XLF Options History — May 2019

In May 2019, XLF traded between $26.02 and $28.05. ATM implied volatility averaged 17.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.8% (HV 20d: 14.9%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.27.

Notable Days

2019-05-29: Highest Volume — 583,739 contracts
2019-05-13: Largest IV spike — 27.3% change
2019-05-13: Highest IV Rank — 43.1%
2019-05-31: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.06	$26.02	$28.05	$27.86	$26.02
Max Pain	$26.91	$26.00	$27.00	$27.00	$27.00
ATM IV	17.7%	13.8%	21.3%	14.0%	20.8%
Expected Move	5.3%	4.0%	6.2%	4.2%	6.2%
HV 20d	14.9%	10.5%	17.7%	10.5%	17.6%
HV 60d	14.6%	13.4%	15.8%	13.5%	15.8%
IV Rank	26.2%	8.1%	43.1%	9.2%	40.7%
IV Percentile	58.4%	7.5%	83.7%	10.7%	81.0%
Term Structure	-0.1%	-2.1%	1.2%	0.3%	-0.4%
VWIV	19.5%	14.4%	23.4%	15.2%	23.4%
Skew 25d	5.0%	3.1%	6.1%	3.1%	5.6%
Skew 10d	10.4%	7.5%	14.0%	7.5%	10.1%
Call IV 25d	15.7%	12.3%	18.3%	13.1%	18.3%
Put IV 25d	20.8%	15.7%	24.3%	16.1%	23.9%
Bid-Ask Spread %	2.03	1.42	2.93	2.18	1.68
Gamma HHI	0.16	0.12	0.26	0.19	0.26
Net GEX	-20.1M	-172.1M	108.8M	64.3M	-172.1M
Net DEX	350.3M	-995.5M	1.59B	-722.0M	1.59B
Net VEX	-13.4M	-14.1M	-12.6M	-13.6M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.27	0.45	27.08	0.98	2.28
Total Volume	152,176.091	32,793	583,739	237,055	133,391
Total OI	3,210,139.091	2,936,561	3,641,872	2,970,460	3,518,150

Daily Data (22 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
2019-05-01	$27.86	$27.00	14.0%	4.2%	10.5%	9.2%	15.2%	3.1%	0.3%	64.3M	-722.0M	-13.6M	0.98	2.18	119,449	117,606	1,139,451	1,831,009
2019-05-02	$27.79	$27.00	14.2%	4.1%	10.6%	9.7%	15.9%	4.1%	0.2%	39.8M	-623.0M	-13.3M	0.76	1.60	47,330	35,984	1,152,839	1,884,586
2019-05-03	$28.05	$27.00	13.8%	4.0%	10.8%	8.1%	14.4%	3.4%	0.3%	108.8M	-995.5M	-12.9M	0.45	1.47	60,916	27,204	1,148,351	1,883,521
2019-05-06	$27.90	$26.00	15.4%	4.8%	11.1%	15.5%	17.9%	4.3%	0.1%	58.8M	-631.9M	-13.4M	0.48	2.60	77,402	37,472	1,098,762	1,837,799
2019-05-07	$27.31	$26.00	19.3%	6.0%	14.0%	33.5%	22.4%	6.1%	-0.2%	21.7M	-56.6M	-13.8M	2.81	2.74	63,606	178,438	1,132,337	1,858,102
2019-05-08	$27.43	$27.00	18.4%	5.7%	13.5%	29.4%	21.1%	5.6%	-0.1%	16.2M	-64.9M	-14.0M	2.52	2.93	40,323	101,567	1,166,843	2,039,259
2019-05-09	$27.32	$27.00	18.5%	5.8%	13.6%	30.0%	18.7%	6.1%	0.0%	-1.4M	106.7M	-14.1M	2.02	2.23	43,698	88,299	1,179,674	2,097,577
2019-05-10	$27.38	$27.00	16.8%	5.4%	13.6%	21.8%	20.1%	5.3%	0.0%	17.9M	21.8M	-14.0M	2.21	1.50	26,301	58,009	1,198,259	2,124,538
2019-05-13	$26.62	$27.00	21.3%	5.8%	15.8%	43.1%	21.6%	6.1%	-0.8%	-43.8M	840.2M	-13.8M	1.02	2.16	81,186	83,186	1,151,053	2,092,624
2019-05-14	$26.90	$27.00	18.3%	5.5%	16.2%	28.8%	20.4%	5.3%	1.0%	-15.1M	530.6M	-13.7M	1.16	1.77	33,711	39,171	1,183,934	2,135,967
2019-05-15	$26.79	$27.00	17.0%	5.2%	15.3%	23.1%	23.3%	5.1%	1.2%	-22.0M	692.4M	-13.4M	6.67	1.90	37,576	250,639	1,182,759	2,150,971
2019-05-16	$27.04	$27.00	16.9%	5.1%	15.7%	22.7%	20.5%	4.7%	1.1%	22.0M	404.7M	-13.5M	5.38	1.98	31,799	170,933	1,199,041	2,381,496
2019-05-17	$26.88	$27.00	17.0%	5.0%	15.8%	22.7%	15.7%	4.9%	1.0%	-37.6M	724.8M	-13.3M	1.23	2.65	94,399	116,398	1,199,229	2,442,643
2019-05-20	$26.90	$27.00	18.1%	5.2%	15.8%	27.9%	19.5%	5.5%	-0.7%	-48.4M	579.1M	-13.0M	1.07	2.13	29,285	31,472	915,894	2,122,715
2019-05-21	$27.14	$27.00	17.3%	5.0%	16.0%	24.3%	17.7%	4.7%	-0.6%	-26.1M	373.9M	-12.9M	1.56	1.72	24,329	37,887	942,309	2,142,452
2019-05-22	$27.05	$27.00	17.0%	4.9%	16.0%	22.8%	18.5%	4.2%	-0.6%	-28.2M	446.6M	-12.9M	2.02	1.69	25,173	50,902	961,019	2,158,860
2019-05-23	$26.54	$27.00	19.9%	5.8%	17.2%	36.5%	20.0%	5.4%	-1.8%	-77.5M	912.6M	-13.1M	1.26	2.02	56,080	70,739	970,960	2,147,906
2019-05-24	$26.84	$27.00	18.1%	5.2%	17.7%	28.1%	20.2%	4.9%	-0.6%	-40.2M	635.4M	-12.8M	2.04	2.48	25,998	53,125	998,922	2,158,717
2019-05-28	$26.57	$27.00	18.6%	5.8%	17.1%	30.5%	20.5%	5.2%	0.7%	-73.5M	837.1M	-12.7M	0.95	1.55	16,844	15,949	951,976	2,149,954
2019-05-29	$26.51	$27.00	18.4%	5.8%	17.1%	29.4%	21.5%	5.8%	0.8%	-82.9M	895.9M	-12.6M	27.08	2.30	20,792	562,947	959,083	2,158,902
2019-05-30	$26.39	$27.00	20.5%	5.7%	17.2%	39.1%	21.5%	5.6%	-2.1%	-122.9M	1.21B	-13.4M	6.07	1.42	18,429	111,930	968,706	2,503,911
2019-05-31	$26.02	$27.00	20.8%	6.2%	17.6%	40.7%	23.4%	5.6%	-0.4%	-172.1M	1.59B	-13.5M	2.28	1.68	40,621	92,770	972,723	2,545,427