XLF Options History — July 2019

In July 2019, XLF traded between $27.84 and $28.69. ATM implied volatility averaged 14.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.3% (HV 20d: 10.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.47.

Notable Days

2019-07-01: Highest Volume — 189,976 contracts
2019-07-23: Largest IV drop — 10.9% change
2019-07-15: Highest IV Rank — 13.3%
2019-07-15: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.17	$27.84	$28.69	$27.91	$28.43
Max Pain	$27.59	$27.00	$28.00	$27.00	$28.00
ATM IV	14.0%	12.5%	14.9%	14.1%	14.1%
Expected Move	4.0%	3.5%	4.3%	3.9%	4.1%
HV 20d	10.7%	9.7%	14.6%	14.6%	9.8%
HV 60d	14.7%	14.3%	15.1%	15.1%	14.7%
IV Rank	8.8%	2.0%	13.3%	9.2%	9.2%
IV Percentile	12.8%	1.2%	26.6%	11.5%	15.5%
Term Structure	0.1%	-0.3%	1.2%	0.2%	-0.1%
VWIV	14.3%	12.4%	15.9%	14.3%	14.1%
Skew 25d	3.8%	3.2%	4.5%	4.5%	3.9%
Skew 10d	8.0%	6.5%	9.7%	8.8%	7.2%
Call IV 25d	12.4%	11.4%	13.2%	12.7%	12.5%
Put IV 25d	16.3%	14.6%	17.3%	17.3%	16.4%
Bid-Ask Spread %	1.57	1.30	1.98	1.82	1.82
Gamma HHI	0.14	0.11	0.20	0.13	0.17
Net GEX	-3.0M	-34.1M	22.0M	-24.6M	8.6M
Net DEX	-177.8M	-459.5M	72.1M	-68.8M	-196.0M
Net VEX	-12.0M	-12.4M	-11.4M	-11.4M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.21	8.57	1.91	0.58
Total Volume	89,000.955	39,937	189,976	189,976	75,064
Total OI	2,542,618.636	2,261,692	2,832,181	2,405,723	2,415,007

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
2019-07-01	$27.91	$27.00	14.1%	3.9%	14.6%	9.2%	14.3%	4.5%	0.2%	-24.6M	-68.8M	-11.4M	1.91	1.82	65,200	124,776	596,599	1,809,124
2019-07-02	$27.84	$27.00	13.9%	3.6%	11.5%	8.3%	14.5%	4.4%	-0.3%	-27.6M	3.5M	-11.8M	0.85	1.45	65,727	55,599	634,850	1,865,039
2019-07-03	$28.01	$27.00	13.6%	3.7%	11.4%	6.8%	13.4%	3.6%	0.3%	-2.7M	-188.1M	-11.9M	1.17	1.44	19,143	22,410	688,478	1,884,768
2019-07-05	$28.14	$27.00	14.2%	4.1%	11.4%	10.0%	13.9%	3.7%	0.0%	1.7M	-345.8M	-11.6M	1.35	1.39	27,675	37,436	694,835	1,892,545
2019-07-08	$28.02	$27.00	14.3%	4.1%	11.4%	10.4%	15.2%	4.2%	0.0%	64.2K	-194.7M	-11.7M	2.53	1.30	25,720	65,026	679,603	1,811,075
2019-07-09	$28.05	$27.00	14.8%	4.2%	11.0%	12.6%	15.0%	4.4%	0.0%	-6.1M	-183.7M	-11.9M	1.52	1.71	28,489	43,278	685,860	1,851,528
2019-07-10	$27.95	$27.00	14.1%	4.1%	11.1%	9.6%	15.2%	3.9%	0.1%	-4.8M	-130.0M	-11.9M	8.57	1.63	17,104	146,623	702,809	1,860,356
2019-07-11	$28.12	$27.00	14.6%	4.1%	10.4%	12.0%	15.0%	3.6%	-0.2%	-10.6M	-176.3M	-12.2M	0.62	1.39	67,539	42,092	705,508	1,988,211
2019-07-12	$28.30	$28.00	13.7%	4.1%	10.5%	7.3%	15.4%	4.1%	1.2%	14.0M	-370.0M	-12.0M	0.93	1.64	63,513	58,992	748,010	2,006,195
2019-07-15	$28.11	$28.00	14.9%	4.3%	10.8%	13.3%	14.0%	3.7%	-0.1%	8.8M	-137.7M	-12.1M	0.55	1.44	46,319	25,424	755,914	1,986,557
2019-07-16	$28.12	$28.00	14.7%	4.2%	10.0%	12.0%	14.1%	3.6%	-0.0%	21.5M	-166.9M	-12.0M	0.21	1.40	75,350	15,710	786,359	1,992,035
2019-07-17	$27.88	$28.00	14.1%	4.1%	9.9%	9.6%	15.9%	3.7%	0.2%	-30.1M	48.2M	-12.4M	0.40	1.54	76,855	30,603	802,344	1,998,438
2019-07-18	$28.05	$27.00	14.2%	4.1%	10.0%	9.7%	15.1%	3.8%	0.2%	-16.0M	-138.2M	-12.3M	0.84	1.59	27,078	22,844	821,623	1,997,263
2019-07-19	$28.03	$28.00	14.2%	4.1%	9.9%	9.7%	13.0%	4.1%	0.1%	-34.1M	-116.9M	-12.3M	0.45	1.51	62,240	27,708	824,011	2,008,170
2019-07-22	$27.98	$28.00	14.0%	4.0%	9.7%	9.1%	13.6%	3.8%	0.4%	-23.8M	72.1M	-12.2M	2.79	1.82	18,608	51,982	680,884	1,580,808
2019-07-23	$28.31	$28.00	12.5%	3.5%	10.0%	2.0%	13.2%	3.8%	0.4%	-1.9M	-151.7M	-11.8M	1.01	1.66	41,500	42,010	683,011	1,604,752
2019-07-24	$28.55	$28.00	12.8%	3.6%	10.0%	3.6%	12.4%	3.2%	0.4%	22.0M	-362.4M	-11.8M	0.65	1.65	61,812	40,421	726,926	1,613,079
2019-07-25	$28.40	$28.00	13.4%	3.8%	10.3%	6.1%	13.5%	4.0%	0.1%	15.3M	-258.9M	-12.0M	2.11	1.60	23,394	49,443	747,697	1,640,894
2019-07-26	$28.69	$28.00	13.4%	3.8%	10.4%	6.1%	13.7%	3.6%	0.2%	19.7M	-459.5M	-11.7M	1.09	1.31	26,086	28,346	745,428	1,670,643
2019-07-29	$28.46	$28.00	13.5%	3.8%	10.6%	6.7%	13.6%	3.3%	-0.1%	4.5M	-237.0M	-11.8M	0.66	1.58	24,090	15,847	725,875	1,637,851
2019-07-30	$28.39	$28.00	14.1%	4.1%	9.8%	9.5%	15.8%	3.6%	0.1%	-711.9K	-151.9M	-12.0M	1.49	1.98	29,335	43,610	734,948	1,651,700
2019-07-31	$28.43	$28.00	14.1%	4.1%	9.8%	9.2%	14.1%	3.9%	-0.1%	8.6M	-196.0M	-11.9M	0.58	1.82	47,613	27,451	751,850	1,663,157