XLF Options History — June 2021 In June 2021, XLF traded between $35.35 and $38.47. ATM implied volatility averaged 18.7%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.0% (HV 20d: 15.7%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2021-06-30 : Highest Volume — 698,387 contracts2021-06-21 : Largest IV drop — 12.3% change2021-06-18 : Highest IV Rank — 20.4%2021-06-18 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $37.13 $35.35 $38.47 $38.18 $36.66 Max Pain $37.00 $35.00 $38.00 $35.00 $36.50 ATM IV 18.7% 17.0% 22.1% 18.8% 18.3% Expected Move 5.3% 4.9% 6.4% 5.1% 5.0% HV 20d 15.7% 11.9% 17.9% 16.7% 17.8% HV 60d 15.7% 14.6% 16.5% 15.9% 16.3% IV Rank 6.4% 0.0% 20.4% 5.6% 5.7% IV Percentile 10.0% 0.0% 21.4% 8.7% 8.7% Term Structure 0.1% -0.7% 1.0% 0.3% 0.2% VWIV 19.1% 17.6% 22.6% 17.8% 17.6% Skew 25d 2.5% 1.4% 3.5% 2.8% 3.5% Skew 10d 5.0% 2.3% 7.5% 5.6% 7.5% Call IV 25d 18.1% 16.4% 21.6% 17.8% 17.0% Put IV 25d 20.5% 17.9% 24.7% 20.6% 20.5% Bid-Ask Spread % 8.33 1.71 35.55 5.48 35.55 Gamma HHI 0.13 0.10 0.19 0.19 0.10 Net GEX 95.5M -96.3M 231.9M 209.7M 63.8M Net DEX -2.26B -4.22B 139.5M -4.09B -1.11B Net VEX -19.3M -21.7M -17.2M -18.2M -21.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.34 1.70 0.97 1.58 Total Volume 309,660.545 102,430 698,387 102,430 698,387 Total OI 5,333,503.5 4,641,064 6,424,732 5,248,366 5,018,163
Daily Data (22 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 2021-06-01 $38.18 $35.00 18.8% 5.1% 16.7% 5.6% 17.8% 2.8% 0.3% 209.7M -4.09B -18.2M 0.97 5.48 51,934 50,496 2,306,721 2,941,645 2021-06-02 $38.25 $35.00 19.0% 5.1% 16.7% 6.3% 18.3% 2.7% -0.4% 220.7M -4.14B -18.8M 0.57 2.23 189,488 107,590 2,318,146 2,982,376 2021-06-03 $38.42 $37.00 19.2% 5.5% 16.3% 6.7% 19.9% 2.4% -0.4% 202.6M -4.22B -18.5M 0.64 27.25 182,128 116,677 2,293,788 3,000,747 2021-06-04 $38.47 $38.00 17.7% 5.3% 15.9% 1.8% 18.1% 2.7% -0.5% 231.9M -4.22B -18.3M 0.37 20.04 115,244 42,867 2,296,900 3,038,159 2021-06-07 $38.19 $38.00 17.8% 5.2% 16.0% 2.3% 18.0% 2.2% 0.3% 153.4M -3.83B -17.3M 0.34 11.46 123,214 41,943 2,274,291 3,044,446 2021-06-08 $38.17 $38.00 18.2% 5.3% 15.9% 3.7% 20.2% 2.4% 0.2% 194.3M -3.91B -18.2M 0.98 2.11 126,941 124,267 2,359,163 3,063,944 2021-06-09 $37.76 $38.00 18.8% 5.4% 14.2% 5.4% 20.3% 2.2% 0.3% 150.3M -3.35B -19.0M 0.75 1.71 151,721 114,538 2,412,644 3,115,226 2021-06-10 $37.38 $38.00 17.9% 5.3% 14.2% 2.5% 19.0% 1.7% 0.6% 83.0M -2.68B -19.1M 1.09 2.00 75,605 82,372 2,450,618 3,145,226 2021-06-11 $37.47 $38.00 17.0% 5.1% 12.1% 0.0% 17.7% 1.5% 1.0% -20.5M -2.93B -17.4M 0.90 2.09 67,721 60,975 2,483,998 3,194,671 2021-06-14 $37.07 $38.00 18.4% 5.3% 12.0% 4.9% 18.7% 2.3% 0.2% 68.7M -2.37B -17.9M 0.62 1.75 204,081 126,417 2,440,167 3,173,825 2021-06-15 $37.32 $37.00 18.3% 5.3% 12.2% 4.5% 19.5% 1.8% -0.3% 174.2M -2.91B -17.2M 0.41 1.94 180,946 74,911 2,578,358 3,236,252 2021-06-16 $37.27 $37.00 18.9% 5.4% 11.9% 6.8% 19.6% 1.4% 0.2% 209.4M -2.87B -18.4M 0.47 16.84 423,691 198,833 2,690,140 3,266,767 2021-06-17 $36.17 $37.00 19.9% 5.7% 15.0% 11.4% 20.7% 2.1% -0.2% -68.9M -1.05B -18.3M 1.70 3.30 228,888 388,788 2,867,404 3,347,019 2021-06-18 $35.35 $37.00 22.1% 6.4% 16.4% 20.4% 22.6% 3.1% -0.7% -96.3M 139.5M -20.4M 1.10 2.21 313,901 345,992 2,881,874 3,542,858 2021-06-21 $35.84 $37.00 19.4% 5.5% 17.2% 10.0% 20.6% 3.1% 0.4% -32.0M -194.0M -20.9M 1.29 2.35 173,577 223,184 1,953,085 2,687,979 2021-06-22 $36.00 $37.00 19.3% 5.5% 17.0% 9.4% 19.7% 2.9% 0.5% -923.8K -449.5M -20.8M 0.67 2.13 118,036 79,297 2,036,946 2,647,543 2021-06-23 $36.16 $36.50 18.9% 5.3% 17.0% 7.8% 18.7% 3.0% 0.2% 15.0M -619.7M -21.1M 0.63 34.22 121,775 76,817 2,085,468 2,685,891 2021-06-24 $36.53 $36.50 18.6% 5.3% 17.5% 6.9% 18.6% 2.3% 0.4% 69.8M -1.15B -20.9M 0.35 2.25 177,495 62,727 2,140,279 2,708,624 2021-06-25 $36.97 $36.50 17.4% 4.9% 17.7% 1.7% 17.6% 2.4% 0.4% 143.1M -1.64B -20.7M 0.41 2.11 142,434 59,064 2,178,932 2,747,996 2021-06-28 $36.60 $36.50 19.1% 5.4% 17.9% 8.8% 18.4% 2.8% -0.2% 54.8M -1.13B -20.7M 0.40 2.07 212,711 85,410 2,035,786 2,726,691 2021-06-29 $36.53 $36.50 18.9% 5.3% 17.7% 8.3% 18.5% 2.7% 0.2% 75.4M -1.08B -21.5M 0.81 2.06 148,489 120,960 2,164,482 2,771,839 2021-06-30 $36.66 $36.50 18.3% 5.0% 17.8% 5.7% 17.6% 3.5% 0.2% 63.8M -1.11B -21.7M 1.58 35.55 270,331 428,056 2,175,960 2,842,203
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