XLF Options History — June 2019

In June 2019, XLF traded between $26.10 and $27.56. ATM implied volatility averaged 17.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 17.1%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.89.

Notable Days

  • 2019-06-06: Highest Volume — 194,503 contracts
  • 2019-06-04: Largest IV drop — 12.4% change
  • 2019-06-03: Highest IV Rank — 41.3%
  • 2019-06-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.15$26.10$27.56$26.10$27.56
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV17.3%15.5%20.9%20.9%16.5%
Expected Move5.1%4.5%6.4%6.4%4.8%
HV 20d17.1%14.2%20.5%17.2%14.2%
HV 60d15.8%14.7%16.6%15.6%14.9%
IV Rank24.2%16.1%41.3%41.3%20.6%
IV Percentile53.2%29.4%81.7%81.7%43.7%
Term Structure-0.1%-1.6%1.4%-0.4%0.2%
VWIV18.6%15.3%23.6%23.6%17.5%
Skew 25d4.7%4.2%6.0%6.0%4.3%
Skew 10d9.5%8.3%11.0%10.9%9.3%
Call IV 25d15.2%13.9%17.9%17.9%14.3%
Put IV 25d19.9%18.1%23.8%23.8%18.6%
Bid-Ask Spread %1.771.462.402.401.54
Gamma HHI0.170.130.210.180.13
Net GEX-76.4M-135.3M-45.5M-135.3M-45.5M
Net DEX482.6M171.0M1.45B1.45B171.0M
Net VEX-12.5M-13.5M-12.0M-13.5M-12.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.793.921.541.88
Total Volume106,439.843,820194,50373,922116,914
Total OI3,336,662.72,388,3993,750,9903,476,5722,493,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$26.10$27.0020.9%6.4%17.2%41.3%23.6%6.0%-0.4%-135.3M1.45B-13.5M1.542.4029,10144,821943,7142,532,858
2019-06-04$26.84$27.0018.4%5.7%20.5%29.2%20.6%5.5%-0.4%-91.3M756.6M-13.2M1.161.7652,88361,602955,3122,561,089
2019-06-05$27.03$27.0018.4%5.7%19.3%29.4%21.7%5.4%-0.1%-72.9M549.6M-13.0M1.321.8042,38955,824972,6792,592,174
2019-06-06$27.19$27.0017.9%5.2%19.4%27.1%18.5%4.8%-0.1%-55.5M400.0M-13.0M2.221.9560,440134,063988,0532,624,282
2019-06-07$27.11$27.0017.7%5.1%19.4%26.2%19.5%4.3%-0.2%-68.0M421.4M-12.8M1.471.8143,49764,0921,007,7902,652,890
2019-06-10$27.38$27.0016.7%5.1%19.7%21.4%16.5%4.4%1.1%-45.9M215.4M-12.6M1.342.3853,93972,032977,9062,588,597
2019-06-11$27.34$27.0017.0%5.2%16.7%22.7%19.1%4.7%1.1%-54.1M278.7M-12.7M1.281.5053,45768,237977,5162,610,873
2019-06-12$27.06$27.0017.7%5.1%16.8%26.4%17.1%4.5%0.0%-88.6M559.7M-12.8M3.921.9814,87458,2571,008,1132,647,908
2019-06-13$27.12$27.0017.5%5.1%16.8%25.4%18.0%4.4%0.4%-91.9M534.8M-12.8M3.481.6813,77947,9681,011,8402,645,167
2019-06-14$27.28$27.0016.5%5.0%16.6%20.8%19.2%4.6%1.4%-88.1M414.7M-12.6M3.271.8030,964101,1801,014,0622,675,580
2019-06-17$27.01$27.0017.4%5.0%16.8%24.9%19.9%4.9%-0.0%-123.5M686.3M-12.3M1.061.7132,76434,613989,1582,671,236
2019-06-18$27.35$27.0017.1%4.9%17.4%23.5%18.4%4.8%-1.1%-85.6M323.9M-12.3M1.121.7560,29267,4631,006,1672,696,044
2019-06-19$27.32$27.0017.2%4.9%17.1%24.1%17.2%4.6%-1.6%-94.3M302.5M-12.1M2.111.5640,85786,2711,030,2612,688,666
2019-06-20$27.45$27.0017.0%4.9%17.1%22.7%17.1%4.8%-1.5%-57.7M174.7M-12.1M0.791.4696,49176,0781,049,3022,701,688
2019-06-21$27.31$27.0015.9%4.6%15.7%17.8%15.3%4.2%-1.0%-49.0M405.0M-12.0M1.731.7748,35183,546960,4572,709,798
2019-06-24$27.14$27.0016.5%4.7%15.4%20.7%17.4%4.3%0.0%-59.2M453.9M-12.0M1.721.9116,08527,735626,6891,761,710
2019-06-25$27.06$27.0016.8%4.8%15.0%21.8%19.1%4.2%0.1%-71.1M550.4M-12.2M2.011.6120,60041,373640,2141,788,875
2019-06-26$27.02$27.0016.7%4.9%15.0%21.4%18.6%4.7%-0.0%-80.2M591.8M-12.3M2.141.5225,17653,819651,1961,797,488
2019-06-27$27.26$27.0015.5%4.5%15.1%16.1%17.8%4.7%0.3%-71.2M408.5M-12.2M2.231.6129,98266,987658,0981,824,304
2019-06-28$27.56$27.0016.5%4.8%14.2%20.6%17.5%4.3%0.2%-45.5M171.0M-12.1M1.881.5440,52876,386671,4651,822,035