XLF Options History — April 2020

In April 2020, XLF traded between $19.46 and $23.54. ATM implied volatility averaged 50.1%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 29.7% (HV 20d: 79.8%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.91.

Notable Days

2020-04-17: Highest Volume — 433,986 contracts
2020-04-06: Largest IV drop — 16.1% change
2020-04-01: Highest IV Rank — 59.9%
2020-04-01: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.78	$19.46	$23.54	$19.48	$22.80
Max Pain	$22.14	$22.00	$25.00	$25.00	$22.00
ATM IV	50.1%	34.1%	68.2%	68.2%	37.1%
Expected Move	14.5%	10.0%	21.9%	21.9%	10.8%
HV 20d	79.8%	52.5%	103.6%	103.6%	52.5%
HV 60d	68.5%	64.0%	71.1%	64.0%	71.1%
IV Rank	40.6%	23.5%	59.9%	59.9%	26.8%
IV Percentile	90.0%	83.7%	95.2%	95.2%	84.5%
Term Structure	-0.6%	-2.9%	1.2%	-2.0%	0.5%
VWIV	52.9%	36.6%	76.0%	76.0%	47.9%
Skew 25d	14.3%	9.4%	22.8%	22.8%	10.4%
Skew 10d	29.9%	20.9%	46.7%	46.7%	20.9%
Call IV 25d	44.1%	30.3%	57.7%	57.7%	33.7%
Put IV 25d	58.3%	39.7%	80.6%	80.6%	44.1%
Bid-Ask Spread %	2.63	1.96	3.54	3.54	2.46
Gamma HHI	0.10	0.08	0.13	0.10	0.10
Net GEX	-31.2M	-57.2M	4.2M	-31.3M	-19.9M
Net DEX	2.07B	1.23B	2.80B	2.80B	1.65B
Net VEX	-14.2M	-16.6M	-9.5M	-9.5M	-16.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.45	6.95	1.53	1.47
Total Volume	247,017.476	99,587	433,986	184,573	254,296
Total OI	4,392,704.952	3,770,579	4,967,187	3,770,579	4,679,157

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
2020-04-01	$19.48	$25.00	68.2%	21.9%	103.6%	59.9%	76.0%	22.8%	-2.0%	-31.3M	2.80B	-9.5M	1.53	3.54	72,970	111,603	1,473,994	2,296,585
2020-04-02	$19.90	$22.00	63.7%	17.7%	103.6%	55.1%	60.5%	21.4%	-0.8%	-34.1M	2.71B	-10.4M	1.29	3.00	114,634	147,916	1,519,947	2,346,064
2020-04-03	$19.46	$22.00	61.2%	17.9%	103.4%	52.4%	55.6%	18.7%	-0.9%	-32.0M	2.79B	-10.0M	0.96	3.09	103,014	98,889	1,597,115	2,384,505
2020-04-06	$20.94	$22.00	51.3%	14.4%	102.1%	41.9%	55.3%	16.8%	-0.8%	-31.8M	2.42B	-11.5M	1.70	2.94	53,077	90,195	1,586,350	2,404,014
2020-04-07	$21.57	$22.00	52.6%	14.2%	101.3%	43.2%	54.8%	17.5%	-1.9%	-30.5M	2.19B	-12.8M	1.38	3.25	68,365	94,294	1,611,718	2,425,217
2020-04-08	$22.10	$22.00	49.9%	14.1%	100.4%	40.4%	54.1%	16.6%	-0.8%	-30.2M	2.01B	-13.5M	0.87	2.79	53,332	46,255	1,624,690	2,464,766
2020-04-09	$23.41	$22.00	50.1%	14.7%	95.5%	40.6%	56.0%	15.1%	1.2%	-28.1M	1.41B	-15.2M	1.02	2.86	206,419	211,386	1,643,303	2,488,724
2020-04-13	$22.64	$22.00	53.9%	15.2%	93.2%	44.7%	56.2%	14.1%	0.0%	-30.9M	1.82B	-14.6M	0.63	2.72	142,323	88,958	1,703,213	2,635,585
2020-04-14	$22.62	$22.00	47.2%	13.5%	87.0%	37.5%	52.4%	11.8%	0.0%	-28.5M	1.84B	-14.3M	1.11	2.41	175,181	194,177	1,795,127	2,681,760
2020-04-15	$21.66	$22.00	50.9%	14.6%	88.5%	41.5%	56.7%	13.5%	0.6%	-40.4M	2.33B	-13.9M	4.52	2.24	50,797	229,766	1,876,648	2,824,555
2020-04-16	$21.22	$22.00	54.1%	15.6%	77.7%	44.9%	57.3%	13.0%	-0.9%	-46.0M	2.57B	-13.5M	6.95	2.20	30,391	211,163	1,902,418	2,897,457
2020-04-17	$22.37	$22.00	52.2%	15.2%	76.8%	42.8%	57.2%	12.3%	-2.9%	-26.1M	1.94B	-16.0M	2.48	2.56	124,628	309,358	1,913,755	3,053,432
2020-04-20	$21.88	$22.00	54.3%	15.8%	75.7%	45.1%	50.5%	12.8%	-1.9%	-39.8M	2.02B	-15.8M	0.45	2.30	257,590	115,027	1,655,530	2,563,010
2020-04-21	$21.38	$22.00	55.4%	16.2%	70.8%	46.2%	55.6%	13.4%	-0.6%	-41.2M	2.19B	-15.4M	3.49	1.96	40,831	142,635	1,836,314	2,587,616
2020-04-22	$21.62	$22.00	52.3%	15.2%	60.4%	42.9%	50.6%	13.9%	-0.7%	-49.0M	2.13B	-15.6M	0.55	2.19	114,027	62,302	1,860,153	2,674,338
2020-04-23	$21.55	$22.00	47.5%	13.4%	56.3%	37.8%	47.8%	12.7%	-0.7%	-57.2M	2.21B	-15.3M	1.82	2.95	74,890	136,296	1,955,495	2,728,484
2020-04-24	$21.80	$22.00	41.3%	11.4%	56.2%	31.2%	41.0%	11.2%	-0.7%	-35.2M	2.08B	-15.3M	4.50	2.41	30,309	136,506	1,999,230	2,749,674
2020-04-27	$22.59	$22.00	37.5%	10.7%	57.4%	27.2%	40.1%	11.0%	0.9%	-17.9M	1.68B	-15.8M	1.12	2.46	53,607	59,844	1,967,598	2,639,538
2020-04-28	$22.81	$22.00	37.5%	11.0%	57.4%	27.2%	47.9%	11.1%	0.1%	-9.5M	1.54B	-16.2M	1.21	2.49	172,578	209,576	1,979,176	2,641,252
2020-04-29	$23.54	$22.00	34.1%	10.0%	57.1%	23.5%	36.6%	9.4%	0.4%	4.2M	1.23B	-16.6M	0.98	2.44	150,690	147,272	1,921,691	2,657,606
2020-04-30	$22.80	$22.00	37.1%	10.8%	52.5%	26.8%	47.9%	10.4%	0.5%	-19.9M	1.65B	-16.2M	1.47	2.46	102,980	151,316	1,988,826	2,690,331