XLF Options History — October 2019

In October 2019, XLF traded between $26.85 and $28.87. ATM implied volatility averaged 17.3%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.2% (HV 20d: 17.5%). Max pain ranged from $27.00 to $28.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 4.16.

Notable Days

2019-10-31: Highest Volume — 363,724 contracts
2019-10-08: Largest IV spike — 15.2% change
2019-10-08: Highest IV Rank — 43.2%
2019-10-02: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.95	$26.85	$28.87	$27.47	$28.61
Max Pain	$28.11	$27.00	$28.50	$28.00	$28.50
ATM IV	17.3%	13.7%	21.6%	19.8%	14.8%
Expected Move	5.0%	4.1%	6.2%	5.7%	4.2%
HV 20d	17.5%	14.2%	19.2%	15.4%	14.6%
HV 60d	19.7%	18.3%	20.5%	18.6%	18.3%
IV Rank	22.8%	5.8%	43.2%	34.5%	10.6%
IV Percentile	41.7%	3.6%	82.1%	71.0%	16.3%
Term Structure	0.1%	-0.6%	1.5%	-0.4%	0.4%
VWIV	18.7%	14.9%	24.7%	20.9%	14.9%
Skew 25d	5.3%	3.4%	6.9%	6.4%	3.7%
Skew 10d	11.1%	6.7%	14.4%	12.9%	8.7%
Call IV 25d	15.2%	12.5%	19.1%	17.1%	12.7%
Put IV 25d	20.5%	16.4%	25.8%	23.5%	16.4%
Bid-Ask Spread %	1.77	1.36	3.45	1.81	1.41
Gamma HHI	0.13	0.10	0.17	0.14	0.11
Net GEX	-84.3M	-144.5M	-25.1M	-103.6M	-81.3M
Net DEX	606.1M	-100.8M	1.63B	952.7M	286.1M
Net VEX	-14.9M	-15.3M	-14.4M	-14.5M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.16	0.24	31.08	11.44	31.08
Total Volume	170,834.783	46,742	363,724	236,543	363,724
Total OI	3,424,854.217	2,952,285	3,657,629	2,952,285	3,657,629

Daily Data (23 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
2019-10-01	$27.47	$28.00	19.8%	5.7%	15.4%	34.5%	20.9%	6.4%	-0.4%	-103.6M	952.7M	-14.5M	11.44	1.81	19,017	217,526	737,900	2,214,385
2019-10-02	$26.90	$28.00	21.6%	6.2%	16.9%	43.1%	21.3%	6.9%	-0.3%	-131.3M	1.50B	-15.1M	5.65	1.79	38,817	219,207	783,811	2,398,003
2019-10-03	$26.86	$28.00	20.7%	5.9%	15.1%	38.9%	20.5%	6.6%	-0.3%	-136.0M	1.55B	-14.9M	1.71	1.69	33,911	57,878	795,079	2,385,341
2019-10-04	$27.40	$28.00	18.0%	5.6%	16.9%	26.3%	18.8%	6.1%	0.2%	-120.9M	1.03B	-14.5M	6.52	1.68	46,051	300,320	802,582	2,375,655
2019-10-07	$27.40	$28.00	18.7%	5.7%	15.8%	29.6%	20.9%	6.1%	1.5%	-125.4M	1.08B	-14.9M	0.75	1.39	37,373	28,145	809,175	2,488,181
2019-10-08	$26.85	$27.00	21.6%	6.1%	17.2%	43.2%	21.0%	6.7%	-0.2%	-144.5M	1.63B	-15.2M	1.59	1.42	33,834	53,832	831,480	2,508,110
2019-10-09	$27.06	$28.00	20.7%	6.0%	17.4%	38.8%	21.5%	6.3%	0.2%	-143.9M	1.43B	-15.2M	1.38	2.17	19,652	27,090	848,115	2,538,055
2019-10-10	$27.31	$28.00	20.2%	6.1%	17.3%	36.6%	24.7%	6.2%	1.3%	-128.7M	1.19B	-15.2M	1.93	1.83	83,619	161,274	852,072	2,551,061
2019-10-11	$27.80	$28.00	18.2%	5.2%	18.4%	27.0%	24.3%	6.3%	-0.0%	-96.9M	668.8M	-15.3M	1.14	3.45	101,696	115,833	910,746	2,548,552
2019-10-14	$27.70	$28.00	18.0%	5.0%	18.4%	26.2%	18.8%	6.4%	1.5%	-107.7M	824.3M	-15.1M	0.43	2.03	76,767	32,665	917,043	2,578,071
2019-10-15	$28.12	$28.00	16.9%	4.8%	19.2%	20.7%	16.5%	5.0%	0.0%	-56.8M	294.5M	-14.6M	0.65	1.82	89,066	57,508	968,471	2,594,031
2019-10-16	$28.04	$28.00	16.6%	4.8%	19.1%	19.5%	20.0%	4.6%	0.1%	-65.2M	390.5M	-14.7M	6.74	1.65	36,824	248,131	976,678	2,617,985
2019-10-17	$28.07	$28.00	15.9%	4.6%	19.1%	16.2%	18.6%	4.3%	0.1%	-68.0M	366.8M	-14.5M	3.83	1.36	26,024	99,602	988,113	2,581,451
2019-10-18	$28.16	$28.00	16.5%	4.8%	18.7%	18.9%	16.4%	4.6%	-0.2%	-64.9M	211.6M	-14.6M	1.10	1.51	70,209	77,483	995,461	2,627,059
2019-10-21	$28.51	$28.00	15.8%	4.6%	19.2%	15.6%	17.8%	4.7%	-0.3%	-44.8M	109.7M	-14.4M	4.18	1.72	14,621	61,066	891,212	2,384,793
2019-10-22	$28.44	$28.00	15.7%	4.5%	18.7%	15.3%	17.4%	4.4%	-0.6%	-48.3M	207.2M	-14.8M	2.55	1.92	53,217	135,467	896,786	2,418,460
2019-10-23	$28.46	$28.50	15.8%	4.5%	18.4%	15.8%	16.1%	5.0%	-0.5%	-63.4M	239.9M	-15.0M	0.98	1.76	44,576	43,636	933,054	2,519,688
2019-10-24	$28.52	$28.50	15.0%	4.3%	18.4%	12.0%	15.7%	4.6%	-0.3%	-63.5M	172.7M	-14.9M	2.77	1.45	14,936	41,371	957,606	2,555,741
2019-10-25	$28.70	$28.50	15.2%	4.3%	18.5%	12.9%	15.0%	4.5%	-0.3%	-57.7M	-2.2M	-14.9M	0.24	1.51	94,701	22,847	962,065	2,575,851
2019-10-28	$28.82	$28.50	13.7%	4.1%	18.5%	5.8%	16.6%	4.1%	0.4%	-25.1M	-100.8M	-14.8M	2.48	1.95	55,675	137,937	996,471	2,566,520
2019-10-29	$28.87	$28.50	14.5%	4.2%	16.6%	9.5%	16.4%	4.0%	0.3%	-27.7M	-96.1M	-14.8M	5.43	1.69	51,840	281,724	1,004,566	2,591,222
2019-10-30	$28.84	$28.50	14.2%	4.1%	14.2%	8.1%	15.4%	3.4%	0.6%	-32.6M	-1.3M	-14.7M	1.16	1.68	47,561	54,947	1,038,202	2,599,115
2019-10-31	$28.61	$28.50	14.8%	4.2%	14.6%	10.6%	14.9%	3.7%	0.4%	-81.3M	286.1M	-14.9M	31.08	1.41	11,339	352,385	1,038,716	2,618,913