XLF Options History — July 2021 In July 2021, XLF traded between $34.98 and $37.07. ATM implied volatility averaged 19.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.3% (HV 20d: 22.8%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.50.
Notable Days 2021-07-19 : Highest Volume — 903,965 contracts2021-07-19 : Largest IV spike — 24.3% change2021-07-19 : Highest IV Rank — 35.2%2021-07-19 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $36.41 $34.98 $37.07 $36.98 $36.52 Max Pain $36.71 $36.00 $37.00 $36.50 $37.00 ATM IV 19.5% 16.4% 24.3% 17.3% 19.7% Expected Move 5.5% 4.4% 6.9% 4.6% 5.6% HV 20d 22.8% 18.0% 25.5% 18.1% 24.8% HV 60d 18.8% 16.4% 20.3% 16.4% 19.9% IV Rank 13.4% 0.0% 35.2% 1.3% 14.8% IV Percentile 19.7% 0.0% 47.2% 1.2% 25.4% Term Structure 0.0% -0.6% 0.8% 0.6% 0.3% VWIV 20.6% 15.4% 27.7% 16.5% 20.3% Skew 25d 4.0% 2.7% 6.2% 2.9% 4.3% Skew 10d 8.4% 5.3% 13.3% 5.6% 11.1% Call IV 25d 18.1% 15.4% 21.9% 16.3% 18.2% Put IV 25d 22.1% 18.1% 28.2% 19.3% 22.5% Bid-Ask Spread % 3.93 1.61 36.68 1.97 36.68 Gamma HHI 0.13 0.10 0.34 0.12 0.34 Net GEX -37.8M -335.5M 141.9M 90.8M -335.5M Net DEX -436.3M -1.82B 1.64B -1.47B -484.1M Net VEX -22.4M -23.5M -20.4M -22.6M -21.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.36 4.31 0.63 4.27 Total Volume 264,549.286 44,242 903,965 261,100 298,197 Total OI 5,470,372.619 5,148,260 6,090,964 5,318,842 5,385,695
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 2021-07-01 $36.98 $36.50 17.3% 4.6% 18.1% 1.3% 16.5% 2.9% 0.6% 90.8M -1.47B -22.6M 0.63 1.97 160,032 101,068 2,190,799 3,128,043 2021-07-02 $36.93 $36.50 16.4% 4.4% 18.0% 0.0% 15.4% 2.7% 0.2% 141.9M -1.26B -23.0M 0.83 1.61 51,309 42,666 2,245,505 3,210,758 2021-07-06 $36.36 $36.00 18.0% 5.4% 18.6% 6.7% 21.3% 3.4% 0.0% -41.9M -322.0M -23.3M 2.19 1.92 205,359 450,678 2,073,320 3,183,855 2021-07-07 $36.43 $36.00 18.3% 5.5% 18.6% 7.9% 19.8% 3.4% 0.0% -6.8M -645.2M -22.6M 1.47 1.89 88,390 129,655 2,172,218 3,294,274 2021-07-08 $35.56 $36.00 21.1% 5.8% 20.0% 20.2% 21.4% 4.4% -0.3% -140.6M 876.0M -23.5M 1.08 1.81 141,494 152,163 2,181,116 3,386,560 2021-07-09 $36.68 $36.00 19.4% 5.5% 23.1% 12.9% 21.4% 3.3% 0.1% 57.1M -1.14B -23.2M 0.86 1.99 125,725 108,756 2,249,104 3,423,917 2021-07-12 $37.07 $36.00 18.9% 5.5% 23.5% 10.4% 19.2% 3.4% 0.3% 113.6M -1.82B -22.6M 0.36 1.73 213,589 76,202 2,217,803 3,454,278 2021-07-13 $36.72 $37.00 19.4% 5.4% 23.4% 12.7% 21.2% 3.5% -0.6% 49.3M -1.10B -22.0M 0.80 1.80 143,974 115,493 2,242,992 3,513,717 2021-07-14 $36.42 $37.00 19.0% 5.7% 23.4% 11.4% 19.6% 3.5% 0.8% -7.5M -383.5M -22.6M 0.87 1.94 199,995 174,752 2,263,452 3,549,697 2021-07-15 $36.59 $37.00 18.7% 5.3% 23.5% 10.1% 19.4% 3.1% -0.4% 60.7M -634.4M -22.3M 0.96 1.90 95,859 92,144 2,396,577 3,661,534 2021-07-16 $36.07 $37.00 19.6% 5.6% 21.5% 14.0% 19.2% 3.8% -0.2% -149.1M 560.7M -22.8M 1.96 2.29 57,994 113,858 2,394,198 3,696,766 2021-07-19 $34.98 $37.00 24.3% 6.9% 22.7% 35.2% 27.7% 6.2% -0.5% -167.3M 1.64B -23.1M 1.82 2.52 320,499 583,466 2,022,923 3,384,747 2021-07-20 $36.02 $37.00 20.7% 5.9% 24.6% 19.2% 22.2% 5.0% -0.3% -72.2M 46.3M -22.2M 1.75 2.72 48,956 85,689 1,950,216 3,241,313 2021-07-21 $36.62 $37.00 19.9% 5.7% 25.3% 15.6% 20.0% 4.2% -0.1% 2.8M -684.5M -22.0M 0.78 2.61 95,461 74,663 1,950,832 3,285,846 2021-07-22 $36.25 $37.00 20.2% 5.8% 25.5% 16.9% 21.6% 4.1% 0.0% -70.6M -122.7M -22.8M 1.14 2.45 112,951 128,930 1,993,389 3,318,090 2021-07-23 $36.25 $37.00 19.8% 5.6% 25.2% 14.9% 20.1% 4.5% 0.1% -87.1M -79.8M -22.7M 1.04 2.53 62,893 65,408 1,975,177 3,364,185 2021-07-26 $36.43 $37.00 19.5% 5.6% 24.9% 14.0% 20.2% 4.5% 0.1% -66.5M -439.8M -21.0M 0.99 2.38 22,274 21,968 1,871,857 3,276,403 2021-07-27 $36.41 $37.00 20.6% 5.9% 24.6% 18.5% 24.2% 5.1% 0.2% -76.6M -305.7M -22.2M 2.08 5.84 25,867 53,927 1,895,419 3,315,634 2021-07-28 $36.50 $37.00 20.1% 5.7% 24.7% 16.3% 21.2% 4.7% 0.0% -83.4M -370.5M -22.2M 1.31 1.87 94,113 123,212 1,903,462 3,335,817 2021-07-29 $36.84 $37.00 18.5% 5.2% 24.9% 9.4% 19.5% 4.3% 0.2% -5.1M -1.02B -20.4M 4.31 2.06 55,758 240,148 1,913,753 3,362,584 2021-07-30 $36.52 $37.00 19.7% 5.6% 24.8% 14.8% 20.3% 4.3% 0.3% -335.5M -484.1M -21.8M 4.27 36.68 56,582 241,615 1,975,594 3,410,101
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