XLF Options History — October 2021 In October 2021, XLF traded between $37.92 and $40.73. ATM implied volatility averaged 18.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.5% (HV 20d: 19.2%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.07.
Notable Days 2021-10-14 : Highest Volume — 286,845 contracts2021-10-14 : Largest IV drop — 13.0% change2021-10-04 : Highest IV Rank — 30.5%2021-10-04 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $39.39 $37.92 $40.73 $38.19 $40.32 Max Pain $38.21 $37.00 $39.00 $37.00 $39.00 ATM IV 18.8% 15.9% 23.3% 22.2% 16.5% Expected Move 5.4% 4.6% 6.6% 6.3% 4.8% HV 20d 19.2% 15.4% 22.0% 20.7% 15.7% HV 60d 17.4% 16.3% 19.4% 19.4% 17.0% IV Rank 11.2% 0.0% 30.5% 25.9% 2.5% IV Percentile 21.1% 0.0% 54.0% 48.4% 2.0% Term Structure 0.1% -0.7% 0.9% 0.5% 0.6% VWIV 19.6% 16.8% 23.7% 23.1% 18.4% Skew 25d 4.4% 2.5% 7.4% 6.1% 3.7% Skew 10d 9.9% 6.0% 17.6% 13.9% 7.3% Call IV 25d 17.4% 15.0% 20.9% 19.8% 15.3% Put IV 25d 21.8% 17.6% 28.3% 25.9% 19.0% Bid-Ask Spread % 13.33 2.06 40.05 2.39 3.69 Gamma HHI 0.13 0.10 0.24 0.11 0.10 Net GEX 101.9M 53.1M 205.4M 61.3M 57.7M Net DEX -2.44B -3.44B -1.40B -1.61B -2.80B Net VEX -22.7M -23.8M -21.7M -23.8M -21.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.31 2.38 1.14 2.38 Total Volume 189,786.905 99,045 286,845 139,355 166,554 Total OI 4,823,453.905 4,519,694 5,165,299 4,547,688 5,020,102
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 2021-10-01 $38.19 $37.00 22.2% 6.3% 20.7% 25.9% 23.1% 6.1% 0.5% 61.3M -1.61B -23.8M 1.14 2.39 65,096 74,259 1,737,410 2,810,278 2021-10-04 $37.92 $38.00 23.3% 6.6% 20.8% 30.5% 22.7% 7.4% 0.1% 53.1M -1.40B -23.3M 1.62 6.11 53,064 85,760 1,741,052 2,778,642 2021-10-05 $38.66 $38.00 21.7% 6.0% 21.8% 23.7% 23.7% 6.4% -0.0% 101.8M -2.04B -23.5M 0.53 13.01 64,928 34,117 1,763,034 2,801,823 2021-10-06 $38.56 $38.00 23.0% 6.3% 21.8% 29.4% 21.6% 6.9% -0.4% 87.7M -1.97B -23.3M 1.33 2.35 102,092 135,863 1,762,398 2,846,465 2021-10-07 $38.81 $38.00 20.8% 6.0% 21.8% 19.5% 20.4% 6.3% 0.0% 117.8M -2.19B -23.1M 0.68 19.88 164,288 111,752 1,786,665 2,865,283 2021-10-08 $39.07 $38.00 20.6% 6.0% 21.4% 18.7% 20.8% 5.2% -0.1% 205.4M -2.64B -22.9M 0.56 29.56 117,185 65,891 1,861,633 2,965,847 2021-10-11 $38.68 $38.00 21.4% 5.9% 21.7% 22.4% 23.0% 5.9% -0.7% 116.1M -2.08B -23.5M 1.18 6.03 73,947 87,443 1,897,750 3,016,564 2021-10-12 $38.43 $38.00 21.4% 6.4% 21.2% 22.3% 22.0% 5.8% 0.9% 91.1M -1.75B -23.8M 1.76 2.06 74,490 131,156 1,909,686 3,046,163 2021-10-13 $38.25 $38.00 20.3% 5.8% 20.8% 17.4% 20.5% 5.2% 0.1% 78.6M -1.40B -23.7M 0.31 33.39 186,547 57,217 1,936,327 3,129,654 2021-10-14 $38.84 $38.00 17.7% 5.1% 21.4% 5.6% 18.4% 3.8% 0.3% 139.0M -2.12B -23.0M 0.44 2.11 199,599 87,246 1,934,357 3,230,942 2021-10-15 $39.55 $38.00 17.0% 4.8% 22.0% 2.8% 17.6% 2.9% -0.3% 152.1M -3.03B -21.8M 0.38 40.05 167,031 62,726 1,858,158 3,239,120 2021-10-18 $39.52 $38.00 17.4% 5.0% 18.1% 4.4% 18.3% 3.2% -0.2% 83.0M -2.47B -21.7M 0.77 11.59 80,000 61,904 1,693,887 2,917,550 2021-10-19 $39.82 $38.00 16.5% 4.7% 18.2% 0.6% 18.9% 3.3% -0.2% 99.6M -2.62B -21.7M 0.54 2.52 74,377 40,035 1,699,435 2,958,649 2021-10-20 $40.17 $38.00 16.9% 4.9% 17.8% 2.3% 18.2% 3.0% -0.3% 131.9M -3.04B -22.3M 1.17 2.44 68,290 79,832 1,762,030 3,014,567 2021-10-21 $40.04 $38.50 16.6% 4.8% 16.5% 0.9% 16.8% 2.9% -0.1% 121.6M -2.86B -22.4M 2.22 35.18 74,414 164,964 1,755,855 3,056,922 2021-10-22 $40.63 $38.50 16.0% 4.6% 17.0% 0.0% 17.1% 2.7% 0.0% 124.1M -3.44B -22.0M 1.42 5.87 97,186 137,658 1,761,017 3,102,814 2021-10-25 $40.56 $38.50 16.1% 4.7% 16.7% 0.3% 17.0% 3.0% 0.6% 94.3M -3.10B -22.4M 1.70 28.14 60,099 102,383 1,721,003 3,135,509 2021-10-26 $40.73 $39.00 15.9% 4.7% 15.4% 0.0% 16.8% 2.5% 0.7% 81.3M -3.18B -22.1M 0.57 28.55 96,967 55,188 1,706,498 3,178,439 2021-10-27 $40.01 $39.00 16.5% 4.9% 17.1% 2.7% 18.5% 3.1% 0.5% 68.3M -2.60B -22.3M 0.69 2.16 131,737 90,852 1,733,968 3,178,393 2021-10-28 $40.33 $39.00 16.5% 4.8% 16.1% 2.4% 17.0% 3.4% 0.7% 73.8M -2.81B -22.2M 1.00 2.78 100,575 100,813 1,748,840 3,227,803 2021-10-29 $40.32 $39.00 16.5% 4.8% 15.7% 2.5% 18.4% 3.7% 0.6% 57.7M -2.80B -21.8M 2.38 3.69 49,330 117,224 1,746,249 3,273,853
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