XLF Options History — December 2019

In December 2019, XLF traded between $29.54 and $31.01. ATM implied volatility averaged 13.4%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.8% (HV 20d: 11.6%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.60.

Notable Days

2019-12-19: Highest Volume — 507,676 contracts
2019-12-30: Largest IV spike — 15.8% change
2019-12-03: Highest IV Rank — 16.6%
2019-12-03: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.51	$29.54	$31.01	$29.98	$30.76
Max Pain	$29.52	$29.00	$31.00	$29.00	$31.00
ATM IV	13.4%	12.0%	16.0%	14.9%	13.2%
Expected Move	4.0%	3.3%	5.5%	4.7%	3.7%
HV 20d	11.6%	6.9%	13.2%	6.9%	12.8%
HV 60d	13.5%	11.6%	14.3%	13.3%	11.6%
IV Rank	5.7%	0.0%	16.6%	11.5%	8.4%
IV Percentile	9.8%	0.0%	37.3%	25.0%	6.3%
Term Structure	0.5%	-0.7%	1.9%	-0.2%	0.6%
VWIV	15.0%	12.1%	20.9%	16.8%	15.8%
Skew 25d	4.0%	2.6%	5.8%	4.8%	4.4%
Skew 10d	8.3%	5.6%	11.5%	10.8%	9.4%
Call IV 25d	12.1%	11.0%	14.0%	13.3%	12.2%
Put IV 25d	16.1%	14.4%	19.8%	18.1%	16.6%
Bid-Ask Spread %	1.64	1.18	1.96	1.96	1.71
Gamma HHI	0.13	0.11	0.15	0.13	0.13
Net GEX	-43.3M	-75.8M	-8.5M	-36.9M	-45.6M
Net DEX	-584.2M	-1.46B	216.4M	-461.7M	-70.6M
Net VEX	-12.0M	-13.8M	-10.8M	-13.0M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.60	0.14	7.51	4.99	1.09
Total Volume	125,253.905	14,549	507,676	82,961	45,419
Total OI	3,674,836.143	2,805,615	4,163,125	3,733,710	2,901,870

Daily Data (21 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
2019-12-02	$29.98	$29.00	14.9%	4.7%	6.9%	11.5%	16.8%	4.8%	-0.2%	-36.9M	-461.7M	-13.0M	4.99	1.96	13,860	69,101	1,018,216	2,715,494
2019-12-03	$29.54	$29.00	16.0%	5.5%	8.5%	16.6%	20.9%	5.8%	0.1%	-75.8M	145.7M	-13.8M	2.61	1.87	43,407	113,101	1,021,599	2,757,967
2019-12-04	$29.87	$29.00	14.4%	4.6%	9.1%	9.0%	18.2%	5.0%	0.4%	-43.3M	-346.4M	-13.2M	6.49	1.80	28,018	181,778	1,046,394	2,806,701
2019-12-05	$29.99	$29.00	14.8%	4.4%	9.2%	11.0%	17.6%	5.1%	0.4%	-48.4M	-414.7M	-13.4M	2.17	1.75	43,097	93,461	1,040,013	2,940,044
2019-12-06	$30.44	$29.00	13.1%	4.3%	10.2%	2.6%	14.7%	4.0%	0.3%	-21.7M	-974.0M	-12.7M	2.03	1.63	22,761	46,179	1,062,699	2,979,215
2019-12-09	$30.31	$29.00	13.6%	4.5%	10.4%	5.4%	15.6%	4.7%	1.9%	-49.3M	-806.3M	-12.7M	3.07	1.75	15,760	48,449	1,049,604	2,988,070
2019-12-10	$30.27	$29.00	13.8%	4.5%	10.4%	6.1%	15.0%	4.8%	1.9%	-50.7M	-746.2M	-12.7M	1.71	1.72	48,007	82,180	1,050,236	2,995,329
2019-12-11	$30.22	$29.00	14.7%	4.3%	10.4%	10.4%	16.1%	4.5%	0.6%	-45.3M	-616.9M	-12.5M	1.94	1.63	14,057	27,240	1,070,108	3,020,485
2019-12-12	$30.88	$29.00	13.2%	3.9%	12.5%	3.4%	14.6%	3.4%	0.6%	-26.7M	-1.39B	-11.5M	0.79	1.45	60,487	47,768	1,076,128	3,041,963
2019-12-13	$30.70	$29.00	12.8%	3.6%	12.8%	1.1%	13.9%	3.4%	-0.7%	-8.5M	-1.30B	-11.4M	3.55	1.66	26,275	93,272	1,095,732	3,067,393
2019-12-16	$30.80	$29.00	12.2%	3.5%	12.8%	0.0%	12.6%	3.2%	0.7%	-19.4M	-1.29B	-11.0M	0.61	1.57	75,695	45,904	1,048,919	2,980,104
2019-12-17	$31.01	$29.00	12.1%	3.5%	12.9%	0.0%	13.6%	2.6%	0.3%	-37.8M	-1.46B	-10.8M	1.30	1.45	25,557	33,199	1,094,459	3,017,348
2019-12-18	$30.85	$29.00	12.1%	3.5%	13.2%	0.0%	15.4%	2.7%	0.4%	-36.3M	-1.23B	-10.9M	6.23	1.34	64,706	402,804	1,098,416	3,025,270
2019-12-19	$30.80	$30.00	12.3%	3.5%	13.0%	1.1%	13.8%	2.9%	0.1%	-73.1M	-1.10B	-11.2M	0.14	1.18	446,387	61,289	1,124,747	3,015,215
2019-12-20	$30.64	$30.00	12.0%	3.3%	13.2%	0.0%	13.5%	3.2%	1.2%	-72.6M	216.4M	-11.6M	2.78	1.38	13,048	36,294	747,661	3,053,070
2019-12-23	$30.64	$30.00	13.3%	3.7%	13.1%	6.0%	13.7%	3.6%	0.5%	-54.0M	-16.8M	-11.7M	1.53	1.66	26,604	40,593	694,371	2,111,244
2019-12-24	$30.65	$30.00	13.2%	3.7%	12.9%	5.4%	13.0%	4.1%	0.6%	-57.6M	-46.9M	-11.6M	7.51	1.76	1,710	12,839	692,046	2,121,495
2019-12-26	$30.81	$30.00	12.4%	3.4%	12.9%	1.8%	12.1%	3.4%	0.4%	-35.1M	-187.3M	-11.3M	0.96	1.67	55,788	53,719	693,532	2,128,955
2019-12-27	$30.79	$31.00	12.8%	3.6%	12.9%	4.2%	13.4%	3.3%	0.9%	-28.2M	-137.0M	-11.7M	1.10	1.71	15,290	16,796	735,752	2,167,102
2019-12-30	$30.69	$31.00	14.8%	4.3%	13.0%	15.8%	14.7%	4.0%	0.2%	-42.3M	-42.6M	-11.7M	2.01	1.72	12,768	25,665	734,515	2,142,078
2019-12-31	$30.76	$31.00	13.2%	3.7%	12.8%	8.4%	15.8%	4.4%	0.6%	-45.6M	-70.6M	-11.6M	1.09	1.71	21,766	23,653	738,273	2,163,597