XLF Options History — February 2020

In February 2020, XLF traded between $26.06 and $31.16. ATM implied volatility averaged 19.7%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.8% (HV 20d: 16.9%). Max pain ranged from $30.00 to $30.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.64.

Notable Days

2020-02-28: Highest Volume — 467,993 contracts
2020-02-28: Largest IV spike — 36.3% change
2020-02-25: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.22	$26.06	$31.16	$30.19	$26.06
Max Pain	$30.08	$30.00	$30.50	$30.50	$30.00
ATM IV	19.7%	14.7%	45.2%	18.4%	45.2%
Expected Move	5.8%	4.2%	14.4%	5.3%	14.4%
HV 20d	16.9%	13.6%	29.9%	13.6%	29.9%
HV 60d	13.2%	11.5%	20.6%	11.5%	20.6%
IV Rank	46.5%	21.2%	100.0%	50.7%	100.0%
IV Percentile	61.7%	33.7%	100.0%	85.7%	100.0%
Term Structure	-0.4%	-3.1%	1.4%	-0.4%	-2.2%
VWIV	21.7%	14.1%	51.2%	18.9%	51.2%
Skew 25d	6.2%	4.0%	15.3%	6.0%	15.3%
Skew 10d	12.4%	8.6%	25.9%	12.2%	25.9%
Call IV 25d	17.0%	12.8%	38.6%	15.2%	38.6%
Put IV 25d	23.2%	16.8%	53.9%	21.2%	53.9%
Bid-Ask Spread %	2.06	1.40	3.71	1.85	3.71
Gamma HHI	0.12	0.10	0.17	0.17	0.13
Net GEX	-53.3M	-112.0M	-6.2M	-112.0M	-83.0M
Net DEX	361.0M	-397.3M	2.80B	589.8M	2.80B
Net VEX	-13.5M	-15.4M	-12.4M	-13.7M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.64	0.40	8.84	1.83	6.24
Total Volume	162,775.737	25,889	467,993	53,911	467,993
Total OI	2,858,020.368	2,609,559	3,164,546	2,609,559	3,164,546

Daily Data (19 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
2020-02-03	$30.19	$30.50	18.4%	5.3%	13.6%	50.7%	18.9%	6.0%	-0.4%	-112.0M	589.8M	-13.7M	1.83	1.85	19,075	34,836	718,433	1,891,126
2020-02-04	$30.55	$30.50	16.4%	4.6%	14.3%	34.3%	18.1%	5.3%	-0.0%	-89.1M	193.1M	-13.2M	6.62	1.76	13,896	92,046	731,951	1,906,560
2020-02-05	$31.07	$30.50	15.8%	4.3%	15.5%	30.0%	17.4%	5.0%	-0.0%	-47.9M	-258.1M	-12.8M	3.84	1.67	68,584	263,476	730,136	1,955,499
2020-02-06	$31.07	$30.00	15.3%	4.5%	15.3%	26.2%	15.9%	4.6%	0.2%	-40.4M	-254.6M	-12.8M	1.15	1.40	22,453	25,716	736,127	1,959,755
2020-02-07	$30.98	$30.00	15.5%	4.5%	15.3%	27.3%	19.8%	5.1%	0.1%	-28.0M	-164.9M	-13.0M	1.73	1.82	60,687	105,069	742,647	1,976,028
2020-02-10	$30.94	$30.00	15.7%	4.5%	15.1%	29.0%	18.2%	4.9%	-0.0%	-47.2M	-105.4M	-13.1M	1.96	1.84	21,805	42,714	782,376	1,972,415
2020-02-11	$31.16	$30.00	15.8%	4.6%	15.1%	29.8%	18.3%	4.9%	0.1%	-29.8M	-313.3M	-12.9M	1.99	1.74	32,427	64,571	800,384	1,991,427
2020-02-12	$31.16	$30.00	14.9%	4.3%	15.1%	22.8%	14.8%	4.3%	-0.1%	-30.9M	-303.1M	-13.0M	0.66	1.67	49,871	32,979	825,110	2,041,029
2020-02-13	$31.11	$30.00	15.3%	4.4%	14.8%	25.8%	14.1%	4.2%	-0.1%	-36.2M	-239.1M	-13.1M	0.40	1.78	18,433	7,456	860,577	2,058,152
2020-02-14	$31.13	$30.00	14.7%	4.2%	14.4%	21.2%	16.9%	4.0%	0.0%	-22.2M	-315.2M	-12.9M	0.79	2.05	33,822	26,835	875,070	2,060,639
2020-02-18	$30.88	$30.00	14.9%	4.3%	14.7%	22.6%	18.0%	4.4%	0.3%	-34.0M	-98.9M	-12.8M	1.81	1.93	19,891	36,001	891,726	2,053,315
2020-02-19	$31.14	$30.00	14.7%	4.2%	14.9%	21.4%	17.8%	4.4%	0.5%	-6.2M	-397.3M	-12.4M	1.08	1.52	68,095	73,553	903,124	2,045,731
2020-02-20	$31.06	$30.00	15.7%	4.5%	14.9%	28.8%	17.2%	5.0%	0.2%	-9.0M	-282.0M	-13.0M	1.09	1.67	50,631	55,120	960,646	2,085,037
2020-02-21	$30.72	$30.00	17.3%	4.8%	15.5%	41.8%	21.1%	5.9%	1.4%	-46.7M	197.7M	-13.5M	1.38	1.66	77,116	106,579	990,611	2,115,446
2020-02-24	$29.86	$30.00	21.2%	6.2%	17.7%	72.6%	22.7%	7.1%	-0.6%	-73.1M	790.6M	-14.2M	2.23	2.75	82,061	182,789	890,379	1,780,851
2020-02-25	$28.86	$30.00	26.9%	7.9%	20.9%	100.0%	28.4%	9.2%	-1.5%	-83.9M	1.40B	-14.8M	4.30	2.51	63,074	270,957	921,383	1,843,037
2020-02-26	$28.68	$30.00	27.0%	8.0%	20.4%	100.0%	27.2%	8.8%	-2.6%	-96.7M	1.50B	-15.2M	2.27	2.31	26,840	60,859	971,334	2,018,990
2020-02-27	$27.59	$30.00	33.2%	10.2%	24.0%	100.0%	36.2%	9.9%	-3.1%	-97.0M	2.12B	-15.4M	8.84	3.54	42,129	372,300	988,018	2,062,772
2020-02-28	$26.06	$30.00	45.2%	14.4%	29.9%	100.0%	51.2%	15.3%	-2.2%	-83.0M	2.80B	-14.9M	6.24	3.71	64,626	403,367	1,004,739	2,159,807