XLF Options History — December 2020

In December 2020, XLF traded between $28.15 and $29.40. ATM implied volatility averaged 24.6%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.6% (HV 20d: 22.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.07.

Notable Days

2020-12-23: Highest Volume — 436,406 contracts
2020-12-21: Largest IV spike — 9.0% change
2020-12-21: Highest IV Rank — 15.4%
2020-12-21: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.73	$28.15	$29.40	$28.31	$29.40
Max Pain	$26.64	$26.00	$28.00	$26.00	$28.00
ATM IV	24.6%	23.5%	26.5%	24.0%	23.9%
Expected Move	7.2%	6.7%	7.7%	6.9%	6.8%
HV 20d	22.0%	13.7%	36.5%	36.5%	13.7%
HV 60d	27.6%	26.3%	29.2%	29.2%	26.3%
IV Rank	13.3%	12.2%	15.4%	12.8%	12.2%
IV Percentile	23.9%	15.9%	33.3%	23.0%	15.9%
Term Structure	0.5%	-0.8%	2.3%	1.4%	0.2%
VWIV	25.9%	23.1%	29.3%	26.4%	25.5%
Skew 25d	3.6%	2.6%	4.8%	3.3%	3.1%
Skew 10d	7.5%	5.4%	9.7%	6.4%	9.2%
Call IV 25d	23.6%	21.7%	24.8%	22.7%	22.8%
Put IV 25d	27.2%	25.3%	28.9%	26.0%	25.9%
Bid-Ask Spread %	2.20	1.81	3.05	2.08	1.99
Gamma HHI	0.18	0.13	0.28	0.14	0.25
Net GEX	86.2M	51.9M	154.1M	61.3M	119.7M
Net DEX	-2.06B	-2.74B	-891.8M	-2.15B	-1.80B
Net VEX	-13.1M	-13.8M	-12.3M	-13.7M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.19	5.14	0.30	2.30
Total Volume	159,675.091	43,394	436,406	86,601	312,481
Total OI	4,776,883.818	4,080,786	5,194,494	4,793,557	4,575,180

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
2020-12-01	$28.31	$26.00	24.0%	6.9%	36.5%	12.8%	26.4%	3.3%	1.4%	61.3M	-2.15B	-13.7M	0.30	2.08	66,384	20,217	2,153,533	2,640,024
2020-12-02	$28.65	$26.00	23.7%	7.2%	35.8%	12.5%	26.0%	3.9%	2.2%	72.4M	-2.50B	-13.4M	1.01	1.81	51,880	52,436	2,160,936	2,649,293
2020-12-03	$28.60	$26.00	23.5%	7.1%	35.2%	12.2%	25.7%	3.6%	2.3%	71.8M	-2.45B	-13.3M	0.62	2.63	51,511	32,032	2,176,709	2,683,213
2020-12-04	$28.94	$26.00	23.7%	7.2%	35.0%	12.4%	25.2%	3.5%	2.0%	108.5M	-2.74B	-13.1M	0.34	2.29	95,967	32,735	2,185,009	2,695,168
2020-12-07	$28.69	$26.00	25.0%	7.4%	35.2%	13.8%	28.9%	3.0%	0.5%	75.4M	-2.55B	-13.0M	2.04	2.32	31,476	64,226	2,175,923	2,686,446
2020-12-08	$28.77	$26.00	24.3%	7.3%	21.1%	13.2%	26.2%	2.7%	0.7%	73.1M	-2.57B	-12.9M	1.01	1.99	30,530	30,871	2,189,951	2,741,988
2020-12-09	$28.70	$26.00	25.1%	7.3%	21.1%	13.9%	27.0%	3.3%	0.5%	75.4M	-2.57B	-12.8M	0.24	2.03	51,747	12,528	2,209,206	2,755,600
2020-12-10	$28.76	$26.00	24.6%	7.1%	20.8%	13.4%	25.4%	3.5%	0.2%	81.8M	-2.65B	-12.4M	1.17	2.11	55,994	65,356	2,208,580	2,760,600
2020-12-11	$28.46	$26.00	26.1%	7.7%	19.8%	15.0%	26.7%	4.8%	1.1%	77.3M	-2.22B	-13.2M	5.14	2.23	21,924	112,740	2,223,762	2,783,890
2020-12-14	$28.15	$26.00	25.8%	7.4%	18.7%	14.7%	25.0%	4.4%	-0.5%	51.9M	-1.93B	-12.7M	1.61	2.11	53,644	86,203	2,190,489	2,834,924
2020-12-15	$28.57	$26.00	24.4%	7.0%	18.7%	13.3%	26.5%	4.1%	-0.1%	68.9M	-2.39B	-12.4M	1.55	1.99	76,859	119,177	2,190,941	2,878,227
2020-12-16	$28.66	$26.00	24.1%	6.9%	18.7%	12.8%	24.5%	4.4%	-0.1%	65.6M	-2.43B	-12.4M	0.43	2.02	49,347	21,409	2,212,660	2,929,997
2020-12-17	$28.73	$26.00	23.6%	6.7%	18.6%	12.4%	24.6%	4.3%	0.3%	70.2M	-2.54B	-12.3M	0.94	2.09	41,921	39,226	2,231,590	2,934,622
2020-12-18	$28.40	$26.00	24.3%	7.1%	19.2%	13.1%	23.9%	4.5%	-0.8%	60.8M	-2.21B	-12.6M	0.19	2.12	350,210	68,062	2,238,601	2,955,893
2020-12-21	$28.68	$27.00	26.5%	7.7%	19.3%	15.4%	29.3%	4.4%	-0.2%	84.8M	-1.11B	-13.2M	0.74	3.05	165,410	122,115	1,737,126	2,343,660
2020-12-22	$28.48	$27.00	25.3%	7.4%	18.8%	13.8%	26.0%	4.0%	0.3%	67.9M	-891.8M	-13.7M	0.41	2.33	167,659	68,511	1,809,372	2,420,173
2020-12-23	$28.97	$28.00	25.6%	7.4%	16.1%	14.2%	26.2%	3.0%	0.3%	139.7M	-1.53B	-13.6M	0.48	2.10	294,688	141,718	1,896,965	2,464,537
2020-12-24	$28.88	$28.00	24.2%	7.0%	16.1%	12.7%	26.0%	2.9%	0.3%	154.1M	-1.44B	-13.8M	0.26	2.29	34,441	8,953	2,072,197	2,514,676
2020-12-28	$29.10	$28.00	24.7%	7.1%	16.2%	13.0%	25.4%	2.6%	0.3%	122.7M	-1.55B	-13.6M	0.19	2.33	167,750	32,456	2,026,355	2,492,651
2020-12-29	$29.02	$28.00	25.0%	7.2%	14.6%	13.3%	25.8%	3.1%	0.3%	94.0M	-1.46B	-13.3M	2.11	2.31	32,043	67,567	2,016,778	2,505,999
2020-12-30	$29.12	$28.00	24.0%	6.7%	13.9%	12.3%	23.1%	3.3%	0.3%	98.4M	-1.52B	-13.1M	0.49	2.24	73,901	36,547	2,023,456	2,514,544
2020-12-31	$29.40	$28.00	23.9%	6.8%	13.7%	12.2%	25.5%	3.1%	0.2%	119.7M	-1.80B	-13.1M	2.30	1.99	94,666	217,815	2,030,083	2,545,097