XLF Options History — September 2021 In September 2021, XLF traded between $36.41 and $38.75. ATM implied volatility averaged 20.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.6% (HV 20d: 15.8%). Max pain ranged from $37.00 to $37.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.
Notable Days 2021-09-23 : Highest Volume — 358,291 contracts2021-09-20 : Largest IV spike — 32.5% change2021-09-20 : Highest IV Rank — 41.3%2021-09-20 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $37.80 $36.41 $38.75 $38.17 $37.66 Max Pain $37.02 $37.00 $37.50 $37.00 $37.00 ATM IV 20.3% 17.8% 25.7% 18.4% 24.0% Expected Move 5.9% 4.9% 7.6% 4.9% 7.1% HV 20d 15.8% 12.2% 20.0% 14.9% 20.0% HV 60d 19.1% 18.0% 20.0% 19.6% 19.9% IV Rank 17.4% 6.3% 41.3% 8.7% 34.0% IV Percentile 34.6% 6.7% 79.8% 15.1% 63.5% Term Structure 0.0% -1.0% 0.6% -0.1% 0.4% VWIV 21.3% 17.2% 28.0% 17.2% 24.3% Skew 25d 5.4% 3.3% 9.1% 3.8% 6.8% Skew 10d 11.2% 6.8% 19.0% 7.5% 14.6% Call IV 25d 18.5% 16.7% 22.2% 16.9% 21.3% Put IV 25d 23.9% 20.0% 31.4% 20.7% 28.1% Bid-Ask Spread % 9.76 1.98 39.69 9.27 3.04 Gamma HHI 0.11 0.09 0.16 0.16 0.09 Net GEX -6.9M -93.7M 113.2M 39.0M 31.8M Net DEX -1.29B -2.15B 78.3M -1.73B -1.06B Net VEX -22.0M -24.4M -20.1M -20.7M -24.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.36 3.05 0.97 0.77 Total Volume 172,668.714 51,358 358,291 230,402 126,224 Total OI 5,207,952.905 4,402,085 5,737,641 5,487,956 5,169,266
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 2021-09-01 $38.17 $37.00 18.4% 4.9% 14.9% 8.7% 17.2% 3.8% -0.1% 39.0M -1.73B -20.7M 0.97 9.27 117,114 113,288 1,889,096 3,598,860 2021-09-02 $38.17 $37.00 18.3% 5.3% 14.7% 8.4% 17.9% 3.9% 0.1% 10.3M -1.72B -20.9M 0.36 15.24 100,764 36,760 1,891,548 3,641,791 2021-09-03 $38.15 $37.00 17.8% 5.2% 12.9% 6.3% 17.8% 3.3% -0.0% -43.0M -1.72B -20.3M 1.38 1.98 43,692 60,184 1,907,892 3,675,532 2021-09-07 $37.91 $37.00 18.6% 5.3% 13.0% 9.7% 20.2% 3.9% 0.1% -14.1M -1.52B -20.1M 1.60 2.40 33,996 54,385 1,812,537 3,597,913 2021-09-08 $37.75 $37.00 18.9% 5.3% 12.6% 11.0% 20.0% 3.8% -0.5% -37.9M -1.27B -20.6M 0.88 2.37 93,076 81,609 1,823,867 3,622,559 2021-09-09 $37.99 $37.00 18.4% 5.3% 12.2% 8.9% 19.6% 4.4% 0.4% -21.3M -1.50B -20.9M 0.60 2.25 32,065 19,293 1,830,891 3,691,856 2021-09-10 $37.61 $37.00 19.6% 5.5% 12.6% 14.1% 21.1% 4.7% -0.4% -37.0M -1.09B -22.1M 1.86 2.59 51,120 94,846 1,853,435 3,725,110 2021-09-13 $37.95 $37.00 19.5% 5.6% 13.0% 13.7% 19.8% 5.3% 0.0% -20.4M -1.57B -20.5M 1.00 19.34 77,478 77,725 1,847,832 3,650,767 2021-09-14 $37.43 $37.00 21.9% 6.3% 13.7% 24.5% 20.7% 5.6% -1.0% -72.4M -826.5M -22.4M 0.50 2.42 67,987 33,767 1,857,732 3,691,315 2021-09-15 $37.91 $37.00 19.0% 5.4% 14.3% 11.4% 22.7% 5.1% 0.3% -6.7M -1.57B -21.6M 1.13 2.25 62,918 71,115 1,889,243 3,747,541 2021-09-16 $37.84 $37.00 18.6% 5.3% 14.2% 9.9% 21.9% 5.4% 0.1% 1.9M -1.49B -21.4M 3.05 2.23 26,541 80,978 1,910,069 3,773,079 2021-09-17 $37.55 $37.00 19.4% 5.5% 13.6% 13.2% 20.6% 5.7% 0.6% -92.0M -1.11B -21.8M 1.40 11.47 70,410 98,839 1,932,039 3,805,602 2021-09-20 $36.41 $37.00 25.7% 7.6% 17.2% 41.3% 28.0% 9.1% -0.4% -93.7M 78.3M -23.8M 2.19 24.47 71,678 157,274 1,434,985 2,967,100 2021-09-21 $36.65 $37.00 24.0% 6.9% 17.0% 33.8% 23.7% 8.3% -0.3% -93.2M 73.3M -23.2M 0.55 22.97 112,767 61,540 1,399,274 3,012,794 2021-09-22 $37.20 $37.00 21.3% 6.2% 17.9% 21.6% 21.6% 7.2% 0.2% -58.7M -526.9M -22.4M 0.96 9.40 82,778 79,322 1,429,700 3,117,377 2021-09-23 $38.06 $37.00 19.3% 5.5% 19.3% 12.7% 21.1% 5.3% 0.0% 23.8M -1.34B -22.4M 0.61 3.19 222,988 135,303 1,472,588 3,159,467 2021-09-24 $38.30 $37.00 18.8% 5.4% 19.4% 10.8% 20.0% 4.7% 0.4% 39.1M -1.63B -22.3M 0.46 5.91 215,174 98,841 1,505,722 3,195,795 2021-09-27 $38.75 $37.00 19.9% 5.8% 19.3% 15.4% 20.3% 4.6% 0.4% 93.6M -2.15B -22.8M 0.52 39.69 177,242 92,214 1,621,313 3,147,820 2021-09-28 $38.17 $37.00 22.9% 6.7% 19.5% 28.9% 24.8% 6.2% 0.3% 92.1M -1.69B -23.3M 0.47 6.59 191,107 89,909 1,746,414 3,202,687 2021-09-29 $38.18 $37.50 22.6% 6.7% 19.5% 27.6% 23.4% 6.1% 0.4% 113.2M -1.76B -24.0M 0.83 15.79 61,038 50,694 1,855,643 3,260,960 2021-09-30 $37.66 $37.00 24.0% 7.1% 20.0% 34.0% 24.3% 6.8% 0.4% 31.8M -1.06B -24.4M 0.77 3.04 71,252 54,972 1,856,919 3,312,347
« Aug 2021 | All History | Oct 2021 » Home XLF History September 2021