XLF Options History — August 2019

In August 2019, XLF traded between $26.09 and $27.70. ATM implied volatility averaged 20.5%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.1% (HV 20d: 21.6%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.68.

Notable Days

  • 2019-08-07: Highest Volume — 465,192 contracts
  • 2019-08-23: Largest IV spike — 26.6% change
  • 2019-08-14: Highest IV Rank — 58.0%
  • 2019-08-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.74$26.09$27.70$27.70$26.89
Max Pain$27.09$27.00$28.00$28.00$27.00
ATM IV20.5%17.6%24.7%17.6%18.4%
Expected Move6.0%5.1%7.1%5.2%5.6%
HV 20d21.6%13.4%25.6%13.5%25.3%
HV 60d16.9%15.0%18.4%15.0%17.6%
IV Rank38.4%25.9%58.0%25.9%28.3%
IV Percentile76.7%61.9%93.7%63.9%64.3%
Term Structure-0.1%-1.2%1.4%-0.2%0.1%
VWIV22.1%18.1%26.7%18.2%20.3%
Skew 25d6.6%5.1%7.7%5.1%6.4%
Skew 10d13.3%9.5%16.4%9.5%14.9%
Call IV 25d17.7%15.0%21.3%15.0%16.2%
Put IV 25d24.3%20.2%28.6%20.2%22.6%
Bid-Ask Spread %2.001.672.401.981.67
Gamma HHI0.150.110.250.110.15
Net GEX-102.4M-186.1M-49.5M-49.5M-101.9M
Net DEX1.27B452.5M1.94B452.5M1.10B
Net VEX-14.7M-15.9M-12.6M-12.6M-15.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.680.9423.651.691.81
Total Volume131,217.27329,966465,192104,71588,787
Total OI2,980,713.8642,443,8863,400,7652,446,9933,400,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$27.70$28.0017.6%5.2%13.5%25.9%18.2%5.1%-0.2%-49.5M452.5M-12.6M1.691.9838,96765,748766,4471,680,546
2019-08-02$27.62$28.0018.0%5.1%13.4%27.4%18.7%5.3%0.2%-52.2M549.6M-12.8M1.962.0853,777105,242773,9141,694,826
2019-08-05$26.79$27.0022.5%6.3%17.0%48.6%23.6%7.7%-0.4%-60.4M1.05B-13.5M2.881.7044,074126,997741,4781,702,408
2019-08-06$27.05$27.0020.3%5.9%17.5%38.5%23.6%7.3%-0.0%-61.3M900.0M-13.4M1.251.9456,59070,692760,3061,752,852
2019-08-07$26.81$27.0020.6%6.0%17.7%39.6%22.3%6.9%-0.3%-66.1M1.06B-13.5M6.002.1666,454398,738786,0501,780,783
2019-08-08$27.26$27.0018.1%5.8%18.7%28.1%22.7%6.0%-0.1%-67.9M880.1M-14.7M1.742.2631,54454,841808,8132,130,434
2019-08-09$27.28$27.0018.1%5.9%18.5%27.9%24.0%6.6%0.5%-73.1M899.4M-14.7M4.712.1819,27890,818800,9182,166,458
2019-08-12$26.65$27.0022.7%6.3%19.9%48.4%22.5%7.4%-1.2%-104.4M1.39B-14.9M3.652.0724,39189,150785,9262,180,941
2019-08-13$26.95$27.0019.6%5.8%20.5%33.7%20.0%6.2%0.6%-101.7M1.11B-14.7M1.182.4044,33452,385801,3412,222,656
2019-08-14$26.09$27.0024.7%7.1%23.1%58.0%26.5%7.3%-0.0%-119.9M1.82B-14.9M4.182.1339,936166,996809,1632,238,007
2019-08-15$26.09$27.0023.9%6.9%22.9%54.1%26.7%7.3%0.0%-129.3M1.82B-15.1M2.751.7421,20658,406825,3372,290,808
2019-08-16$26.56$27.0020.6%5.8%24.1%38.4%22.1%5.9%-0.7%-99.2M1.42B-15.0M1.541.8619,47830,029837,2562,306,157
2019-08-19$26.87$27.0018.8%5.4%24.6%29.8%20.9%5.7%-0.4%-97.7M1.11B-14.8M2.312.1822,55752,109694,5792,239,124
2019-08-20$26.55$27.0020.7%6.0%24.3%38.8%22.8%6.4%-0.5%-112.7M1.35B-14.8M5.622.0514,35080,687706,9932,267,008
2019-08-21$26.60$27.0019.9%5.7%24.0%35.1%21.2%6.0%-0.5%-118.4M1.34B-14.8M23.651.8417,869422,652716,6472,312,114
2019-08-22$26.79$27.0018.9%5.4%24.3%30.3%18.1%6.7%-0.6%-125.1M1.33B-15.8M4.082.0112,48550,954727,6432,514,588
2019-08-23$26.10$27.0023.9%6.9%25.1%54.2%23.2%7.1%-0.8%-186.1M1.94B-15.9M2.432.3328,71969,737734,6392,512,533
2019-08-26$26.27$27.0021.7%6.4%25.4%43.6%22.8%7.0%1.1%-135.0M1.77B-15.6M4.551.865,77526,288725,9902,472,308
2019-08-27$26.20$27.0022.9%6.8%25.4%49.2%23.9%7.1%-0.7%-141.1M1.84B-15.6M0.941.7865,59861,831732,6962,492,208
2019-08-28$26.39$27.0020.8%6.3%25.6%39.7%22.7%7.0%1.4%-138.6M1.64B-15.7M1.011.7514,89115,075794,4882,535,839
2019-08-29$26.86$27.0018.3%5.6%25.3%27.4%20.2%6.6%-0.2%-110.2M1.15B-15.5M1.032.0332,66533,680814,0722,537,646
2019-08-30$26.89$27.0018.4%5.6%25.3%28.3%20.3%6.4%0.1%-101.9M1.10B-15.4M1.811.6731,61257,175836,9042,563,861