XLF Options History — May 2020

In May 2020, XLF traded between $20.55 and $23.99. ATM implied volatility averaged 38.5%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 6.2% (HV 20d: 44.8%). Max pain ranged from $22.00 to $27.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.60.

Notable Days

2020-05-14: Highest Volume — 766,203 contracts
2020-05-13: Largest IV spike — 18.9% change
2020-05-13: Highest IV Rank — 35.8%
2020-05-01: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.07	$20.55	$23.99	$22.03	$23.43
Max Pain	$25.70	$22.00	$27.00	$22.00	$25.00
ATM IV	38.5%	33.8%	45.6%	43.4%	36.2%
Expected Move	11.1%	9.6%	13.3%	13.3%	10.0%
HV 20d	44.8%	37.2%	54.3%	54.3%	45.2%
HV 60d	72.4%	71.2%	73.7%	71.2%	72.8%
IV Rank	28.3%	23.2%	35.8%	33.4%	25.8%
IV Percentile	82.0%	77.0%	86.5%	86.1%	79.4%
Term Structure	0.1%	-2.0%	1.6%	-0.2%	0.8%
VWIV	42.1%	33.6%	53.2%	53.2%	36.1%
Skew 25d	9.5%	7.5%	13.5%	12.7%	8.2%
Skew 10d	19.2%	13.3%	29.6%	27.1%	14.5%
Call IV 25d	34.6%	30.5%	41.2%	38.0%	32.2%
Put IV 25d	44.2%	38.4%	51.4%	50.7%	40.5%
Bid-Ask Spread %	2.17	1.75	2.56	2.56	2.10
Gamma HHI	0.14	0.09	0.36	0.12	0.10
Net GEX	-44.4M	-109.9M	2.9M	-37.0M	-12.5M
Net DEX	2.08B	765.0M	3.09B	2.05B	1.21B
Net VEX	-16.1M	-18.8M	-14.1M	-15.9M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.60	0.54	10.85	4.37	1.22
Total Volume	285,086.7	81,864	766,203	180,897	233,003
Total OI	5,353,718.3	4,748,732	6,058,532	4,809,942	6,058,532

Daily Data (20 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
2020-05-01	$22.03	$22.00	43.4%	13.3%	54.3%	33.4%	53.2%	12.7%	-0.2%	-37.0M	2.05B	-15.9M	4.37	2.56	33,689	147,208	2,062,551	2,747,391
2020-05-04	$21.87	$27.00	43.1%	12.3%	53.5%	33.1%	50.6%	13.5%	-0.1%	-41.8M	2.17B	-15.5M	1.96	2.30	51,119	99,981	2,017,418	2,731,314
2020-05-05	$21.82	$27.00	39.7%	11.4%	47.2%	29.5%	44.1%	11.6%	0.2%	-45.1M	2.20B	-15.5M	1.44	2.38	33,487	48,377	2,055,702	2,782,328
2020-05-06	$21.37	$27.00	39.5%	11.9%	46.7%	29.3%	47.0%	11.3%	0.3%	-54.2M	2.47B	-14.8M	2.59	2.27	27,254	70,483	2,067,336	2,811,630
2020-05-07	$21.84	$27.00	37.9%	11.0%	46.5%	27.6%	45.6%	10.6%	-0.4%	-51.4M	2.26B	-15.1M	3.61	2.37	84,271	304,394	2,082,099	2,853,952
2020-05-08	$22.29	$27.00	35.7%	11.0%	42.0%	25.3%	39.4%	9.1%	0.8%	-42.6M	2.02B	-16.0M	1.35	1.92	48,043	64,777	2,130,828	2,967,939
2020-05-11	$21.89	$27.00	38.1%	11.1%	40.9%	27.8%	42.3%	8.1%	0.7%	-51.1M	2.18B	-15.2M	2.65	2.00	60,564	160,339	2,121,448	2,951,124
2020-05-12	$21.38	$27.00	38.3%	11.5%	41.6%	28.1%	43.8%	8.8%	1.6%	-69.2M	2.57B	-14.6M	3.52	1.75	62,457	219,977	2,159,830	3,073,399
2020-05-13	$20.55	$26.00	45.6%	12.7%	41.1%	35.8%	44.9%	10.1%	-1.3%	-77.8M	3.09B	-14.1M	2.04	2.23	95,456	194,546	2,190,013	3,246,415
2020-05-14	$21.16	$26.00	45.3%	13.0%	42.0%	35.4%	50.1%	10.8%	-0.1%	-79.1M	2.75B	-15.1M	6.24	1.96	105,893	660,310	2,247,686	3,320,833
2020-05-15	$20.95	$26.00	42.9%	12.3%	37.2%	32.9%	42.6%	9.9%	-0.1%	-109.9M	2.86B	-15.0M	1.87	1.75	83,325	155,887	2,301,422	3,443,648
2020-05-18	$22.29	$26.00	37.8%	10.8%	43.0%	27.5%	41.7%	8.9%	0.1%	-38.6M	2.01B	-16.4M	0.66	2.30	130,559	85,686	2,025,022	3,105,800
2020-05-19	$21.70	$25.00	38.1%	10.9%	43.3%	27.8%	38.6%	8.5%	0.6%	-44.4M	2.26B	-15.8M	1.57	2.14	87,652	137,231	2,148,383	3,144,309
2020-05-20	$22.10	$25.00	35.8%	10.3%	43.6%	25.4%	35.7%	7.5%	0.3%	-35.2M	2.03B	-16.2M	0.60	2.13	121,526	72,480	2,208,658	3,162,053
2020-05-21	$21.97	$25.00	35.5%	10.1%	43.7%	25.0%	43.3%	8.0%	0.7%	-36.5M	2.08B	-16.4M	10.85	2.46	46,288	502,013	2,292,623	3,207,722
2020-05-22	$21.91	$25.00	33.8%	9.6%	43.5%	23.2%	37.7%	7.9%	0.9%	-57.9M	2.23B	-16.5M	2.66	2.30	54,354	144,456	2,315,837	3,459,441
2020-05-26	$23.12	$25.00	34.8%	9.7%	45.9%	24.3%	33.6%	8.2%	-0.6%	-10.1M	1.41B	-17.7M	0.87	2.09	166,992	144,573	2,328,600	3,419,161
2020-05-27	$23.99	$24.00	34.3%	9.9%	47.6%	23.7%	35.4%	9.1%	0.3%	2.5M	765.0M	-18.8M	0.54	2.15	392,794	211,590	2,391,229	3,479,977
2020-05-28	$23.73	$25.00	35.2%	10.1%	46.5%	24.7%	35.8%	8.1%	-2.0%	2.9M	1.00B	-18.4M	1.40	2.13	149,708	208,992	2,421,905	3,538,808
2020-05-29	$23.43	$25.00	36.2%	10.0%	45.2%	25.8%	36.1%	8.2%	0.8%	-12.5M	1.21B	-18.4M	1.22	2.10	104,944	128,059	2,495,922	3,562,610