XLF Options History — March 2021 In March 2021, XLF traded between $33.02 and $34.75. ATM implied volatility averaged 23.8%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.5% (HV 20d: 20.4%). Max pain ranged from $30.00 to $33.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.57.
Notable Days 2021-03-18 : Highest Volume — 788,790 contracts2021-03-05 : Largest IV drop — 7.8% change2021-03-04 : Highest IV Rank — 5.4%2021-03-04 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $33.98 $33.02 $34.75 $33.40 $34.09 Max Pain $32.54 $30.00 $33.50 $30.00 $33.50 ATM IV 23.8% 22.0% 26.8% 24.7% 22.0% Expected Move 6.8% 6.3% 7.6% 6.9% 6.3% HV 20d 20.4% 16.9% 23.0% 17.9% 19.6% HV 60d 21.1% 20.1% 21.6% 20.1% 21.6% IV Rank 2.1% 0.0% 5.4% 2.9% 0.0% IV Percentile 10.1% 0.0% 35.3% 15.5% 0.0% Term Structure 0.0% -1.2% 0.7% -1.2% 0.1% VWIV 24.2% 22.2% 26.4% 25.0% 22.2% Skew 25d 2.9% 1.9% 5.2% 3.7% 2.1% Skew 10d 6.2% 4.0% 11.6% 7.5% 5.1% Call IV 25d 23.2% 21.2% 25.5% 23.1% 21.6% Put IV 25d 26.1% 23.7% 30.7% 26.8% 23.7% Bid-Ask Spread % 8.69 2.18 37.01 2.46 2.39 Gamma HHI 0.14 0.09 0.20 0.13 0.19 Net GEX 131.4M -21.2M 214.3M 119.1M -21.2M Net DEX -2.95B -4.25B -1.22B -2.81B -2.05B Net VEX -18.7M -21.5M -16.5M -21.4M -18.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.13 1.90 0.22 0.49 Total Volume 261,770.957 110,797 788,790 214,240 120,287 Total OI 4,908,397.739 4,164,979 5,441,894 5,105,433 4,693,607
Daily Data (23 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 2021-03-01 $33.40 $30.00 24.7% 6.9% 17.9% 2.9% 25.0% 3.7% -1.2% 119.1M -2.81B -21.4M 0.22 2.46 175,102 39,138 2,363,248 2,742,185 2021-03-02 $33.33 $31.00 23.8% 6.7% 18.2% 1.9% 23.9% 2.4% -0.0% 127.2M -2.79B -21.0M 0.32 2.58 161,098 50,864 2,383,900 2,767,724 2021-03-03 $33.65 $31.00 25.5% 7.5% 16.9% 3.9% 26.4% 3.5% -0.1% 128.0M -3.13B -20.8M 0.40 2.30 161,263 65,044 2,385,830 2,791,684 2021-03-04 $33.02 $32.00 26.8% 7.6% 19.0% 5.4% 25.8% 5.2% -0.4% 93.0M -2.36B -21.5M 0.50 7.42 194,145 96,933 2,422,550 2,857,325 2021-03-05 $33.70 $32.00 24.7% 6.8% 19.1% 2.9% 25.1% 4.4% 0.2% 140.8M -3.17B -20.7M 0.66 2.85 127,496 84,739 2,450,807 2,894,061 2021-03-08 $34.34 $32.00 25.0% 7.3% 19.8% 3.3% 25.1% 3.5% 0.4% 141.7M -3.79B -20.2M 0.22 15.57 294,457 65,729 2,396,748 2,838,480 2021-03-09 $33.95 $32.00 24.4% 7.1% 20.6% 2.6% 24.9% 3.1% 0.7% 158.3M -3.45B -20.3M 0.32 2.57 152,155 47,947 2,542,127 2,871,215 2021-03-10 $34.50 $33.00 24.7% 7.2% 21.0% 2.9% 24.8% 2.5% 0.3% 193.1M -4.04B -17.8M 0.22 2.42 181,560 39,750 2,455,272 2,470,312 2021-03-11 $34.41 $33.00 24.0% 6.9% 21.0% 2.1% 23.7% 2.6% 0.2% 185.3M -3.88B -18.0M 0.19 30.86 328,215 61,869 2,451,851 2,495,283 2021-03-12 $34.75 $33.00 24.4% 7.0% 20.9% 2.6% 24.5% 2.8% 0.0% 204.6M -4.25B -17.6M 0.56 37.01 131,581 73,227 2,444,318 2,516,074 2021-03-15 $34.48 $33.00 24.2% 7.0% 21.4% 2.3% 24.2% 2.7% -0.5% 191.3M -3.83B -17.1M 0.54 34.88 117,417 63,848 2,441,880 2,534,959 2021-03-16 $34.19 $33.00 23.7% 6.8% 20.9% 1.7% 23.6% 2.7% 0.2% 180.9M -3.54B -16.8M 0.38 2.18 116,896 44,804 2,473,620 2,561,436 2021-03-17 $34.35 $33.00 23.0% 6.6% 20.9% 1.0% 22.9% 2.5% -1.0% 183.7M -3.66B -16.5M 0.35 20.81 184,884 64,601 2,503,694 2,590,560 2021-03-18 $34.57 $33.00 24.4% 7.0% 20.8% 2.9% 25.0% 1.9% 0.1% 214.3M -4.11B -17.5M 0.13 2.36 696,760 92,030 2,620,743 2,627,580 2021-03-19 $34.25 $33.00 23.3% 6.6% 21.1% 1.6% 23.6% 2.1% 0.3% 136.4M -3.77B -17.9M 0.49 2.41 269,399 131,910 2,798,016 2,643,878 2021-03-22 $33.64 $33.00 22.5% 6.4% 22.3% 0.5% 22.3% 2.2% 0.2% 94.1M -1.80B -17.2M 0.45 2.35 180,154 81,431 2,123,791 2,041,188 2021-03-23 $33.10 $33.00 23.6% 6.8% 23.0% 2.4% 24.4% 2.8% 0.0% 55.9M -1.22B -17.8M 0.98 2.45 139,560 136,256 2,186,119 2,083,390 2021-03-24 $33.42 $33.00 23.3% 6.7% 22.2% 2.0% 24.6% 2.9% 0.2% 78.2M -1.47B -18.2M 0.99 6.20 96,289 95,804 2,223,192 2,167,747 2021-03-25 $33.81 $33.00 22.6% 6.4% 21.7% 0.7% 23.2% 3.0% 0.1% 105.3M -1.89B -18.2M 0.91 2.34 57,884 52,913 2,264,275 2,235,749 2021-03-26 $34.17 $33.00 22.2% 6.4% 21.3% 0.0% 24.3% 2.8% 0.2% 122.6M -2.34B -18.1M 0.92 2.25 101,289 93,120 2,284,589 2,238,599 2021-03-29 $34.14 $33.00 23.4% 6.7% 19.6% 2.4% 24.4% 3.1% 0.1% 107.2M -2.18B -18.2M 1.90 10.87 125,933 239,367 2,169,978 2,229,594 2021-03-30 $34.34 $33.00 22.2% 6.4% 19.6% 0.0% 23.1% 3.3% -0.1% 82.7M -2.29B -18.6M 1.02 2.41 91,686 93,898 2,200,122 2,413,848 2021-03-31 $34.09 $33.50 22.0% 6.3% 19.6% 0.0% 22.2% 2.1% 0.1% -21.2M -2.05B -18.3M 0.49 2.39 80,808 39,479 2,218,116 2,475,491
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