XLF Options History — September 2020

In September 2020, XLF traded between $23.26 and $25.55. ATM implied volatility averaged 29.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.5% (HV 20d: 21.6%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2020-09-03: Highest Volume — 613,101 contracts
2020-09-21: Largest IV spike — 10.6% change
2020-09-03: Highest IV Rank — 22.8%
2020-09-03: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.47	$23.26	$25.55	$25.05	$24.02
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	29.1%	25.6%	33.4%	28.8%	29.4%
Expected Move	8.3%	7.3%	9.4%	8.0%	8.3%
HV 20d	21.6%	16.1%	26.8%	16.1%	26.8%
HV 60d	23.2%	21.7%	28.7%	28.5%	21.7%
IV Rank	18.3%	14.5%	22.8%	18.0%	18.5%
IV Percentile	56.4%	45.6%	62.7%	59.5%	57.9%
Term Structure	0.6%	-0.6%	3.9%	0.7%	3.8%
VWIV	29.5%	27.1%	34.8%	27.5%	28.1%
Skew 25d	5.4%	3.5%	6.7%	5.2%	6.4%
Skew 10d	10.4%	6.7%	15.0%	9.6%	12.5%
Call IV 25d	27.5%	25.2%	30.8%	26.6%	26.8%
Put IV 25d	32.8%	28.8%	37.5%	31.8%	33.2%
Bid-Ask Spread %	2.83	1.85	4.72	1.85	2.61
Gamma HHI	0.11	0.09	0.14	0.09	0.11
Net GEX	5.7M	-52.6M	71.4M	35.3M	-9.9M
Net DEX	640.0M	-552.5M	1.67B	43.5M	1.06B
Net VEX	-16.9M	-19.1M	-15.5M	-18.4M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.21	1.67	0.30	0.30
Total Volume	171,683.81	65,427	613,101	120,972	125,082
Total OI	5,359,083.143	4,721,989	5,860,925	5,557,314	5,041,234

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
2020-09-01	$25.05	$24.00	28.8%	8.0%	16.1%	18.0%	27.5%	5.2%	0.7%	35.3M	43.5M	-18.4M	0.30	1.85	93,410	27,562	2,707,608	2,849,706
2020-09-02	$25.55	$24.00	30.7%	8.6%	16.7%	19.9%	29.7%	4.7%	-0.2%	69.8M	-552.5M	-18.9M	0.22	2.10	83,711	18,389	2,756,299	2,867,968
2020-09-03	$25.05	$24.00	33.4%	9.4%	18.4%	22.8%	31.1%	6.7%	-0.6%	44.2M	60.9M	-19.1M	1.67	4.17	229,865	383,236	2,749,902	2,873,353
2020-09-04	$25.38	$24.00	31.5%	9.2%	17.6%	20.7%	34.8%	6.2%	0.2%	71.4M	-378.0M	-18.9M	0.93	4.72	156,266	145,711	2,796,051	2,776,797
2020-09-08	$24.80	$24.00	32.8%	9.3%	19.4%	22.1%	32.1%	6.7%	-0.6%	32.4M	288.6M	-18.0M	0.80	2.28	76,954	61,482	2,788,635	2,767,210
2020-09-09	$24.95	$24.00	29.8%	8.6%	19.0%	19.0%	30.6%	5.0%	-0.2%	43.3M	166.7M	-17.6M	0.97	2.58	33,219	32,208	2,816,572	2,794,702
2020-09-10	$24.62	$24.00	29.1%	8.3%	19.5%	18.3%	30.0%	5.1%	-0.2%	11.1M	555.4M	-16.9M	1.51	2.90	70,116	105,759	2,806,436	2,804,784
2020-09-11	$24.74	$24.00	28.3%	8.1%	19.5%	17.4%	31.0%	4.8%	-0.3%	16.5M	460.0M	-17.0M	0.34	2.84	149,356	50,353	2,824,419	2,851,991
2020-09-14	$25.11	$24.00	26.9%	7.7%	20.2%	15.9%	27.1%	5.1%	0.2%	46.3M	83.4M	-16.7M	0.35	2.37	147,503	51,364	2,785,396	2,852,420
2020-09-15	$24.74	$24.00	26.7%	7.6%	20.4%	15.6%	27.3%	4.1%	0.7%	10.1M	449.1M	-16.3M	0.94	2.97	94,968	88,803	2,817,806	2,869,670
2020-09-16	$25.07	$24.00	27.5%	7.9%	20.7%	16.5%	27.6%	4.3%	0.1%	43.1M	140.0M	-16.8M	0.31	3.38	165,401	51,294	2,835,901	2,915,785
2020-09-17	$24.65	$24.00	26.9%	7.7%	21.7%	15.8%	28.5%	3.9%	0.9%	-7.0M	585.2M	-16.6M	0.50	2.68	98,354	49,502	2,882,181	2,915,707
2020-09-18	$24.77	$24.00	25.6%	7.3%	21.5%	14.5%	28.2%	3.5%	0.3%	12.0M	501.4M	-16.4M	0.70	2.37	120,643	84,338	2,926,461	2,934,464
2020-09-21	$23.81	$24.00	28.4%	8.1%	25.8%	17.4%	29.5%	6.2%	-0.1%	-41.5M	1.37B	-16.0M	1.01	3.27	63,232	63,579	2,186,022	2,535,967
2020-09-22	$23.70	$24.00	29.0%	8.4%	24.5%	18.2%	28.5%	5.7%	-0.1%	-46.3M	1.46B	-15.9M	0.43	3.30	105,987	45,265	2,198,820	2,561,372
2020-09-23	$23.29	$24.00	30.3%	8.6%	24.9%	19.5%	30.5%	6.0%	-0.3%	-52.6M	1.67B	-15.5M	0.75	2.89	52,864	39,706	2,221,321	2,565,130
2020-09-24	$23.26	$24.00	30.3%	8.7%	24.9%	19.5%	30.4%	6.4%	-0.0%	-52.2M	1.67B	-15.6M	0.74	2.98	80,985	60,073	2,273,940	2,571,524
2020-09-25	$23.44	$24.00	29.0%	8.3%	24.1%	18.1%	29.7%	5.5%	0.2%	-52.6M	1.51B	-15.8M	0.93	2.74	36,543	34,140	2,318,084	2,598,486
2020-09-28	$24.07	$24.00	28.5%	8.1%	26.4%	17.6%	28.1%	5.5%	3.9%	-26.3M	1.06B	-16.3M	0.21	2.49	121,199	26,011	2,302,499	2,600,286
2020-09-29	$23.81	$24.00	28.8%	8.0%	26.5%	17.9%	29.0%	6.0%	3.6%	-27.5M	1.24B	-16.0M	0.90	2.06	42,563	38,364	2,381,708	2,616,129
2020-09-30	$24.02	$24.00	29.4%	8.3%	26.8%	18.5%	28.1%	6.4%	3.8%	-9.9M	1.06B	-16.3M	0.30	2.61	96,318	28,764	2,400,970	2,640,264