XLF Options History — March 2022

In March 2022, XLF traded between $35.82 and $39.51. ATM implied volatility averaged 27.9%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.0% (HV 20d: 30.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.11.

Notable Days

2022-03-01: Highest Volume — 651,416 contracts
2022-03-04: Largest IV spike — 15.7% change
2022-03-07: Highest IV Rank — 85.4%
2022-03-07: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.01	$35.82	$39.51	$37.12	$38.53
Max Pain	$38.48	$37.00	$39.00	$39.00	$39.00
ATM IV	27.9%	20.4%	37.8%	33.7%	22.0%
Expected Move	8.5%	5.9%	12.8%	10.5%	6.2%
HV 20d	30.9%	26.3%	34.3%	27.3%	26.7%
HV 60d	24.8%	23.1%	25.8%	23.2%	24.8%
IV Rank	46.9%	17.6%	85.4%	69.6%	23.6%
IV Percentile	87.1%	60.7%	99.6%	99.6%	75.0%
Term Structure	-0.2%	-1.6%	0.9%	0.1%	0.3%
VWIV	32.6%	23.8%	48.7%	37.4%	25.5%
Skew 25d	8.5%	5.6%	12.8%	10.2%	6.2%
Skew 10d	16.9%	11.0%	25.7%	20.0%	12.5%
Call IV 25d	24.7%	18.1%	32.6%	29.7%	19.4%
Put IV 25d	33.1%	23.7%	45.4%	39.9%	25.5%
Bid-Ask Spread %	3.15	2.12	5.82	3.06	2.12
Gamma HHI	0.10	0.08	0.38	0.09	0.08
Net GEX	-85.0M	-215.1M	177.6M	-136.0M	-92.2M
Net DEX	1.16B	-710.9M	3.54B	2.27B	608.0M
Net VEX	-22.8M	-23.9M	-22.0M	-22.4M	-22.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.50	7.07	2.29	2.19
Total Volume	297,404.565	116,924	651,416	651,416	143,056
Total OI	4,525,313	3,735,570	5,184,424	4,195,416	4,201,594

Daily Data (23 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
2022-03-01	$37.12	$39.00	33.7%	10.5%	27.3%	69.6%	37.4%	10.2%	0.1%	-136.0M	2.27B	-22.4M	2.29	3.06	198,026	453,390	1,434,351	2,761,065
2022-03-02	$38.16	$39.00	29.9%	9.1%	28.4%	54.8%	36.4%	8.8%	-0.4%	-115.6M	1.35B	-23.2M	1.59	2.82	108,154	172,313	1,548,742	2,935,086
2022-03-03	$37.84	$39.00	29.8%	9.2%	28.3%	54.2%	32.3%	9.2%	-0.5%	-124.3M	1.60B	-23.1M	2.61	3.15	80,110	209,366	1,587,914	2,965,591
2022-03-04	$37.02	$39.00	34.4%	10.9%	28.9%	72.4%	47.3%	12.0%	-1.0%	-215.1M	2.54B	-23.4M	7.07	3.00	74,937	530,152	1,598,945	3,032,693
2022-03-07	$35.96	$39.00	37.8%	12.8%	28.8%	85.4%	48.7%	12.8%	-0.8%	-188.8M	3.39B	-22.9M	2.87	3.19	95,223	273,583	1,463,750	3,171,309
2022-03-08	$35.82	$39.00	36.4%	11.9%	28.8%	80.0%	44.8%	11.7%	-0.4%	-206.3M	3.54B	-23.1M	3.32	3.01	149,022	494,230	1,517,958	3,293,596
2022-03-09	$37.21	$39.00	33.9%	11.1%	32.1%	70.2%	39.1%	10.4%	-0.7%	-141.2M	2.13B	-23.9M	0.94	2.87	176,400	166,231	1,593,610	3,332,993
2022-03-10	$36.57	$39.00	33.1%	11.0%	32.1%	67.2%	42.5%	10.0%	-1.0%	-166.4M	2.72B	-23.7M	2.80	3.25	82,340	230,788	1,697,523	3,344,223
2022-03-11	$36.45	$39.00	33.3%	10.4%	32.0%	67.9%	38.3%	10.0%	0.9%	-175.4M	2.84B	-23.7M	3.25	5.82	54,235	176,486	1,717,944	3,392,077
2022-03-14	$36.82	$38.00	33.0%	9.0%	32.3%	66.7%	35.2%	10.1%	-0.7%	-174.1M	2.47B	-23.7M	2.09	4.10	111,202	232,566	1,648,782	3,398,940
2022-03-15	$37.38	$38.00	31.9%	8.8%	32.9%	62.7%	30.7%	9.0%	-1.6%	-111.3M	1.71B	-23.5M	1.07	3.55	102,949	110,052	1,704,139	3,347,843
2022-03-16	$38.23	$38.00	27.8%	7.9%	33.8%	46.4%	30.4%	7.3%	-0.6%	-53.9M	633.9M	-23.2M	1.31	5.59	133,481	175,088	1,748,387	3,351,598
2022-03-17	$38.83	$38.00	24.9%	7.3%	34.3%	35.1%	29.7%	7.3%	-0.4%	13.3M	-159.6M	-22.5M	1.12	2.84	121,674	135,962	1,767,964	3,385,117
2022-03-18	$39.07	$37.00	24.0%	6.9%	33.4%	31.6%	27.5%	6.7%	-0.2%	177.6M	-710.9M	-22.0M	0.68	3.31	198,440	135,782	1,774,715	3,409,709
2022-03-21	$38.70	$37.00	24.9%	6.8%	33.5%	35.0%	25.3%	7.4%	-0.0%	-55.3M	338.2M	-22.1M	0.50	2.93	144,023	72,668	1,179,321	2,556,249
2022-03-22	$39.45	$38.00	21.7%	6.6%	34.2%	22.6%	23.8%	6.6%	0.1%	-5.1M	-308.8M	-22.3M	1.17	2.44	120,029	140,944	1,280,545	2,585,211
2022-03-23	$38.87	$38.00	23.0%	6.8%	33.9%	27.6%	23.9%	6.9%	0.0%	-36.5M	189.7M	-22.9M	1.26	2.88	72,586	91,333	1,313,009	2,641,871
2022-03-24	$38.96	$38.00	22.7%	6.6%	33.4%	26.5%	27.7%	6.9%	0.0%	-40.0M	105.6M	-22.4M	2.13	2.50	58,281	124,204	1,333,682	2,677,358
2022-03-25	$39.42	$38.00	21.5%	6.6%	31.3%	21.8%	27.2%	6.8%	0.1%	-22.5M	-200.3M	-22.5M	2.24	2.60	69,205	154,927	1,332,645	2,754,129
2022-03-28	$39.31	$39.00	21.1%	6.5%	30.5%	20.5%	24.5%	6.5%	0.6%	-26.9M	-120.4M	-22.0M	1.39	2.35	48,953	67,971	1,308,895	2,753,363
2022-03-29	$39.51	$39.00	20.4%	5.9%	27.5%	17.6%	25.2%	5.6%	0.3%	-16.4M	-286.9M	-22.1M	1.94	2.47	72,341	140,468	1,325,272	2,770,077
2022-03-30	$39.10	$39.00	21.0%	6.2%	26.3%	19.9%	25.5%	6.1%	0.4%	-43.2M	99.6M	-22.3M	2.67	2.58	37,354	99,780	1,336,915	2,805,499
2022-03-31	$38.53	$39.00	22.0%	6.2%	26.7%	23.6%	25.5%	6.2%	0.3%	-92.2M	608.0M	-22.2M	2.19	2.12	44,885	98,171	1,344,870	2,856,724