XLF Options History — July 2020

In July 2020, XLF traded between $22.63 and $24.45. ATM implied volatility averaged 32.1%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.8% (HV 20d: 31.4%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.28.

Notable Days

2020-07-13: Highest Volume — 627,287 contracts
2020-07-17: Largest IV drop — 7.3% change
2020-07-13: Highest IV Rank — 29.7%
2020-07-10: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.75	$22.63	$24.45	$23.01	$23.95
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	32.1%	25.7%	39.8%	35.4%	26.7%
Expected Move	9.1%	7.2%	10.9%	10.1%	7.5%
HV 20d	31.4%	22.5%	43.6%	43.6%	23.5%
HV 60d	41.3%	38.5%	45.2%	45.2%	38.5%
IV Rank	21.5%	14.6%	29.7%	24.9%	15.7%
IV Percentile	65.5%	56.7%	79.0%	70.6%	56.7%
Term Structure	-0.3%	-1.6%	0.6%	-0.1%	0.4%
VWIV	32.8%	25.9%	39.1%	35.9%	26.8%
Skew 25d	5.5%	4.4%	6.8%	6.8%	6.1%
Skew 10d	10.5%	8.2%	12.7%	12.7%	11.6%
Call IV 25d	29.9%	23.5%	37.5%	32.7%	24.3%
Put IV 25d	35.4%	28.7%	42.5%	39.5%	30.3%
Bid-Ask Spread %	2.31	1.87	2.75	2.56	2.30
Gamma HHI	0.13	0.08	0.48	0.12	0.21
Net GEX	23.0M	-60.8M	188.2M	-27.9M	56.8M
Net DEX	621.6M	-84.1M	1.46B	1.33B	787.5M
Net VEX	-18.3M	-19.0M	-17.7M	-17.9M	-18.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.24	10.05	0.65	0.99
Total Volume	267,692.364	63,048	627,287	230,296	274,883
Total OI	5,609,500.409	4,995,987	6,271,571	5,587,671	5,623,917

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
2020-07-01	$23.01	$24.00	35.4%	10.1%	43.6%	24.9%	35.9%	6.8%	-0.1%	-27.9M	1.33B	-17.9M	0.65	2.56	139,455	90,841	2,768,245	2,819,426
2020-07-02	$22.99	$24.00	34.0%	9.7%	43.2%	23.4%	35.9%	5.9%	-0.2%	-60.8M	1.39B	-17.7M	3.77	2.04	126,796	477,487	2,810,180	2,853,551
2020-07-06	$23.42	$24.00	34.9%	10.1%	40.9%	24.4%	34.9%	6.3%	-0.5%	-11.3M	918.5M	-18.4M	0.52	2.28	84,354	44,256	2,722,626	2,843,529
2020-07-07	$22.91	$24.00	36.3%	10.1%	40.5%	25.8%	34.1%	6.3%	-0.4%	-23.4M	1.30B	-17.7M	0.49	2.15	93,053	46,041	2,753,275	2,841,689
2020-07-08	$23.14	$24.00	37.6%	10.5%	40.9%	27.3%	36.9%	5.8%	-0.7%	-11.9M	1.08B	-18.1M	0.73	2.08	108,370	79,016	2,810,131	2,867,238
2020-07-09	$22.63	$24.00	38.7%	10.5%	39.3%	28.4%	39.1%	6.0%	-0.7%	-23.4M	1.46B	-17.9M	0.78	2.14	138,588	108,627	2,921,663	2,920,529
2020-07-10	$23.45	$24.00	38.3%	10.9%	30.7%	28.0%	37.2%	4.9%	-1.3%	16.4M	736.1M	-19.0M	0.58	2.18	280,739	161,469	2,974,033	2,972,953
2020-07-13	$23.57	$24.00	39.8%	10.8%	30.0%	29.7%	38.2%	4.4%	-1.6%	20.5M	517.5M	-18.9M	0.30	2.75	481,286	146,001	2,993,437	2,960,635
2020-07-14	$23.68	$24.00	37.1%	10.2%	29.7%	26.7%	37.1%	5.4%	-1.5%	37.5M	451.5M	-18.6M	0.82	2.75	115,541	94,396	3,153,336	3,005,015
2020-07-15	$24.20	$24.00	34.7%	9.8%	30.2%	24.2%	34.9%	5.7%	-0.3%	69.4M	-84.1M	-18.7M	0.33	2.00	403,614	133,544	3,144,165	3,037,237
2020-07-16	$24.12	$24.00	32.3%	9.1%	30.1%	21.6%	32.6%	5.1%	-0.4%	77.1M	-60.4M	-18.4M	0.41	2.34	286,706	116,213	3,193,882	3,041,977
2020-07-17	$23.99	$24.00	29.9%	8.5%	30.1%	19.1%	30.6%	4.4%	-0.3%	188.2M	140.3M	-18.1M	0.79	1.87	91,637	71,931	3,196,415	3,075,156
2020-07-20	$23.90	$24.00	29.3%	8.4%	30.1%	18.4%	28.9%	5.1%	-0.1%	18.2M	540.6M	-17.8M	0.24	2.58	86,304	20,471	2,447,149	2,548,838
2020-07-21	$24.30	$24.00	29.3%	8.4%	30.4%	18.4%	31.5%	5.4%	-0.1%	29.5M	218.2M	-18.1M	1.15	2.52	107,146	123,420	2,448,856	2,560,235
2020-07-22	$24.28	$24.00	28.6%	8.2%	30.3%	17.7%	31.2%	5.2%	-0.2%	30.8M	269.6M	-18.4M	0.56	2.38	42,950	24,192	2,499,291	2,618,493
2020-07-23	$24.31	$24.00	28.6%	8.2%	27.7%	17.7%	29.2%	5.4%	0.0%	34.1M	213.4M	-18.4M	0.71	2.62	67,798	47,962	2,513,502	2,627,235
2020-07-24	$24.24	$24.00	29.0%	8.3%	27.1%	18.1%	27.7%	5.6%	-0.1%	32.4M	269.3M	-18.5M	1.27	2.05	48,884	61,999	2,550,815	2,671,039
2020-07-27	$24.03	$24.00	27.2%	7.7%	22.7%	16.2%	31.3%	5.5%	0.6%	12.7M	548.0M	-17.9M	10.05	2.08	54,418	547,134	2,486,072	2,679,258
2020-07-28	$24.03	$24.00	27.0%	7.6%	22.7%	16.0%	29.3%	5.2%	0.2%	3.4M	692.4M	-18.5M	1.04	2.45	30,933	32,115	2,513,516	2,917,269
2020-07-29	$24.45	$24.00	25.7%	7.2%	22.5%	14.6%	25.9%	5.2%	0.4%	31.5M	233.5M	-18.9M	0.57	2.30	85,990	49,031	2,534,657	2,940,482
2020-07-30	$24.01	$24.00	27.1%	7.7%	23.5%	16.1%	31.5%	6.0%	0.6%	5.3M	721.6M	-18.8M	1.47	2.33	106,825	156,816	2,579,324	2,968,738
2020-07-31	$23.95	$24.00	26.7%	7.5%	23.5%	15.7%	26.8%	6.1%	0.4%	56.8M	787.5M	-18.9M	0.99	2.30	138,032	136,851	2,618,721	3,005,196