XLF Options History — November 2021

In November 2021, XLF traded between $38.15 and $40.59. ATM implied volatility averaged 19.2%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.0% (HV 20d: 14.2%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.31.

Notable Days

2021-11-19: Highest Volume — 484,720 contracts
2021-11-26: Largest IV spike — 26.8% change
2021-11-26: Highest IV Rank — 58.8%
2021-11-30: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.82	$38.15	$40.59	$40.29	$38.15
Max Pain	$38.05	$37.00	$39.00	$39.00	$38.00
ATM IV	19.2%	16.9%	25.2%	16.9%	24.9%
Expected Move	5.6%	4.9%	7.8%	4.9%	7.8%
HV 20d	14.2%	11.7%	17.8%	15.3%	17.8%
HV 60d	16.7%	16.2%	18.2%	16.5%	18.2%
IV Rank	20.5%	4.5%	58.8%	4.5%	56.5%
IV Percentile	33.1%	4.0%	92.5%	4.0%	89.3%
Term Structure	-0.0%	-2.8%	0.9%	0.3%	-0.1%
VWIV	20.6%	16.5%	32.0%	16.7%	26.6%
Skew 25d	3.8%	1.8%	7.4%	3.6%	7.4%
Skew 10d	8.6%	-0.7%	35.5%	8.0%	-0.7%
Call IV 25d	18.5%	16.0%	26.7%	16.1%	26.5%
Put IV 25d	22.3%	19.2%	34.0%	19.8%	34.0%
Bid-Ask Spread %	13.58	1.83	34.52	10.59	2.92
Gamma HHI	0.12	0.08	0.43	0.11	0.08
Net GEX	49.4M	-414.5M	177.6M	65.9M	-84.0M
Net DEX	-2.01B	-2.95B	-44.2M	-2.68B	-44.2M
Net VEX	-22.3M	-24.1M	-20.9M	-21.6M	-23.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.44	3.12	1.36	0.77
Total Volume	232,291.667	138,014	484,720	170,848	242,768
Total OI	5,230,787.524	4,741,438	5,712,708	4,946,920	5,028,933

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
2021-11-01	$40.29	$39.00	16.9%	4.9%	15.3%	4.5%	16.7%	3.6%	0.3%	65.9M	-2.68B	-21.6M	1.36	10.59	72,443	98,405	1,713,911	3,233,009
2021-11-02	$40.41	$39.00	17.2%	5.0%	14.1%	6.5%	17.8%	3.4%	0.3%	81.3M	-2.84B	-21.5M	1.03	34.52	90,320	93,056	1,752,716	3,241,348
2021-11-03	$40.59	$39.00	17.0%	4.9%	14.0%	6.1%	16.5%	3.2%	0.5%	88.8M	-2.95B	-21.6M	0.51	2.44	189,926	97,699	1,751,367	3,270,178
2021-11-04	$39.88	$37.00	18.3%	5.6%	15.6%	15.1%	20.6%	3.8%	0.4%	58.2M	-2.13B	-23.5M	1.34	16.62	127,830	171,098	1,892,705	3,329,296
2021-11-05	$40.03	$37.00	18.3%	5.5%	15.5%	15.3%	21.5%	3.5%	0.4%	136.0M	-2.44B	-23.3M	2.67	2.22	85,545	228,603	1,968,126	3,376,397
2021-11-08	$40.22	$38.00	18.6%	5.5%	15.0%	16.8%	21.0%	3.8%	0.4%	95.9M	-2.51B	-23.1M	3.12	2.07	33,459	104,555	1,925,933	3,443,728
2021-11-09	$40.02	$38.00	19.1%	5.6%	14.9%	20.0%	19.7%	3.8%	0.2%	61.9M	-2.17B	-23.4M	0.74	29.45	126,122	93,792	1,928,894	3,439,654
2021-11-10	$39.95	$38.00	19.2%	5.6%	14.7%	20.6%	21.7%	3.9%	0.2%	64.4M	-2.15B	-23.4M	2.11	32.41	47,104	99,562	1,952,937	3,465,884
2021-11-11	$40.14	$38.00	18.5%	5.4%	13.9%	16.5%	20.1%	3.6%	0.4%	83.9M	-2.38B	-22.4M	1.11	1.83	72,738	81,017	1,965,920	3,493,605
2021-11-12	$40.12	$38.00	18.1%	5.3%	12.5%	13.9%	19.6%	3.1%	0.4%	131.6M	-2.57B	-21.7M	0.86	9.64	85,850	73,946	2,011,228	3,496,506
2021-11-15	$40.14	$38.00	17.3%	5.0%	12.5%	9.0%	16.6%	3.4%	0.3%	177.6M	-2.69B	-20.9M	0.44	17.49	153,127	66,751	2,029,588	3,411,013
2021-11-16	$40.13	$38.00	17.0%	4.9%	12.2%	7.0%	17.0%	3.3%	0.3%	176.7M	-2.62B	-20.9M	0.63	30.79	110,507	69,064	2,026,283	3,423,741
2021-11-17	$39.70	$38.00	17.3%	5.0%	12.4%	8.6%	17.3%	3.6%	0.9%	56.9M	-1.87B	-21.1M	1.55	27.16	108,896	168,683	2,065,064	3,448,124
2021-11-18	$39.47	$38.00	18.8%	5.4%	12.5%	18.5%	17.9%	3.6%	-0.6%	-5.9M	-1.49B	-21.5M	1.35	9.79	97,178	131,420	2,110,765	3,527,123
2021-11-19	$39.00	$38.00	19.7%	5.6%	11.7%	23.8%	21.3%	4.2%	-0.2%	-414.5M	-667.6M	-22.0M	2.35	1.88	144,580	340,140	2,129,141	3,583,567
2021-11-22	$39.76	$38.00	18.9%	5.3%	14.0%	19.0%	19.3%	3.2%	-0.4%	48.2M	-1.76B	-21.8M	0.82	19.77	111,685	91,046	1,706,846	3,034,592
2021-11-23	$40.15	$38.00	20.4%	5.8%	14.4%	28.3%	21.8%	3.5%	-0.4%	98.4M	-2.15B	-22.4M	0.87	11.03	120,267	104,146	1,749,810	3,055,324
2021-11-24	$40.10	$38.00	19.9%	5.6%	12.9%	25.1%	20.3%	3.8%	-2.8%	129.2M	-2.23B	-22.2M	1.32	16.41	68,432	90,347	1,849,048	3,103,002
2021-11-26	$38.94	$38.00	25.2%	7.5%	16.2%	58.8%	32.0%	6.3%	-0.9%	-11.1M	-737.4M	-24.1M	0.90	3.48	121,354	109,337	1,859,363	3,140,732
2021-11-29	$39.00	$38.00	22.3%	6.7%	16.3%	40.3%	26.6%	1.8%	0.0%	-2.9M	-1.02B	-22.7M	1.59	2.76	137,191	218,136	1,820,617	3,090,520
2021-11-30	$38.15	$38.00	24.9%	7.8%	17.8%	56.5%	26.6%	7.4%	-0.1%	-84.0M	-44.2M	-23.2M	0.77	2.92	137,057	105,711	1,847,890	3,181,043