XLF Options History — December 2021

In December 2021, XLF traded between $37.53 and $39.47. ATM implied volatility averaged 22.7%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.0% (HV 20d: 22.7%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.19.

Notable Days

2021-12-17: Highest Volume — 557,072 contracts
2021-12-02: Largest IV spike — 59.2% change
2021-12-02: Highest IV Rank — 100.0%
2021-12-03: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.80	$37.53	$39.47	$37.91	$39.15
Max Pain	$36.59	$35.00	$38.00	$38.00	$37.00
ATM IV	22.7%	18.1%	41.5%	26.1%	18.6%
Expected Move	6.3%	5.1%	9.4%	8.0%	5.2%
HV 20d	22.7%	17.7%	26.1%	17.7%	21.2%
HV 60d	18.9%	18.0%	19.7%	18.2%	18.5%
IV Rank	27.7%	8.5%	100.0%	64.2%	10.7%
IV Percentile	60.7%	18.7%	100.0%	96.0%	30.6%
Term Structure	-0.5%	-18.1%	1.8%	1.8%	0.2%
VWIV	23.4%	17.9%	39.3%	28.6%	18.8%
Skew 25d	7.2%	4.0%	23.9%	6.6%	4.8%
Skew 10d	10.9%	1.3%	17.5%	1.3%	9.0%
Call IV 25d	20.3%	16.8%	31.8%	31.8%	16.8%
Put IV 25d	27.5%	21.0%	48.9%	38.4%	21.5%
Bid-Ask Spread %	29.02	5.53	49.74	6.25	7.91
Gamma HHI	0.10	0.08	0.14	0.08	0.09
Net GEX	-18.7M	-115.1M	58.9M	-81.6M	26.9M
Net DEX	-659.2M	-1.66B	584.1M	178.3M	-910.9M
Net VEX	-22.1M	-25.8M	-20.3M	-23.7M	-20.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.23	2.42	1.08	1.37
Total Volume	199,032.455	72,803	557,072	188,623	159,767
Total OI	4,805,052.318	3,985,148	5,376,985	5,110,250	4,230,457

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
2021-12-01	$37.91	$38.00	26.1%	8.0%	17.7%	64.2%	28.6%	6.6%	1.8%	-81.6M	178.3M	-23.7M	1.08	6.25	90,890	97,733	1,897,770	3,212,480
2021-12-02	$38.72	$38.00	41.5%	8.2%	19.6%	100.0%	33.1%	23.9%	-18.1%	-22.6M	-667.6M	-23.9M	1.98	5.88	122,962	242,923	1,900,623	3,248,671
2021-12-03	$37.86	$38.00	29.6%	9.4%	20.1%	53.5%	39.3%	21.9%	0.5%	-115.1M	584.1M	-25.8M	1.30	24.46	61,666	80,329	1,902,220	3,465,134
2021-12-06	$38.60	$36.00	30.4%	7.2%	21.5%	56.6%	26.0%	8.3%	0.0%	-67.2M	-318.2M	-24.2M	1.77	14.40	64,848	114,941	1,841,458	3,400,624
2021-12-07	$39.19	$36.00	21.6%	6.4%	22.2%	22.1%	21.7%	6.2%	0.4%	-4.1M	-1.15B	-22.4M	1.36	40.59	79,194	107,531	1,860,567	3,392,545
2021-12-08	$39.20	$36.00	20.7%	6.1%	22.2%	18.8%	21.1%	5.4%	0.4%	-2.9M	-1.10B	-22.2M	1.15	40.95	44,262	51,017	1,888,936	3,435,826
2021-12-09	$39.08	$36.00	21.1%	6.2%	22.2%	20.2%	22.8%	6.0%	0.4%	-23.6M	-1.04B	-22.2M	1.18	49.58	60,261	70,810	1,893,792	3,444,790
2021-12-10	$39.03	$36.00	19.7%	5.8%	22.1%	14.6%	22.1%	5.3%	0.8%	-50.6M	-975.3M	-21.6M	1.03	49.74	66,824	69,030	1,910,351	3,466,634
2021-12-13	$38.69	$36.00	20.9%	5.9%	22.2%	19.7%	22.7%	6.0%	-0.8%	-62.6M	-637.5M	-21.5M	1.00	43.29	68,039	67,723	1,791,510	3,399,615
2021-12-14	$38.92	$36.00	21.5%	6.2%	22.4%	21.9%	21.8%	6.3%	0.2%	-39.9M	-936.2M	-21.9M	0.87	37.27	122,031	105,846	1,827,271	3,434,015
2021-12-15	$38.93	$36.00	20.7%	5.9%	22.4%	18.7%	25.4%	5.4%	0.0%	-17.8M	-968.4M	-22.5M	2.42	42.00	109,959	266,339	1,874,745	3,484,934
2021-12-16	$39.47	$35.00	21.2%	6.4%	22.8%	20.7%	24.1%	5.8%	1.2%	58.9M	-1.66B	-21.4M	0.66	41.78	154,477	102,330	1,882,737	3,378,596
2021-12-17	$38.74	$35.00	22.7%	6.3%	23.6%	26.5%	22.5%	6.0%	-1.1%	-54.9M	-735.1M	-22.3M	0.23	41.30	453,359	103,713	1,889,940	3,423,951
2021-12-20	$37.53	$37.00	26.4%	7.5%	25.8%	40.8%	28.1%	7.4%	-0.2%	-60.2M	581.2M	-22.3M	0.52	42.30	178,216	93,548	1,321,442	2,663,706
2021-12-21	$38.33	$37.00	22.3%	6.4%	26.0%	25.1%	22.6%	5.9%	0.3%	-35.8M	-65.0M	-22.2M	0.89	39.22	84,213	74,549	1,351,446	2,702,805
2021-12-22	$38.57	$37.00	20.6%	5.9%	25.8%	18.3%	19.4%	5.5%	0.5%	-15.2M	-346.4M	-21.5M	1.34	10.94	66,200	88,833	1,370,032	2,719,828
2021-12-23	$38.92	$37.00	19.3%	5.5%	26.1%	13.1%	19.2%	4.7%	0.4%	8.0M	-586.2M	-21.8M	1.03	5.59	76,944	78,974	1,400,109	2,762,605
2021-12-27	$39.13	$37.00	19.5%	5.5%	24.0%	14.0%	19.0%	5.1%	0.2%	36.4M	-863.2M	-20.8M	0.74	5.53	41,886	30,917	1,395,555	2,729,832
2021-12-28	$39.31	$37.00	18.4%	5.2%	24.1%	9.9%	17.9%	4.6%	0.5%	48.6M	-1.02B	-20.3M	0.89	8.61	102,650	91,542	1,392,973	2,736,430
2021-12-29	$39.27	$37.00	18.1%	5.1%	22.6%	8.5%	18.6%	4.4%	0.4%	37.4M	-961.0M	-20.6M	1.04	42.12	66,276	69,194	1,407,386	2,757,972
2021-12-30	$39.15	$37.00	18.7%	5.2%	22.4%	11.0%	20.1%	4.0%	0.4%	27.3M	-904.5M	-20.6M	2.41	38.67	28,141	67,827	1,435,363	2,783,475
2021-12-31	$39.15	$37.00	18.6%	5.2%	21.2%	10.7%	18.8%	4.8%	0.2%	26.9M	-910.9M	-20.3M	1.37	7.91	67,362	92,405	1,441,243	2,789,214