XLF Options History — October 2020

In October 2020, XLF traded between $23.72 and $25.55. ATM implied volatility averaged 31.0%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 7.8% (HV 20d: 23.3%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2020-10-06: Highest Volume — 276,627 contracts
2020-10-28: Largest IV spike — 22.2% change
2020-10-28: Highest IV Rank — 28.6%
2020-10-28: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.68	$23.72	$25.55	$24.01	$23.72
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	31.0%	28.3%	38.8%	30.8%	38.4%
Expected Move	9.0%	8.0%	11.8%	8.6%	11.8%
HV 20d	23.3%	19.5%	25.6%	25.5%	22.2%
HV 60d	21.0%	20.3%	22.1%	21.6%	21.9%
IV Rank	20.3%	17.3%	28.6%	20.0%	28.1%
IV Percentile	58.4%	46.0%	77.4%	60.3%	76.6%
Term Structure	-0.1%	-1.3%	3.4%	3.4%	-1.0%
VWIV	32.1%	28.0%	40.5%	29.2%	40.1%
Skew 25d	6.1%	4.4%	9.5%	5.0%	9.4%
Skew 10d	11.7%	8.4%	18.2%	9.5%	17.4%
Call IV 25d	28.6%	26.1%	34.1%	28.4%	33.9%
Put IV 25d	34.7%	31.1%	43.7%	33.4%	43.3%
Bid-Ask Spread %	2.42	1.70	3.57	2.64	2.74
Gamma HHI	0.11	0.09	0.47	0.09	0.09
Net GEX	13.8M	-38.9M	216.2M	-11.1M	-32.3M
Net DEX	580.5M	-279.5M	1.45B	996.1M	1.45B
Net VEX	-16.5M	-17.2M	-15.9M	-16.5M	-16.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.16	1.26	0.16	0.56
Total Volume	171,492.5	68,066	276,627	257,724	240,639
Total OI	4,905,971.545	4,640,517	5,240,656	4,694,429	5,166,901

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
2020-10-01	$24.01	$24.00	30.8%	8.6%	25.5%	20.0%	29.2%	5.0%	3.4%	-11.1M	996.1M	-16.5M	0.16	2.64	223,125	34,599	2,170,962	2,523,467
2020-10-02	$24.31	$24.00	30.7%	8.7%	25.3%	20.0%	31.3%	5.3%	3.3%	2.9M	753.2M	-16.8M	0.68	3.57	87,552	59,687	2,194,541	2,533,502
2020-10-05	$24.71	$24.00	31.1%	9.1%	25.6%	20.4%	33.4%	7.1%	-0.1%	19.3M	435.5M	-16.6M	0.62	2.40	161,503	100,439	2,145,046	2,556,026
2020-10-06	$24.44	$24.00	31.2%	9.4%	24.5%	20.5%	32.2%	6.4%	0.3%	6.5M	673.0M	-17.0M	0.50	2.39	184,741	91,886	2,222,599	2,634,602
2020-10-07	$24.89	$24.00	30.0%	8.8%	25.4%	19.2%	30.0%	5.8%	0.3%	19.4M	285.7M	-17.1M	0.80	2.28	63,818	50,933	2,219,575	2,672,495
2020-10-08	$25.20	$24.00	29.8%	8.7%	25.2%	18.9%	32.1%	5.6%	0.1%	32.9M	8.8M	-17.2M	0.39	1.95	115,854	44,598	2,240,492	2,708,420
2020-10-09	$25.21	$24.00	28.9%	8.4%	25.2%	18.0%	28.5%	4.5%	-0.0%	30.8M	-34.5M	-17.0M	0.59	2.47	76,659	45,376	2,278,929	2,728,792
2020-10-12	$25.55	$24.00	28.8%	8.0%	25.1%	17.9%	29.2%	5.5%	-0.6%	49.9M	-279.5M	-16.9M	0.50	2.03	81,444	40,996	2,271,596	2,721,107
2020-10-13	$25.09	$24.00	29.2%	8.3%	25.4%	18.3%	28.0%	4.9%	-0.2%	31.6M	190.8M	-16.6M	0.51	2.30	95,077	48,512	2,291,858	2,739,169
2020-10-14	$24.82	$24.00	28.6%	8.1%	25.2%	17.7%	28.2%	4.4%	-0.2%	9.7M	512.9M	-16.3M	0.35	1.70	80,221	27,973	2,291,131	2,769,959
2020-10-15	$24.96	$24.00	29.3%	8.3%	24.6%	18.4%	32.7%	4.9%	-0.2%	33.7M	353.7M	-16.5M	1.26	2.11	91,180	115,084	2,331,005	2,776,505
2020-10-16	$25.01	$24.00	28.8%	8.2%	24.5%	17.9%	29.5%	4.4%	-0.5%	216.2M	281.2M	-16.4M	0.61	1.82	146,265	88,919	2,377,106	2,863,550
2020-10-19	$24.63	$24.00	30.0%	8.6%	20.4%	19.2%	28.1%	5.8%	-0.9%	-10.8M	746.1M	-15.9M	0.75	2.70	38,859	29,207	2,108,466	2,532,051
2020-10-20	$24.88	$24.00	30.0%	8.6%	20.5%	19.2%	32.0%	6.2%	-1.3%	-1.6M	543.6M	-16.1M	0.74	2.68	48,318	35,688	2,127,640	2,544,930
2020-10-21	$24.70	$24.00	31.0%	8.9%	19.5%	20.3%	31.5%	6.0%	-1.3%	-8.7M	684.6M	-16.0M	0.79	2.30	40,283	31,790	2,148,048	2,565,840
2020-10-22	$25.16	$24.00	30.4%	8.8%	20.2%	19.6%	32.4%	6.2%	-1.3%	11.4M	307.6M	-16.4M	0.72	2.47	109,829	79,351	2,172,591	2,578,570
2020-10-23	$25.26	$24.00	28.3%	8.2%	20.1%	17.3%	30.0%	5.5%	-0.7%	22.1M	164.5M	-16.5M	0.52	3.01	122,579	63,957	2,226,247	2,626,695
2020-10-26	$24.59	$24.00	32.5%	9.7%	21.0%	21.8%	35.3%	7.1%	-0.3%	-12.1M	791.2M	-16.4M	0.62	2.63	123,369	76,443	2,200,188	2,643,838
2020-10-27	$24.29	$24.00	31.8%	9.6%	21.1%	21.1%	35.7%	6.6%	-0.0%	-29.2M	1.07B	-16.2M	0.42	2.11	115,470	48,501	2,247,337	2,679,735
2020-10-28	$23.73	$24.00	38.8%	11.8%	22.6%	28.6%	40.5%	9.5%	-0.8%	-37.9M	1.45B	-16.3M	0.91	2.48	106,448	96,903	2,294,044	2,709,956
2020-10-29	$23.84	$24.00	34.4%	10.3%	22.7%	23.8%	36.7%	8.5%	-0.2%	-38.9M	1.40B	-16.3M	0.45	2.38	144,460	64,300	2,349,946	2,745,917
2020-10-30	$23.72	$24.00	38.4%	11.8%	22.2%	28.1%	40.1%	9.4%	-1.0%	-32.3M	1.45B	-16.5M	0.56	2.74	153,933	86,706	2,412,447	2,754,454