XLF Options History — February 2021

In February 2021, XLF traded between $29.31 and $33.56. ATM implied volatility averaged 24.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.0% (HV 20d: 23.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2021-02-24: Highest Volume — 947,245 contracts
2021-02-16: Largest IV spike — 10.3% change
2021-02-01: Highest IV Rank — 13.5%
2021-02-25: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.64	$29.31	$33.56	$29.31	$32.59
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	24.2%	22.2%	27.0%	27.0%	26.1%
Expected Move	7.0%	6.6%	8.0%	7.7%	7.4%
HV 20d	23.2%	18.9%	27.1%	25.9%	19.1%
HV 60d	21.7%	19.3%	26.9%	26.7%	19.8%
IV Rank	8.6%	2.7%	13.5%	13.5%	4.7%
IV Percentile	13.3%	2.8%	36.5%	36.5%	30.2%
Term Structure	0.4%	-1.1%	1.7%	0.1%	-0.4%
VWIV	24.7%	22.7%	28.8%	27.1%	26.8%
Skew 25d	3.8%	2.4%	6.7%	6.7%	4.2%
Skew 10d	7.6%	-3.6%	19.7%	19.7%	8.4%
Call IV 25d	23.1%	21.2%	25.5%	24.9%	25.0%
Put IV 25d	26.9%	24.7%	31.6%	31.6%	29.2%
Bid-Ask Spread %	7.23	2.00	34.94	5.96	2.70
Gamma HHI	0.13	0.08	0.23	0.08	0.10
Net GEX	107.8M	6.6M	157.9M	6.6M	99.9M
Net DEX	-1.94B	-3.38B	-182.8M	-182.8M	-1.96B
Net VEX	-17.9M	-23.6M	-15.7M	-16.2M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.20	1.24	1.07	0.62
Total Volume	257,303.842	82,679	947,245	164,084	244,404
Total OI	4,126,012.105	3,394,704	5,292,806	3,394,704	5,079,705

Daily Data (19 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
2021-02-01	$29.31	$30.00	27.0%	7.7%	25.9%	13.5%	27.1%	6.7%	0.1%	6.6M	-182.8M	-16.2M	1.07	5.96	79,144	84,940	1,486,066	1,908,638
2021-02-02	$30.05	$30.00	24.8%	7.0%	27.1%	11.1%	23.9%	4.5%	0.3%	35.1M	-727.2M	-16.1M	0.42	27.35	131,617	55,060	1,526,185	1,964,343
2021-02-03	$30.16	$30.00	24.5%	6.7%	27.1%	10.8%	23.2%	3.8%	0.3%	49.8M	-849.9M	-16.4M	0.20	27.81	98,938	19,809	1,595,302	1,988,565
2021-02-04	$30.74	$30.00	23.7%	6.9%	24.1%	9.9%	25.1%	2.5%	0.3%	78.4M	-1.32B	-16.2M	0.50	2.38	234,768	117,730	1,618,611	1,995,755
2021-02-05	$30.93	$30.00	22.9%	6.7%	23.3%	9.0%	23.5%	2.4%	0.7%	134.2M	-1.45B	-16.6M	0.23	2.33	98,124	22,444	1,714,841	2,066,456
2021-02-08	$31.20	$30.00	23.5%	7.0%	23.5%	9.6%	23.5%	3.9%	0.8%	98.6M	-1.65B	-16.2M	0.42	34.94	90,412	37,667	1,682,796	2,011,103
2021-02-09	$31.32	$30.00	22.4%	6.8%	23.5%	8.4%	23.6%	3.6%	1.4%	104.7M	-1.75B	-16.2M	1.24	7.56	55,156	68,369	1,697,240	2,030,491
2021-02-10	$31.27	$30.00	22.9%	7.0%	23.1%	9.0%	24.3%	4.1%	1.7%	109.1M	-1.66B	-16.8M	0.34	2.20	89,908	30,644	1,740,988	2,066,836
2021-02-11	$31.19	$30.00	23.4%	6.8%	23.1%	9.5%	25.7%	4.7%	0.3%	104.6M	-1.67B	-16.5M	1.23	2.00	56,024	69,135	1,763,612	2,078,082
2021-02-12	$31.47	$30.00	22.2%	6.6%	23.2%	8.3%	24.8%	3.6%	1.4%	128.0M	-1.86B	-16.7M	0.36	2.02	60,880	21,799	1,776,369	2,121,625
2021-02-16	$32.14	$30.00	24.5%	7.1%	23.1%	10.8%	25.3%	3.1%	-0.0%	120.4M	-2.49B	-15.7M	0.27	2.70	536,330	147,057	1,738,921	2,095,562
2021-02-17	$32.17	$30.00	24.2%	6.9%	23.0%	10.4%	24.2%	3.9%	0.9%	131.8M	-2.59B	-17.7M	0.22	2.17	326,482	73,160	1,993,272	2,170,131
2021-02-18	$32.09	$30.00	24.0%	6.9%	23.0%	10.2%	24.2%	3.9%	0.5%	154.7M	-2.66B	-18.2M	0.41	2.24	96,920	39,600	2,227,182	2,246,878
2021-02-19	$32.45	$30.00	23.5%	6.7%	22.9%	8.7%	22.7%	3.1%	0.4%	157.9M	-3.01B	-18.3M	0.35	2.37	155,013	54,250	2,255,724	2,267,313
2021-02-22	$32.69	$30.00	24.8%	6.9%	22.6%	8.4%	23.7%	3.1%	-1.1%	134.3M	-2.54B	-18.4M	0.28	2.40	197,470	55,544	2,049,503	2,132,107
2021-02-23	$32.92	$30.00	24.1%	6.8%	21.9%	3.4%	23.7%	3.6%	-0.3%	135.0M	-2.60B	-21.7M	0.45	2.09	152,365	68,709	2,342,703	2,626,272
2021-02-24	$33.56	$30.00	24.5%	6.8%	22.3%	2.7%	24.1%	3.1%	0.1%	148.6M	-3.38B	-20.9M	0.28	2.27	737,155	210,090	2,368,845	2,673,402
2021-02-25	$33.00	$30.00	26.8%	8.0%	18.9%	5.5%	28.8%	5.0%	0.3%	115.9M	-2.60B	-23.6M	0.27	3.85	213,413	58,243	2,548,651	2,744,155
2021-02-26	$32.59	$30.00	26.1%	7.4%	19.1%	4.7%	26.8%	4.2%	-0.4%	99.9M	-1.96B	-21.7M	0.62	2.70	150,507	93,897	2,317,934	2,761,771