XLF Options History — March 2020

In March 2020, XLF traded between $17.66 and $27.68. ATM implied volatility averaged 67.2%, placing in the 77.2% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 6.2% (HV 20d: 73.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.62.

Notable Days

2020-03-12: Highest Volume — 1,239,021 contracts
2020-03-16: Largest IV spike — 46.3% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-16: Largest Expected Move — 29.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.18	$17.66	$27.68	$27.47	$20.81
Max Pain	$26.77	$25.00	$30.00	$30.00	$25.00
ATM IV	67.2%	30.8%	105.8%	34.7%	58.1%
Expected Move	19.4%	9.6%	29.9%	10.7%	17.0%
HV 20d	73.4%	36.2%	106.2%	36.4%	102.7%
HV 60d	45.2%	23.3%	62.8%	23.4%	62.8%
IV Rank	77.2%	49.1%	100.0%	68.2%	49.1%
IV Percentile	98.4%	93.7%	100.0%	99.6%	93.7%
Term Structure	-2.1%	-8.4%	5.3%	-2.9%	-1.3%
VWIV	71.2%	35.6%	102.4%	44.5%	69.6%
Skew 25d	23.7%	12.4%	37.3%	12.9%	20.4%
Skew 10d	47.3%	23.4%	66.9%	24.4%	40.1%
Call IV 25d	57.6%	25.2%	86.0%	28.4%	49.2%
Put IV 25d	81.3%	37.5%	120.4%	41.3%	69.6%
Bid-Ask Spread %	4.65	2.82	10.79	2.82	3.29
Gamma HHI	0.12	0.08	0.17	0.12	0.11
Net GEX	-62.5M	-123.6M	-35.3M	-105.8M	-37.7M
Net DEX	3.16B	2.13B	4.25B	2.20B	2.56B
Net VEX	-12.9M	-16.3M	-7.5M	-15.5M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	0.84	7.06	2.51	1.54
Total Volume	315,783.818	87,410	1,239,021	158,274	129,752
Total OI	3,987,850.182	3,233,503	4,563,891	3,233,503	3,997,505

Daily Data (22 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
2020-03-02	$27.47	$30.00	34.7%	10.7%	36.4%	68.2%	44.5%	12.9%	-2.9%	-105.8M	2.20B	-15.5M	2.51	2.82	45,115	113,159	1,002,632	2,230,871
2020-03-03	$27.14	$30.00	36.2%	12.0%	36.2%	72.8%	42.6%	15.0%	-1.6%	-103.9M	2.37B	-15.7M	4.84	4.37	44,163	213,930	1,030,543	2,279,760
2020-03-04	$27.68	$30.00	30.8%	9.6%	36.8%	56.4%	35.6%	12.4%	-0.7%	-123.6M	2.13B	-15.9M	7.06	2.89	101,763	718,271	1,054,792	2,374,706
2020-03-05	$26.27	$28.00	42.1%	11.5%	39.4%	90.4%	42.1%	17.2%	-1.2%	-115.7M	2.97B	-16.3M	1.62	4.96	128,420	208,605	1,119,305	2,577,451
2020-03-06	$25.46	$28.00	50.1%	13.9%	40.1%	100.0%	51.2%	21.4%	-1.5%	-113.6M	3.43B	-16.1M	2.29	6.88	149,703	342,572	1,077,742	2,680,983
2020-03-09	$22.97	$28.00	67.5%	18.1%	51.8%	100.0%	65.3%	31.6%	-3.6%	-71.1M	3.91B	-13.9M	2.47	3.60	130,504	322,312	1,091,485	2,670,772
2020-03-10	$24.02	$27.00	58.3%	16.1%	55.8%	83.4%	71.2%	25.4%	-2.2%	-82.4M	3.60B	-15.4M	2.78	4.37	61,463	171,141	1,185,485	2,718,847
2020-03-11	$22.86	$27.00	66.3%	18.0%	56.8%	97.9%	69.4%	28.4%	-3.9%	-68.5M	3.91B	-14.3M	4.46	4.20	49,140	219,225	1,235,889	2,810,744
2020-03-12	$20.69	$27.00	84.0%	22.8%	63.8%	100.0%	69.9%	37.3%	-8.4%	-49.6M	4.25B	-11.8M	6.12	4.50	173,994	1,065,027	1,264,731	2,890,844
2020-03-13	$22.22	$27.00	72.3%	20.6%	71.4%	83.8%	75.3%	14.9%	-2.3%	-60.5M	3.61B	-13.7M	0.88	10.79	200,824	177,466	1,416,802	2,979,296
2020-03-16	$20.34	$26.00	105.8%	29.9%	75.4%	100.0%	102.4%	35.6%	-7.2%	-42.2M	3.63B	-12.6M	1.99	6.06	80,742	161,035	1,387,227	2,960,784
2020-03-17	$20.77	$26.00	89.6%	25.6%	76.8%	82.8%	97.2%	33.6%	-1.9%	-45.4M	3.58B	-13.0M	3.54	3.21	35,666	126,293	1,421,904	2,971,087
2020-03-18	$18.52	$26.00	98.4%	28.2%	83.0%	92.1%	98.9%	33.5%	5.3%	-36.0M	3.83B	-10.4M	1.87	3.57	74,677	139,948	1,441,786	2,983,603
2020-03-19	$19.72	$26.00	84.7%	24.2%	88.5%	77.5%	82.1%	28.3%	1.7%	-43.7M	3.74B	-11.7M	0.84	6.88	106,408	88,956	1,498,510	2,982,505
2020-03-20	$18.97	$26.00	76.9%	22.1%	88.5%	69.1%	79.0%	23.3%	-0.6%	-45.9M	4.01B	-9.7M	1.98	3.34	57,247	113,276	1,565,227	2,998,664
2020-03-23	$17.66	$26.00	80.4%	23.5%	90.1%	72.9%	83.2%	25.8%	-3.8%	-36.2M	3.32B	-7.5M	0.94	5.62	137,407	129,059	1,317,022	2,531,161
2020-03-24	$19.69	$26.00	68.4%	20.7%	102.0%	60.2%	80.8%	20.0%	0.4%	-42.0M	2.92B	-10.5M	1.88	5.14	78,765	148,069	1,459,066	2,584,889
2020-03-25	$20.97	$25.00	69.5%	20.4%	106.0%	61.3%	72.6%	18.8%	-2.3%	-42.3M	2.49B	-12.6M	2.83	3.74	72,664	205,431	1,450,396	2,591,663
2020-03-26	$21.31	$25.00	69.2%	20.7%	106.2%	61.0%	78.3%	22.1%	-3.6%	-36.8M	2.35B	-12.7M	1.33	4.93	80,020	106,529	1,456,443	2,480,390
2020-03-27	$21.15	$25.00	73.7%	22.2%	104.9%	65.8%	82.1%	22.3%	-3.3%	-35.3M	2.34B	-12.6M	2.42	4.23	44,171	106,922	1,493,981	2,502,028
2020-03-30	$21.37	$25.00	62.3%	19.1%	102.6%	53.6%	73.6%	21.1%	-1.3%	-35.9M	2.36B	-12.0M	1.44	2.94	35,833	51,577	1,487,038	2,476,145
2020-03-31	$20.81	$25.00	58.1%	17.0%	102.7%	49.1%	69.6%	20.4%	-1.3%	-37.7M	2.56B	-10.7M	1.54	3.29	51,140	78,612	1,516,620	2,480,885