XLF Options History — June 2020

In June 2020, XLF traded between $22.63 and $26.61. ATM implied volatility averaged 39.5%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 7.6% (HV 20d: 47.1%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2020-06-05: Highest Volume — 860,341 contracts
2020-06-11: Largest IV spike — 27.2% change
2020-06-11: Highest IV Rank — 37.9%
2020-06-15: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.19	$22.63	$26.61	$23.70	$23.16
Max Pain	$24.23	$23.00	$25.00	$24.00	$24.00
ATM IV	39.5%	32.3%	47.6%	35.7%	37.1%
Expected Move	11.3%	9.0%	13.5%	10.4%	10.8%
HV 20d	47.1%	43.1%	54.2%	43.3%	47.0%
HV 60d	57.7%	47.5%	72.1%	72.1%	47.5%
IV Rank	29.4%	21.6%	37.9%	25.2%	26.7%
IV Percentile	79.7%	73.0%	87.3%	77.8%	74.2%
Term Structure	-0.7%	-3.3%	1.9%	1.9%	-0.1%
VWIV	39.8%	33.7%	48.9%	35.5%	38.6%
Skew 25d	7.8%	4.5%	9.8%	7.8%	7.4%
Skew 10d	14.9%	7.7%	20.6%	15.5%	14.8%
Call IV 25d	36.6%	30.4%	46.5%	32.3%	33.5%
Put IV 25d	44.4%	35.5%	54.7%	40.1%	40.9%
Bid-Ask Spread %	2.25	1.76	2.73	2.00	2.35
Gamma HHI	0.10	0.07	0.19	0.10	0.12
Net GEX	2.7M	-51.6M	58.5M	-8.6M	-26.0M
Net DEX	674.4M	-1.37B	1.79B	1.11B	1.30B
Net VEX	-19.9M	-21.3M	-18.0M	-18.8M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.33	2.31	0.45	0.51
Total Volume	348,951.227	98,313	860,341	125,788	143,454
Total OI	6,322,393	5,357,059	7,359,193	6,071,699	5,635,557

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
2020-06-01	$23.70	$24.00	35.7%	10.4%	43.3%	25.2%	35.5%	7.8%	1.9%	-8.6M	1.11B	-18.8M	0.45	2.00	86,545	39,243	2,480,959	3,590,740
2020-06-02	$23.74	$24.00	36.4%	10.4%	43.1%	26.0%	34.5%	8.6%	-0.7%	-5.4M	1.03B	-18.9M	0.44	2.05	97,527	42,703	2,518,052	3,610,515
2020-06-03	$24.85	$24.00	34.5%	10.2%	45.5%	24.0%	35.8%	7.9%	-0.6%	20.1M	76.6M	-19.8M	2.31	1.98	214,955	496,869	2,572,798	3,627,959
2020-06-04	$25.19	$23.00	34.9%	9.9%	44.3%	24.5%	34.4%	7.2%	-0.6%	32.4M	-203.6M	-20.4M	0.73	2.36	349,700	256,816	2,671,666	3,670,716
2020-06-05	$26.21	$24.00	32.3%	9.0%	45.5%	21.6%	34.1%	5.0%	-0.9%	34.4M	-1.22B	-20.5M	1.05	2.35	420,474	439,867	2,738,556	3,697,634
2020-06-08	$26.61	$25.00	34.6%	9.4%	45.4%	24.1%	33.7%	4.9%	-1.6%	45.5M	-1.37B	-21.0M	0.33	2.14	228,573	75,128	2,864,087	3,703,378
2020-06-09	$26.28	$25.00	34.5%	9.9%	45.0%	24.0%	35.3%	5.1%	0.4%	29.0M	-990.9M	-20.5M	0.72	2.01	173,405	124,968	2,868,128	3,638,784
2020-06-10	$25.22	$25.00	37.4%	10.2%	47.1%	27.1%	38.2%	4.5%	-1.6%	16.7M	22.3M	-20.5M	1.18	2.18	181,512	213,351	2,976,611	3,698,682
2020-06-11	$23.28	$25.00	47.6%	13.4%	54.2%	37.9%	47.0%	8.2%	-1.2%	-23.3M	1.70B	-19.7M	1.35	2.20	228,706	309,821	3,044,029	3,769,557
2020-06-12	$23.71	$25.00	47.4%	13.0%	53.7%	37.7%	45.4%	9.2%	-3.3%	-9.5M	1.29B	-20.6M	0.79	2.73	226,850	179,693	3,111,899	3,804,937
2020-06-15	$23.99	$25.00	47.1%	13.5%	53.4%	37.4%	48.9%	9.8%	-2.0%	5.0M	992.3M	-20.6M	2.08	2.27	241,853	503,353	3,097,949	3,763,251
2020-06-16	$24.38	$24.00	45.6%	13.1%	49.4%	35.8%	45.8%	9.2%	-2.4%	16.2M	566.0M	-21.3M	1.14	2.20	127,454	145,123	3,173,374	3,874,790
2020-06-17	$24.18	$24.00	43.0%	12.3%	48.3%	33.0%	43.5%	9.0%	-0.2%	13.5M	814.8M	-21.1M	0.93	2.00	142,670	132,777	3,225,222	3,988,188
2020-06-18	$24.09	$24.00	42.3%	12.2%	48.2%	32.3%	41.2%	8.2%	-0.7%	10.0M	969.2M	-20.8M	1.19	1.76	96,700	115,453	3,225,083	4,050,951
2020-06-19	$23.98	$24.00	40.7%	11.7%	48.1%	30.6%	43.3%	8.6%	-0.7%	58.5M	1.04B	-20.6M	1.34	2.48	69,191	92,944	3,283,417	4,075,776
2020-06-22	$23.72	$24.00	40.4%	11.6%	48.4%	30.2%	40.1%	9.3%	-0.3%	-11.5M	979.4M	-19.8M	0.41	2.49	69,501	28,812	2,606,503	2,750,556
2020-06-23	$23.88	$24.00	36.9%	10.6%	44.7%	26.5%	37.6%	8.0%	-0.2%	-8.2M	883.2M	-19.6M	0.66	2.09	93,938	61,552	2,631,547	2,763,932
2020-06-24	$23.12	$24.00	40.4%	11.7%	44.2%	30.3%	39.8%	8.7%	-0.1%	-26.6M	1.43B	-18.9M	0.60	2.58	256,830	153,741	2,674,927	2,779,977
2020-06-25	$23.55	$24.00	39.6%	11.7%	44.6%	29.4%	40.2%	7.9%	-0.4%	-10.6M	999.6M	-19.7M	0.80	2.44	206,876	165,668	2,738,602	2,823,553
2020-06-26	$22.63	$24.00	41.4%	12.1%	46.6%	31.4%	41.9%	9.1%	-0.2%	-51.6M	1.79B	-18.3M	1.30	2.53	147,984	192,474	2,782,074	2,908,052
2020-06-29	$22.71	$24.00	40.4%	11.8%	46.4%	30.3%	40.0%	8.4%	-0.2%	-39.6M	1.63B	-18.0M	0.54	2.27	66,049	35,824	2,728,975	2,850,703
2020-06-30	$23.16	$24.00	37.1%	10.8%	47.0%	26.7%	38.6%	7.4%	-0.1%	-26.0M	1.30B	-18.4M	0.51	2.35	95,246	48,208	2,760,073	2,875,484