XLF Options History — September 2019

In September 2019, XLF traded between $26.63 and $28.55. ATM implied volatility averaged 17.2%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.2% (HV 20d: 18.3%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.08.

Notable Days

  • 2019-09-16: Highest Volume — 390,903 contracts
  • 2019-09-16: Largest IV spike — 13.2% change
  • 2019-09-03: Highest IV Rank — 38.9%
  • 2019-09-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.97$26.63$28.55$26.63$28.05
Max Pain$27.60$27.00$28.00$27.00$28.00
ATM IV17.2%15.2%20.7%20.7%17.5%
Expected Move5.1%4.4%6.6%6.6%4.9%
HV 20d18.3%13.6%24.0%23.1%13.7%
HV 60d18.2%17.7%18.4%17.7%18.2%
IV Rank22.1%12.6%38.9%38.9%23.8%
IV Percentile45.4%21.4%76.2%76.2%52.4%
Term Structure0.1%-1.3%2.0%-0.1%-0.1%
VWIV19.1%16.5%22.4%22.4%20.0%
Skew 25d5.3%3.7%7.1%7.1%5.3%
Skew 10d11.1%7.5%15.0%15.0%11.1%
Call IV 25d15.2%13.8%17.9%17.9%15.3%
Put IV 25d20.4%18.0%25.0%25.0%20.6%
Bid-Ask Spread %1.911.602.462.031.65
Gamma HHI0.140.110.190.160.13
Net GEX-48.6M-128.0M33.6M-128.0M-80.1M
Net DEX262.0M-474.2M1.42B1.42B470.8M
Net VEX-14.3M-15.4M-13.5M-15.4M-14.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.2218.442.294.63
Total Volume124,45831,787390,90369,06631,787
Total OI3,430,4112,977,6673,858,6223,371,0663,074,582

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$26.63$27.0020.7%6.6%23.1%38.9%22.4%7.1%-0.1%-128.0M1.42B-15.4M2.292.0320,98648,080826,8272,544,239
2019-09-04$26.93$27.0018.6%5.6%23.2%29.2%20.2%7.0%0.0%-110.0M1.08B-15.0M3.241.9718,31859,393824,0162,554,751
2019-09-05$27.48$27.0017.5%5.4%24.0%23.6%18.2%5.6%-0.1%-63.1M478.8M-14.5M1.801.6249,86389,883831,7912,569,065
2019-09-06$27.45$27.0016.6%5.3%23.3%19.4%16.8%5.6%0.0%-68.5M554.4M-14.5M1.011.9540,77341,041846,4102,615,470
2019-09-09$27.89$27.0016.8%5.0%24.0%20.4%20.4%5.4%0.6%-48.6M168.7M-14.3M1.032.46114,877118,127855,5132,536,066
2019-09-10$27.93$27.0016.5%4.9%22.1%19.2%18.5%5.4%0.4%-37.7M134.6M-14.5M1.651.9426,84044,396940,1152,640,352
2019-09-11$28.05$27.0015.9%4.7%21.9%16.3%20.3%5.0%0.5%-27.5M-25.5M-14.3M5.071.6022,388113,590943,9102,665,010
2019-09-12$28.34$27.0015.2%4.8%17.9%12.6%17.0%4.2%2.0%5.5M-284.6M-13.9M0.702.0787,12760,601949,8802,739,253
2019-09-13$28.53$28.0015.9%4.4%17.8%16.0%17.7%4.9%-0.9%29.5M-437.3M-14.2M0.531.70152,87580,843982,6752,767,662
2019-09-16$28.36$28.0018.0%5.2%17.5%26.0%21.5%5.3%-1.3%1.9M-224.0M-14.4M18.441.7920,108370,7951,037,8952,733,001
2019-09-17$28.39$28.0017.6%5.1%17.2%24.2%21.2%5.3%-0.9%9.1M-254.7M-14.3M1.932.1229,27756,5301,045,2022,669,699
2019-09-18$28.55$28.0015.6%4.5%16.3%14.5%21.0%4.5%1.0%33.6M-474.2M-13.7M3.831.9345,515174,3391,046,1662,689,264
2019-09-19$28.45$28.0016.6%4.8%16.5%19.3%17.4%3.7%-1.0%25.9M-348.2M-13.5M0.221.85145,20831,5771,046,1452,812,477
2019-09-20$28.12$28.0016.7%4.8%17.3%19.8%16.5%4.3%0.2%-114.4M432.8M-14.2M0.942.3030,56528,701870,1052,830,573
2019-09-23$28.19$28.0016.7%4.8%13.6%19.7%16.6%4.8%0.5%-64.8M386.3M-14.1M3.151.729,92331,281716,7432,260,924
2019-09-24$27.86$28.0018.1%5.2%14.6%26.7%20.2%5.6%0.3%-83.9M655.2M-14.4M3.751.9415,04556,385718,4392,272,114
2019-09-25$28.10$28.0017.3%5.0%14.6%22.9%18.5%5.2%0.6%-70.1M446.1M-14.2M3.651.9818,26466,599723,8732,289,279
2019-09-26$28.03$28.0017.4%5.0%14.7%23.4%18.2%5.2%0.5%-80.2M521.2M-14.3M0.881.7235,96931,697734,9032,319,544
2019-09-27$28.02$28.0018.1%5.3%13.7%26.8%20.3%5.7%0.4%-100.1M540.2M-14.4M2.811.8618,27851,316748,3852,335,902
2019-09-30$28.05$28.0017.5%4.9%13.7%23.8%20.0%5.3%-0.1%-80.1M470.8M-14.0M4.631.655,64326,144745,7092,328,873