XLF Options History — May 2021

In May 2021, XLF traded between $36.50 and $38.01. ATM implied volatility averaged 19.5%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.7% (HV 20d: 16.8%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.75.

Notable Days

2021-05-06: Highest Volume — 430,313 contracts
2021-05-12: Largest IV spike — 15.4% change
2021-05-12: Highest IV Rank — 23.1%
2021-05-12: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.44	$36.50	$38.01	$36.50	$38.01
Max Pain	$33.85	$33.00	$35.00	$35.00	$34.00
ATM IV	19.5%	17.3%	24.1%	18.0%	17.3%
Expected Move	5.6%	4.7%	6.7%	5.2%	4.7%
HV 20d	16.8%	14.0%	18.7%	14.1%	16.8%
HV 60d	17.3%	16.3%	18.3%	16.8%	16.3%
IV Rank	7.9%	0.7%	23.1%	2.9%	0.7%
IV Percentile	8.2%	0.8%	27.4%	2.8%	0.8%
Term Structure	0.4%	-0.8%	1.1%	0.5%	0.4%
VWIV	20.4%	17.6%	25.5%	18.2%	17.9%
Skew 25d	3.5%	2.3%	4.9%	2.7%	2.4%
Skew 10d	7.9%	4.8%	11.2%	6.6%	4.8%
Call IV 25d	18.5%	16.3%	22.2%	17.5%	16.3%
Put IV 25d	22.0%	18.7%	27.0%	20.2%	18.7%
Bid-Ask Spread %	9.85	1.75	32.98	16.75	2.21
Gamma HHI	0.15	0.11	0.35	0.15	0.35
Net GEX	173.2M	111.9M	342.8M	138.4M	342.8M
Net DEX	-3.93B	-4.73B	-3.28B	-3.41B	-4.08B
Net VEX	-18.1M	-21.2M	-15.5M	-16.9M	-17.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.22	1.59	0.59	0.59
Total Volume	211,091.95	107,140	430,313	137,358	156,369
Total OI	5,147,922.7	4,480,610	5,781,328	4,480,610	5,277,923

Daily Data (20 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
2021-05-03	$36.50	$35.00	18.0%	5.2%	14.1%	2.9%	18.2%	2.7%	0.5%	138.4M	-3.41B	-16.9M	0.59	16.75	86,276	51,082	1,970,164	2,510,446
2021-05-04	$36.59	$35.00	19.6%	5.7%	14.0%	8.2%	20.4%	3.2%	0.3%	148.2M	-3.39B	-17.4M	0.51	12.68	195,836	99,822	2,004,406	2,538,370
2021-05-05	$37.06	$35.00	18.7%	5.2%	14.4%	5.3%	19.0%	3.0%	0.3%	180.4M	-3.97B	-17.3M	0.39	2.69	169,347	65,661	2,078,305	2,577,423
2021-05-06	$37.48	$33.00	18.6%	5.8%	14.7%	4.9%	21.0%	2.9%	0.4%	168.6M	-4.39B	-15.5M	0.64	28.72	262,988	167,325	2,061,971	2,626,019
2021-05-07	$37.75	$33.00	17.7%	5.3%	14.7%	2.1%	20.9%	2.3%	0.4%	163.8M	-4.58B	-15.9M	0.91	1.75	137,517	125,662	2,106,193	2,702,013
2021-05-10	$37.92	$33.00	19.0%	5.6%	14.6%	6.2%	19.3%	3.1%	0.3%	146.7M	-4.50B	-16.1M	0.36	6.54	274,547	98,063	2,071,064	2,720,853
2021-05-11	$37.09	$33.00	20.9%	6.1%	16.8%	12.5%	21.9%	4.2%	0.3%	123.3M	-3.61B	-17.2M	1.32	2.25	73,963	97,914	2,163,127	2,795,896
2021-05-12	$36.72	$33.00	24.1%	6.7%	17.4%	23.1%	25.5%	4.8%	-0.8%	111.9M	-3.28B	-18.1M	1.28	2.50	106,971	137,433	2,248,682	2,828,710
2021-05-13	$37.50	$33.00	21.5%	6.4%	18.6%	14.4%	21.8%	4.5%	1.0%	144.7M	-4.10B	-19.4M	0.66	2.25	103,419	68,338	2,379,399	3,089,525
2021-05-14	$37.91	$34.00	19.2%	5.6%	18.7%	6.8%	19.8%	2.8%	0.4%	190.3M	-4.73B	-19.1M	0.73	10.58	162,022	118,153	2,422,084	3,130,234
2021-05-17	$37.97	$34.00	20.2%	5.8%	18.6%	10.2%	21.2%	4.0%	0.2%	173.2M	-4.62B	-18.5M	0.22	1.76	88,218	19,755	2,411,120	3,154,981
2021-05-18	$37.66	$34.00	19.7%	5.6%	17.5%	8.4%	22.1%	3.8%	1.1%	179.1M	-4.25B	-19.1M	1.28	1.96	48,114	61,725	2,449,053	3,174,102
2021-05-19	$37.06	$34.00	22.1%	6.3%	18.6%	16.2%	23.5%	4.9%	0.2%	136.0M	-3.30B	-21.2M	0.67	1.81	128,648	86,509	2,468,597	3,212,853
2021-05-20	$37.34	$34.00	20.8%	6.0%	18.2%	12.1%	20.1%	4.4%	-0.2%	171.3M	-3.82B	-19.5M	0.34	19.09	182,315	62,587	2,503,082	3,219,432
2021-05-21	$37.59	$34.00	19.3%	5.4%	17.5%	7.2%	20.2%	3.8%	1.1%	288.7M	-4.25B	-19.9M	0.65	32.98	94,373	61,421	2,565,190	3,216,138
2021-05-24	$37.84	$34.00	18.7%	5.2%	17.5%	5.3%	18.7%	3.3%	0.1%	174.1M	-3.82B	-17.7M	0.41	20.57	96,951	40,138	2,233,454	2,780,779
2021-05-25	$37.47	$34.00	19.1%	5.3%	18.0%	6.5%	19.9%	3.2%	1.0%	145.8M	-3.32B	-18.8M	1.59	25.94	41,304	65,836	2,221,989	2,804,693
2021-05-26	$37.53	$34.00	18.1%	5.0%	18.0%	3.2%	17.6%	3.1%	0.1%	153.3M	-3.38B	-18.4M	0.93	2.01	89,048	83,048	2,229,053	2,842,664
2021-05-27	$37.86	$34.00	17.9%	5.0%	17.3%	2.7%	18.4%	2.8%	0.2%	184.0M	-3.75B	-18.7M	0.95	2.02	109,268	103,873	2,268,846	2,899,621
2021-05-28	$38.01	$34.00	17.3%	4.7%	16.8%	0.7%	17.9%	2.4%	0.4%	342.8M	-4.08B	-17.6M	0.59	2.21	98,326	58,043	2,317,690	2,960,233