XLF Options History — April 2021

In April 2021, XLF traded between $34.32 and $36.59. ATM implied volatility averaged 18.6%, placing in the 1.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.2% (HV 20d: 14.4%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2021-04-06: Highest Volume — 372,020 contracts
2021-04-21: Largest IV drop — 8.6% change
2021-04-20: Highest IV Rank — 6.4%
2021-04-05: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.24	$34.32	$36.59	$34.32	$36.23
Max Pain	$34.05	$33.00	$35.00	$33.00	$35.00
ATM IV	18.6%	17.1%	21.5%	20.8%	18.1%
Expected Move	5.3%	4.9%	6.0%	6.0%	5.1%
HV 20d	14.4%	12.4%	18.3%	18.3%	14.4%
HV 60d	19.2%	16.9%	21.6%	21.6%	17.1%
IV Rank	1.2%	0.0%	6.4%	0.0%	3.4%
IV Percentile	0.7%	0.0%	3.6%	0.0%	3.6%
Term Structure	0.1%	-0.6%	0.4%	0.1%	-0.6%
VWIV	19.3%	17.2%	21.3%	20.7%	18.5%
Skew 25d	2.5%	1.4%	3.8%	2.2%	2.9%
Skew 10d	5.8%	3.3%	9.7%	5.1%	7.3%
Call IV 25d	18.0%	16.2%	20.6%	20.4%	17.3%
Put IV 25d	20.5%	18.3%	23.0%	22.7%	20.3%
Bid-Ask Spread %	7.28	1.64	38.59	6.03	37.40
Gamma HHI	0.24	0.12	0.46	0.17	0.15
Net GEX	198.7M	64.2M	440.4M	119.9M	133.0M
Net DEX	-2.90B	-3.82B	-1.87B	-2.33B	-3.35B
Net VEX	-15.9M	-17.5M	-14.4M	-17.5M	-16.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.18	3.19	0.26	0.98
Total Volume	194,201.905	81,951	372,020	161,315	106,699
Total OI	4,396,725.905	3,881,076	4,683,970	4,606,272	4,559,076

Daily Data (21 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
2021-04-01	$34.32	$33.00	20.8%	6.0%	18.3%	0.0%	20.7%	2.2%	0.1%	119.9M	-2.33B	-17.5M	0.26	6.03	127,555	33,760	2,221,095	2,385,177
2021-04-05	$34.74	$34.00	21.5%	6.0%	17.4%	1.7%	21.3%	2.5%	0.3%	166.6M	-2.81B	-17.4M	0.18	2.35	69,634	12,317	2,254,497	2,355,837
2021-04-06	$34.65	$34.00	20.4%	5.6%	16.2%	0.0%	20.7%	2.1%	-0.1%	157.3M	-2.65B	-17.1M	0.44	2.08	258,381	113,639	2,249,613	2,362,726
2021-04-07	$34.83	$34.00	19.0%	5.4%	15.7%	0.0%	19.7%	2.2%	-0.0%	169.1M	-2.78B	-16.1M	0.86	2.35	94,343	80,809	2,080,630	2,356,807
2021-04-08	$34.84	$34.00	19.0%	5.5%	14.7%	0.0%	19.1%	1.7%	0.1%	190.2M	-2.84B	-16.3M	1.24	2.59	45,060	56,092	2,112,772	2,360,287
2021-04-09	$35.09	$34.00	18.6%	5.4%	14.8%	0.0%	19.1%	1.6%	-0.0%	223.0M	-3.24B	-15.7M	0.41	1.85	62,397	25,447	2,128,235	2,393,548
2021-04-12	$35.28	$34.00	18.7%	5.5%	14.5%	0.1%	19.8%	2.5%	0.4%	231.2M	-3.43B	-15.0M	0.19	1.99	153,876	28,960	2,103,339	2,301,612
2021-04-13	$34.99	$34.00	19.1%	5.5%	14.6%	1.2%	19.5%	1.4%	-0.1%	211.2M	-3.07B	-15.2M	0.57	1.64	188,107	108,105	2,101,963	2,314,525
2021-04-14	$35.18	$34.00	18.8%	5.4%	14.2%	0.4%	19.3%	1.8%	-0.0%	255.0M	-3.35B	-14.4M	0.35	2.38	204,351	70,663	2,165,962	2,378,608
2021-04-15	$35.16	$34.00	18.2%	5.2%	14.2%	0.0%	18.5%	1.8%	-0.1%	263.4M	-3.22B	-15.0M	0.30	2.45	148,733	44,349	2,181,333	2,424,273
2021-04-16	$35.42	$34.00	17.1%	5.0%	14.2%	0.0%	17.5%	1.4%	0.3%	347.8M	-3.61B	-14.9M	0.36	38.59	129,835	46,977	2,244,296	2,439,674
2021-04-19	$35.30	$34.00	18.1%	5.2%	13.8%	2.6%	18.3%	2.3%	0.0%	171.6M	-2.70B	-15.0M	0.48	2.32	79,188	38,066	1,841,001	2,040,075
2021-04-20	$34.70	$34.00	19.6%	5.6%	13.7%	6.4%	20.4%	2.9%	0.0%	110.2M	-2.04B	-15.3M	3.19	2.68	73,799	235,585	1,848,007	2,068,040
2021-04-21	$35.12	$34.00	17.9%	5.1%	12.4%	2.0%	19.7%	3.3%	0.2%	160.9M	-2.35B	-15.2M	1.67	2.88	35,304	58,986	1,855,380	2,210,443
2021-04-22	$34.81	$34.00	18.1%	5.2%	12.8%	2.8%	20.0%	3.6%	-0.1%	64.2M	-1.87B	-15.6M	0.88	6.28	94,649	83,458	1,863,778	2,239,366
2021-04-23	$35.42	$34.00	17.5%	5.0%	13.5%	1.4%	18.7%	2.6%	0.1%	440.4M	-2.69B	-16.0M	0.48	4.35	209,933	100,217	1,945,384	2,309,595
2021-04-26	$35.57	$34.00	17.7%	5.0%	13.2%	1.9%	18.3%	3.1%	0.2%	161.3M	-2.71B	-16.5M	0.83	2.50	132,818	110,241	1,932,325	2,352,965
2021-04-27	$35.81	$34.00	17.4%	5.0%	13.3%	1.1%	19.8%	3.8%	0.1%	188.7M	-2.98B	-16.2M	1.12	24.35	55,170	61,931	1,982,565	2,429,553
2021-04-28	$35.97	$34.50	17.1%	4.9%	13.2%	0.0%	17.2%	3.0%	0.4%	212.4M	-3.06B	-16.9M	0.71	2.76	116,139	82,558	1,985,578	2,438,051
2021-04-29	$36.59	$34.50	17.3%	4.9%	13.7%	0.7%	18.7%	3.3%	0.1%	195.8M	-3.82B	-16.4M	0.47	3.11	204,365	95,744	2,012,365	2,500,888
2021-04-30	$36.23	$35.00	18.1%	5.1%	14.4%	3.4%	18.5%	2.9%	-0.6%	133.0M	-3.35B	-16.5M	0.98	37.40	53,817	52,882	2,005,561	2,553,515