XLF Options History — January 2021

In January 2021, XLF traded between $28.98 and $31.54. ATM implied volatility averaged 25.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.7% (HV 20d: 19.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-01-06: Highest Volume — 692,418 contracts
  • 2021-01-27: Largest IV spike — 25.4% change
  • 2021-01-27: Highest IV Rank — 18.7%
  • 2021-01-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.41$28.98$31.54$29.13$29.04
Max Pain$29.42$28.00$30.00$28.00$30.00
ATM IV25.5%22.4%31.7%26.6%30.6%
Expected Move7.3%6.4%9.4%7.4%9.2%
HV 20d19.8%13.7%25.9%14.2%25.9%
HV 60d26.7%25.7%27.3%26.2%27.2%
IV Rank13.2%9.8%18.7%15.0%17.4%
IV Percentile25.2%9.5%57.9%33.3%54.4%
Term Structure-0.1%-1.1%0.4%0.0%-0.6%
VWIV25.7%23.0%32.8%26.5%32.5%
Skew 25d3.1%1.1%7.3%4.7%7.3%
Skew 10d5.9%-7.6%14.7%9.3%14.7%
Call IV 25d24.6%21.3%29.5%24.9%27.8%
Put IV 25d27.7%24.3%35.4%29.6%35.1%
Bid-Ask Spread %2.201.812.852.052.85
Gamma HHI0.150.070.260.210.07
Net GEX109.3M-3.3M209.1M74.9M-3.3M
Net DEX-1.97B-3.90B-15.7M-1.41B-15.7M
Net VEX-14.5M-16.2M-13.0M-13.3M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.191.860.561.86
Total Volume247,624.42179,846692,418229,234312,913
Total OI4,154,112.7373,048,4005,306,8824,357,8723,587,544

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$29.13$28.0026.6%7.4%14.2%15.0%26.5%4.7%0.0%74.9M-1.41B-13.3M0.562.05147,32981,9051,871,7142,486,158
2021-01-05$29.27$28.0025.6%7.4%13.7%13.9%24.2%4.5%-0.0%88.8M-1.58B-13.1M0.312.03160,85149,1471,933,5992,545,344
2021-01-06$30.45$28.0025.2%7.2%19.0%13.6%24.9%2.8%-0.1%141.2M-2.76B-13.0M0.202.20579,126113,2921,998,1792,574,426
2021-01-07$31.01$28.0024.9%7.1%19.8%13.3%24.4%1.1%0.1%183.1M-3.45B-13.4M0.362.02336,620122,4472,202,4262,645,366
2021-01-08$30.89$29.0024.8%7.0%19.8%13.1%25.3%1.7%0.1%180.9M-3.25B-14.5M0.432.00172,72474,4732,289,5462,731,390
2021-01-11$31.01$29.0025.9%7.2%19.8%14.3%25.8%2.1%-0.7%188.9M-3.38B-14.1M0.362.34115,77841,5532,323,9892,663,755
2021-01-12$31.36$29.0024.8%7.1%19.2%13.2%25.1%1.9%-0.1%203.7M-3.78B-13.9M0.192.20280,13352,0182,373,7572,688,956
2021-01-13$31.30$30.0024.7%7.0%18.5%13.0%25.6%1.4%0.0%195.0M-3.65B-14.2M0.281.81101,08628,6172,398,8832,713,957
2021-01-14$31.54$30.0024.9%6.9%18.2%13.3%24.6%1.4%-1.1%209.1M-3.90B-14.4M0.342.05192,69265,8472,447,6672,742,044
2021-01-15$30.91$30.0024.0%6.8%20.3%12.2%25.3%1.3%-0.1%174.2M-3.13B-14.6M0.902.04138,000123,8512,528,2742,778,608
2021-01-19$31.07$30.0023.4%6.7%20.3%11.6%23.2%3.1%0.2%97.8M-1.52B-14.2M0.592.18115,89668,4891,526,5861,521,814
2021-01-20$30.95$30.0022.4%6.4%19.7%9.8%23.4%3.2%0.4%98.2M-1.43B-14.0M0.742.28137,343101,7481,573,9271,560,665
2021-01-21$30.68$30.0022.9%6.5%20.1%10.3%23.0%2.2%0.2%69.1M-1.17B-14.8M0.722.20104,72175,0221,657,5371,625,024
2021-01-22$30.44$30.0023.0%6.6%20.1%10.4%23.3%2.0%0.2%51.4M-989.7M-14.9M0.682.32109,89374,7371,715,4231,670,093
2021-01-25$30.11$30.0025.8%7.4%20.0%12.2%25.7%3.5%0.1%51.2M-783.5M-15.0M0.402.25137,66955,6451,594,4721,664,585
2021-01-26$29.97$30.0025.3%7.1%20.1%11.7%25.7%2.9%0.1%45.4M-696.4M-15.3M0.611.9849,53030,3161,672,3351,690,543
2021-01-27$28.98$30.0031.7%9.4%23.6%18.7%32.8%5.9%-0.2%11.2M-125.5M-15.6M1.062.49112,328118,8061,692,6301,709,363
2021-01-28$29.63$30.0028.0%8.1%24.8%14.6%27.8%5.4%0.1%15.4M-445.8M-16.2M1.542.5748,22474,0951,735,4021,792,161
2021-01-29$29.04$30.0030.6%9.2%25.9%17.4%32.5%7.3%-0.6%-3.3M-15.7M-16.2M1.862.85109,473203,4401,757,4351,830,109