XLF Options History — August 2020

In August 2020, XLF traded between $23.95 and $25.32. ATM implied volatility averaged 26.4%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.9% (HV 20d: 17.5%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2020-08-11: Highest Volume — 634,380 contracts
  • 2020-08-10: Largest IV spike — 5.8% change
  • 2020-08-11: Highest IV Rank — 17.2%
  • 2020-08-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.78$23.95$25.32$24.12$25.12
Max Pain$23.62$23.00$24.00$24.00$24.00
ATM IV26.4%24.7%28.2%27.2%27.8%
Expected Move7.5%6.5%8.3%7.6%7.8%
HV 20d17.5%15.9%22.8%22.8%16.4%
HV 60d33.7%28.7%38.3%38.3%28.7%
IV Rank15.3%13.5%17.2%16.2%16.8%
IV Percentile55.0%50.0%58.7%58.3%57.9%
Term Structure0.4%-0.5%1.9%0.1%1.0%
VWIV26.5%23.8%29.7%29.7%27.7%
Skew 25d4.6%3.3%6.1%5.8%4.2%
Skew 10d9.1%7.1%13.3%13.3%7.4%
Call IV 25d24.9%23.1%26.9%24.5%26.3%
Put IV 25d29.5%28.0%30.9%30.3%30.5%
Bid-Ask Spread %1.961.502.632.592.06
Gamma HHI0.110.090.120.090.09
Net GEX32.4M-7.4M68.4M671.4K44.7M
Net DEX109.7M-610.5M817.3M653.5M-29.7M
Net VEX-18.9M-19.9M-17.8M-18.9M-18.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.171.390.550.33
Total Volume193,693.38175,178634,38075,178147,287
Total OI5,702,601.195,336,1376,135,9965,398,5675,561,714

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$24.12$24.0027.2%7.6%22.8%16.2%29.7%5.8%0.1%671.4K653.5M-18.9M0.552.5948,55026,6282,433,4492,965,118
2020-08-04$23.95$24.0025.9%7.0%21.3%14.8%24.2%6.1%0.2%-1.6M804.9M-18.5M1.122.6373,75882,3812,463,3082,965,945
2020-08-05$24.32$24.0025.1%6.5%21.7%14.0%23.8%4.4%0.2%16.3M421.0M-18.8M0.552.6374,75841,2542,503,2112,999,992
2020-08-06$24.30$23.0025.6%8.0%19.7%14.4%25.9%4.9%0.2%17.8M414.5M-18.8M0.471.7664,93530,8462,507,4643,004,589
2020-08-07$24.79$23.0026.3%7.8%16.9%15.3%28.7%5.0%-0.2%25.5M-98.6M-19.3M0.721.59117,10484,5062,561,0743,024,272
2020-08-10$25.01$23.0027.9%8.1%17.0%16.9%27.4%4.1%0.4%36.9M-258.3M-19.3M0.252.11243,35860,3712,538,4573,027,805
2020-08-11$25.30$23.0028.2%8.3%17.3%17.2%28.7%3.9%0.8%53.1M-610.5M-19.8M0.242.17510,762123,6182,626,2633,064,587
2020-08-12$25.27$23.0026.6%7.9%15.9%15.5%28.2%3.3%1.0%60.8M-570.2M-19.9M1.141.86101,843115,6032,827,0453,111,795
2020-08-13$25.06$23.0026.9%7.8%16.2%15.9%27.4%3.8%0.5%47.5M-311.4M-19.6M0.761.97173,005131,7582,838,2783,144,569
2020-08-14$25.12$23.0027.0%7.8%16.0%15.9%26.6%4.4%0.4%68.4M-376.1M-19.7M1.331.9058,06576,9902,872,5403,157,984
2020-08-17$24.79$23.0025.5%7.3%16.8%14.4%25.4%5.4%0.9%47.2M128.6M-18.8M0.741.8886,10963,5952,835,2303,110,158
2020-08-18$24.62$24.0025.4%7.3%16.1%14.3%25.5%4.8%1.6%33.5M329.8M-18.4M1.261.5687,717110,7382,850,6533,098,329
2020-08-19$24.60$24.0025.0%7.2%16.1%13.9%25.0%5.0%1.9%26.0M360.3M-18.3M0.411.5978,69631,9102,861,5213,186,439
2020-08-20$24.40$24.0026.3%7.5%16.4%15.2%25.7%5.2%-0.3%-1.2M668.6M-17.9M1.011.6752,89053,5912,877,1003,210,374
2020-08-21$24.30$24.0025.7%7.3%16.4%14.6%27.3%4.3%0.3%-7.4M817.3M-17.8M1.391.5071,68199,8552,886,9383,249,058
2020-08-24$24.82$24.0024.7%6.8%17.7%13.5%24.1%5.0%-0.4%15.6M335.4M-18.2M0.222.0889,74119,9462,567,3962,768,741
2020-08-25$24.94$24.0025.6%7.2%17.7%14.5%24.9%4.4%-0.1%26.6M175.8M-18.3M0.171.91196,02933,5862,599,7342,775,134
2020-08-26$24.88$24.0026.3%7.4%16.8%15.2%26.3%4.7%-0.5%41.7M152.0M-18.5M0.331.8962,52120,6222,726,3712,787,192
2020-08-27$25.30$24.0027.4%7.7%16.1%16.4%27.9%4.9%0.4%66.9M-315.2M-19.2M0.282.08158,10544,3122,757,0322,810,767
2020-08-28$25.32$24.0027.7%7.5%16.0%16.7%27.0%3.7%0.5%61.6M-387.2M-19.1M0.451.82220,28898,2492,779,2832,817,716
2020-08-31$25.12$24.0027.8%7.8%16.4%16.8%27.7%4.2%1.0%44.7M-29.7M-18.6M0.332.06110,63536,6522,723,0572,838,657