XLF Options History — January 2020

In January 2020, XLF traded between $29.93 and $31.01. ATM implied volatility averaged 14.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.4% (HV 20d: 10.1%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.73.

Notable Days

2020-01-07: Highest Volume — 562,143 contracts
2020-01-31: Largest IV spike — 16.4% change
2020-01-31: Highest IV Rank — 49.4%
2020-01-31: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.64	$29.93	$31.01	$31.01	$29.93
Max Pain	$30.71	$30.00	$31.00	$31.00	$31.00
ATM IV	14.5%	12.6%	18.3%	13.0%	18.3%
Expected Move	4.1%	3.6%	5.3%	3.6%	5.3%
HV 20d	10.1%	7.7%	13.3%	11.5%	13.3%
HV 60d	10.7%	10.1%	11.7%	11.7%	11.4%
IV Rank	19.5%	4.4%	49.4%	7.0%	49.4%
IV Percentile	27.5%	2.8%	84.1%	4.8%	84.1%
Term Structure	0.2%	-1.0%	0.9%	0.4%	0.4%
VWIV	15.5%	12.8%	19.3%	12.9%	18.8%
Skew 25d	4.5%	3.3%	5.8%	3.6%	5.8%
Skew 10d	9.3%	6.8%	12.6%	7.5%	12.6%
Call IV 25d	12.8%	11.2%	16.1%	11.4%	16.1%
Put IV 25d	17.3%	14.5%	21.9%	15.0%	21.9%
Bid-Ask Spread %	1.83	1.51	2.60	1.71	2.60
Gamma HHI	0.16	0.12	0.43	0.12	0.23
Net GEX	-52.4M	-145.8M	163.0M	-24.8M	-145.8M
Net DEX	91.0M	-364.6M	911.0M	-288.1M	911.0M
Net VEX	-12.3M	-13.8M	-11.2M	-11.2M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.73	0.45	10.89	0.45	3.14
Total Volume	126,648.381	38,254	562,143	43,653	137,986
Total OI	2,855,763.19	2,336,024	3,391,035	2,874,324	2,647,825

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
2020-01-02	$31.01	$31.00	13.0%	3.6%	11.5%	7.0%	12.9%	3.6%	0.4%	-24.8M	-288.1M	-11.2M	0.45	1.71	30,095	13,558	730,804	2,143,520
2020-01-03	$30.78	$31.00	13.5%	3.7%	11.5%	10.1%	14.0%	4.4%	0.5%	-38.6M	-171.5M	-11.3M	1.67	1.71	29,894	50,054	750,053	2,153,039
2020-01-06	$30.68	$31.00	15.0%	4.1%	11.6%	23.6%	15.2%	4.5%	0.3%	-42.0M	-72.0M	-11.3M	10.03	1.83	8,589	86,163	763,452	2,142,567
2020-01-07	$30.57	$31.00	14.8%	4.0%	10.5%	21.9%	15.9%	4.4%	-0.1%	-48.1M	5.2M	-11.4M	10.89	1.85	47,262	514,881	768,027	2,143,279
2020-01-08	$30.80	$30.00	14.1%	4.1%	10.6%	16.7%	18.5%	4.2%	0.4%	-18.3M	-170.9M	-12.0M	8.48	1.86	25,650	217,473	806,260	2,193,264
2020-01-09	$30.91	$30.00	14.1%	4.1%	10.6%	16.7%	14.8%	3.9%	0.1%	-30.9M	-182.0M	-12.4M	0.55	1.64	24,609	13,645	826,951	2,369,352
2020-01-10	$30.70	$30.00	15.0%	4.0%	11.0%	23.5%	15.0%	4.2%	0.0%	-40.9M	6.8M	-12.4M	2.52	2.04	21,277	53,634	840,737	2,372,315
2020-01-13	$30.87	$30.00	14.3%	4.1%	8.0%	18.3%	15.8%	4.6%	-0.1%	-32.1M	-142.2M	-12.2M	1.13	1.51	37,008	41,890	833,531	2,386,191
2020-01-14	$30.85	$30.00	13.5%	3.9%	7.7%	11.7%	13.8%	3.9%	0.1%	-22.9M	-201.4M	-12.0M	0.56	1.80	45,935	25,820	860,907	2,412,227
2020-01-15	$30.60	$30.00	14.6%	3.9%	8.2%	20.5%	15.6%	4.3%	-1.0%	-52.1M	108.0M	-12.1M	9.16	1.60	17,138	156,944	868,556	2,420,716
2020-01-16	$30.90	$31.00	12.7%	3.6%	8.6%	5.6%	13.9%	3.5%	0.1%	-6.1M	-175.4M	-12.1M	1.28	1.65	37,229	47,491	887,112	2,484,842
2020-01-17	$30.99	$31.00	12.6%	3.6%	8.4%	4.4%	12.8%	3.3%	0.3%	163.0M	-364.6M	-11.8M	1.04	1.59	103,296	107,286	902,586	2,488,449
2020-01-21	$30.85	$31.00	13.4%	3.8%	8.6%	10.9%	15.1%	3.9%	0.1%	-57.1M	-58.4M	-12.1M	4.81	1.82	12,274	59,049	666,245	1,669,779
2020-01-22	$30.88	$31.00	13.4%	3.8%	8.3%	10.7%	14.3%	4.0%	0.2%	-66.2M	-34.7M	-12.2M	2.13	1.84	13,461	28,711	675,018	1,718,731
2020-01-23	$30.82	$31.00	13.4%	3.9%	8.4%	11.3%	15.2%	4.3%	0.0%	-71.4M	35.5M	-12.5M	2.25	1.83	28,574	64,367	680,999	1,737,774
2020-01-24	$30.34	$31.00	15.4%	4.4%	10.1%	26.9%	16.2%	4.9%	0.2%	-119.2M	483.2M	-12.9M	4.90	1.88	27,833	136,353	696,588	1,759,388
2020-01-27	$29.96	$31.00	17.4%	5.0%	10.7%	42.6%	19.3%	5.8%	0.2%	-112.5M	815.2M	-13.3M	8.71	1.98	15,866	138,160	683,454	1,785,062
2020-01-28	$30.30	$31.00	15.3%	4.4%	11.6%	25.6%	16.5%	5.2%	0.4%	-109.6M	512.4M	-13.3M	1.77	2.01	14,139	25,075	693,346	1,848,572
2020-01-29	$30.28	$31.00	14.9%	4.2%	11.6%	22.9%	16.1%	5.5%	0.8%	-118.8M	547.3M	-13.2M	1.47	1.72	24,244	35,524	700,977	1,859,085
2020-01-30	$30.52	$31.00	15.7%	4.5%	12.0%	29.0%	15.7%	5.4%	0.9%	-105.6M	346.7M	-13.4M	1.40	2.01	58,828	82,351	717,722	1,881,725
2020-01-31	$29.93	$31.00	18.3%	5.3%	13.3%	49.4%	18.8%	5.8%	0.4%	-145.8M	911.0M	-13.8M	3.14	2.60	33,357	104,629	743,547	1,904,278