4M1.082.3440,38743,7541,128,1911,675,716
2019-04-23$27.43$26.0013.9%3.9%12.0%8.5%14.0%3.2%-0.4%77.3M-595.4M-13.5M0.661.8359,59939,2381,120,9261,691,516
2019-04-24$27.45$26.0013.8%3.9%12.0%7.8%13.2%3.4%-0.2%79.0M-621.1M-13.5M1.021.6694,00995,4961,138,6471,706,399
2019-04-25$27.54$26.0013.8%3.9%12.0%7.8%14.4%3.6%-0.1%75.8M-680.0M-13.4M0.811.4479,71064,8361,150,3201,731,690
2019-04-26$27.68$26.0013.8%4.0%12.0%8.2%15.7%3.3%-0.2%75.9M-773.3M-13.2M1.531.6740,72162,3311,103,0651,778,524
2019-04-29$28.02$26.0014.0%4.1%12.3%9.0%15.0%3.1%0.2%84.0M-1.00B-12.7M0.331.87164,57754,2181,069,7511,736,867
2019-04-30$27.95$27.0013.7%4.0%10.3%7.6%15.9%3.5%0.3%82.6M-862.3M-13.3M2.511.9843,534109,3061,129,8911,769,203