XLF Options History — November 2020

In November 2020, XLF traded between $24.27 and $28.62. ATM implied volatility averaged 26.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 7.8% (HV 20d: 34.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-11-09: Highest Volume — 500,017 contracts
  • 2020-11-04: Largest IV drop — 15.5% change
  • 2020-11-02: Highest IV Rank — 25.5%
  • 2020-11-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.87$24.27$28.62$24.27$27.91
Max Pain$25.25$24.00$26.00$24.00$26.00
ATM IV26.6%23.9%35.9%35.9%24.0%
Expected Move7.8%6.8%11.3%11.3%7.1%
HV 20d34.4%23.0%39.1%23.0%36.8%
HV 60d27.4%22.0%29.5%22.0%29.2%
IV Rank15.6%12.7%25.5%25.5%12.8%
IV Percentile34.9%23.4%69.0%69.0%23.4%
Term Structure-0.0%-1.6%2.0%-0.4%2.0%
VWIV28.2%24.5%40.4%40.4%26.6%
Skew 25d4.9%3.1%8.5%8.5%4.0%
Skew 10d10.1%6.7%15.8%15.8%8.6%
Call IV 25d24.8%22.2%32.9%32.9%23.2%
Put IV 25d29.6%26.3%41.4%41.4%27.3%
Bid-Ask Spread %2.121.663.713.712.05
Gamma HHI0.120.080.180.080.14
Net GEX50.4M-14.3M88.5M-14.3M51.5M
Net DEX-1.35B-2.51B900.0M900.0M-1.83B
Net VEX-15.7M-17.4M-13.9M-17.2M-13.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.241.820.491.30
Total Volume161,372.237,726500,017196,12471,752
Total OI5,122,801.54,705,0965,381,0975,065,0514,757,199

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$24.27$24.0035.9%11.3%23.0%25.5%40.4%8.5%-0.4%-14.3M900.0M-17.2M0.493.71131,88664,2382,348,9712,716,080
2020-11-03$24.95$24.0034.4%11.0%24.8%23.9%38.6%7.8%-0.5%7.2M313.7M-17.4M0.652.64126,67982,3432,348,9712,716,080
2020-11-04$24.64$24.0029.1%8.9%24.3%18.2%30.0%5.8%0.0%-7.6M607.2M-16.6M0.302.63202,20560,5692,398,2192,764,971
2020-11-05$25.13$25.0027.8%8.2%25.0%16.8%28.3%5.2%0.1%17.8M139.7M-16.7M0.242.5877,48418,2822,419,4232,776,254
2020-11-06$25.06$25.0025.7%7.6%25.0%14.6%30.7%4.8%0.7%11.5M184.0M-16.3M1.181.6653,73463,3872,424,9812,784,156
2020-11-09$27.21$25.0028.6%8.1%38.4%17.7%29.0%3.1%-0.3%69.9M-2.06B-16.1M0.301.93385,811114,2062,373,3222,766,587
2020-11-10$27.16$25.0026.8%7.8%37.6%15.7%28.7%4.5%0.4%70.2M-1.87B-16.4M0.711.8592,43565,2062,400,7942,823,387
2020-11-11$26.95$25.0025.5%7.5%37.5%14.4%26.5%4.0%0.6%66.1M-1.64B-16.6M0.811.7459,19147,8082,431,1972,847,729
2020-11-12$26.45$25.0028.4%8.4%38.3%17.4%28.8%4.6%1.0%46.8M-1.03B-17.1M0.801.9971,42456,8812,440,3522,879,820
2020-11-13$27.12$25.0025.8%7.5%39.1%14.7%25.8%5.1%0.5%69.9M-1.79B-16.1M0.281.6995,15826,8572,442,0732,897,835
2020-11-16$27.53$25.0024.0%6.9%38.6%12.8%24.5%5.0%0.9%88.5M-2.21B-15.3M0.481.84105,31450,9412,409,6452,867,326
2020-11-17$27.51$25.0023.9%6.8%38.6%12.7%26.2%4.9%1.2%84.3M-2.13B-15.3M1.211.8372,45487,4792,411,0572,871,105
2020-11-18$27.47$26.0025.5%7.3%38.4%14.4%25.8%5.0%-1.1%77.8M-2.04B-15.2M0.301.74164,48349,1442,403,9632,888,816
2020-11-19$27.41$26.0025.3%7.3%38.2%14.1%27.7%4.5%-0.6%77.8M-1.97B-15.4M0.811.7781,76566,5962,474,3502,906,623
2020-11-20$27.27$26.0024.8%7.2%38.3%13.6%25.1%5.0%-0.6%36.8M-1.76B-15.2M0.482.1163,19930,3602,454,2322,926,865
2020-11-23$27.71$26.0024.1%6.9%36.8%12.9%27.4%4.5%-1.4%53.1M-1.66B-14.7M1.062.0942,67145,0712,121,8482,583,248
2020-11-24$28.62$26.0024.5%7.0%37.2%13.3%25.1%4.0%-1.6%68.4M-2.51B-13.9M0.292.41202,48059,4172,130,3132,602,391
2020-11-25$28.55$26.0024.1%6.9%35.6%12.9%24.6%4.3%-1.5%68.1M-2.42B-14.1M0.882.0253,63147,1772,178,2262,642,453
2020-11-27$28.41$26.0024.3%6.8%35.9%13.1%24.5%3.1%-0.3%64.3M-2.30B-14.0M1.822.0313,38724,3392,169,7802,655,388
2020-11-30$27.91$26.0024.0%7.1%36.8%12.8%26.6%4.0%2.0%51.5M-1.83B-13.9M1.302.0531,22340,5292,142,9432,614,256