XLF Options History — November 2019

In November 2019, XLF traded between $29.11 and $30.18. ATM implied volatility averaged 13.9%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.9% (HV 20d: 10.0%). Max pain ranged from $28.50 to $29.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.55.

Notable Days

  • 2019-11-26: Highest Volume — 320,240 contracts
  • 2019-11-20: Largest IV spike — 11.8% change
  • 2019-11-20: Highest IV Rank — 12.7%
  • 2019-11-04: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$29.11$30.18$29.11$30.14
Max Pain$28.98$28.50$29.00$28.50$29.00
ATM IV13.9%12.8%15.2%14.2%13.6%
Expected Move4.2%3.9%4.8%4.0%4.2%
HV 20d10.0%8.5%14.4%14.3%8.5%
HV 60d15.5%13.2%18.4%18.4%13.2%
IV Rank6.8%1.6%12.7%8.0%5.1%
IV Percentile9.4%0.4%24.6%12.3%4.4%
Term Structure-0.1%-0.8%0.8%0.5%-0.5%
VWIV15.4%13.0%17.1%14.1%16.0%
Skew 25d3.8%3.0%4.7%3.0%4.2%
Skew 10d7.6%5.5%10.7%6.5%10.7%
Call IV 25d12.2%10.8%13.2%12.6%11.5%
Put IV 25d16.0%14.7%16.9%15.5%15.7%
Bid-Ask Spread %1.661.372.081.891.53
Gamma HHI0.170.140.190.140.17
Net GEX-10.0M-39.6M10.2M-697.0K-10.6M
Net DEX-613.9M-882.3M-312.1M-312.1M-776.3M
Net VEX-13.5M-14.3M-12.4M-14.1M-12.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.5110.121.562.77
Total Volume114,579.4517,727320,240164,69033,262
Total OI3,760,532.43,590,5074,121,4603,599,2163,761,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$29.11$28.5014.2%4.0%14.3%8.0%14.1%3.0%0.5%-697.0K-312.1M-14.1M1.561.8964,321100,3691,044,1602,555,056
2019-11-04$29.37$29.0014.1%4.8%14.4%7.7%15.6%3.3%0.8%2.4M-540.7M-14.1M0.511.6285,29643,4951,053,6532,555,657
2019-11-05$29.54$29.0014.5%4.4%11.3%9.7%15.9%3.3%0.5%10.2M-699.6M-13.9M1.762.0854,76496,6061,053,7612,582,298
2019-11-06$29.57$29.0014.4%4.3%11.3%8.9%15.3%3.2%0.4%7.1M-657.6M-14.0M1.101.9138,12941,8621,042,2192,653,535
2019-11-07$29.81$29.0014.1%4.5%11.3%7.8%16.3%3.2%0.6%8.7M-882.3M-13.8M2.151.5768,463147,0861,058,7362,690,040
2019-11-08$29.80$29.0013.5%4.2%10.2%4.8%16.4%3.4%0.5%4.5M-817.5M-13.8M5.331.5845,040240,2541,052,1252,711,856
2019-11-11$29.74$29.0014.8%4.3%10.1%11.0%15.7%3.7%-0.5%-17.1M-641.3M-14.0M5.531.5911,52363,7791,057,4562,883,850
2019-11-12$29.77$29.0013.6%4.2%9.1%4.9%17.1%3.7%0.7%-15.5M-630.2M-13.9M1.081.4331,23033,5921,065,3092,938,312
2019-11-13$29.61$29.0014.2%4.1%9.4%8.0%15.2%3.7%-0.4%-25.4M-400.2M-14.3M1.321.5136,80948,6431,082,4632,968,764
2019-11-14$29.63$29.0014.2%4.1%9.4%8.2%15.2%4.2%-0.8%-24.4M-456.9M-14.1M0.971.3719,83819,3301,092,2432,993,241
2019-11-15$29.71$29.0013.6%3.9%9.4%5.3%16.2%3.7%-0.7%-20.5M-578.2M-13.8M2.101.5622,51847,3931,111,4723,009,988
2019-11-18$29.78$29.0013.6%4.0%8.7%5.2%15.1%3.7%-0.4%-12.7M-544.0M-13.4M1.121.938,3619,3661,040,4342,550,073
2019-11-19$29.89$29.0013.6%3.9%8.5%5.1%14.1%4.3%-0.5%-5.9M-646.7M-13.2M1.571.3725,56040,0791,044,5802,557,596
2019-11-20$29.74$29.0015.2%4.4%8.9%12.7%16.7%4.3%-0.7%-26.9M-440.8M-13.3M1.991.7321,64143,0631,046,3432,593,455
2019-11-21$29.71$29.0015.1%4.4%9.0%12.2%16.5%4.0%-0.6%-39.6M-406.6M-13.3M5.621.7720,796116,8061,039,1912,604,076
2019-11-22$29.89$29.0013.7%4.0%9.0%5.4%14.0%4.7%-0.4%-9.4M-571.6M-13.3M1.861.4463,590118,0201,048,2422,605,506
2019-11-25$30.10$29.0013.0%3.9%9.1%2.3%15.7%4.1%-0.1%-8.8M-761.4M-12.5M1.041.9021,71122,6781,005,4592,646,939
2019-11-26$30.04$29.0012.8%3.9%9.2%1.6%14.7%4.0%-0.2%-9.9M-704.0M-12.4M10.121.7028,791291,4491,011,3072,662,282
2019-11-27$30.18$29.0013.1%4.0%9.2%2.8%13.0%3.7%-0.2%-4.6M-810.7M-12.5M1.381.6427,71238,3641,028,4752,709,323
2019-11-29$30.14$29.0013.6%4.2%8.5%5.1%16.0%4.2%-0.5%-10.6M-776.3M-12.7M2.771.538,81524,4471,045,8212,715,352