XLF Options History — April 2022

In April 2022, XLF traded between $34.65 and $38.06. ATM implied volatility averaged 24.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.2% (HV 20d: 17.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.55.

Notable Days

2022-04-14: Highest Volume — 527,453 contracts
2022-04-22: Largest IV spike — 16.1% change
2022-04-29: Highest IV Rank — 53.7%
2022-04-29: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.00	$34.65	$38.06	$38.06	$34.65
Max Pain	$38.00	$37.00	$39.00	$39.00	$37.00
ATM IV	24.1%	20.0%	29.7%	21.8%	29.7%
Expected Move	7.0%	5.7%	8.8%	6.5%	8.8%
HV 20d	17.9%	14.5%	25.8%	25.8%	19.4%
HV 60d	24.4%	23.8%	25.0%	24.8%	25.0%
IV Rank	32.1%	16.0%	53.7%	23.1%	53.7%
IV Percentile	80.7%	53.2%	94.4%	73.4%	94.4%
Term Structure	-0.1%	-0.7%	1.1%	0.4%	-0.6%
VWIV	25.3%	19.6%	29.6%	26.4%	29.0%
Skew 25d	7.2%	5.8%	9.5%	6.3%	9.5%
Skew 10d	14.0%	11.2%	18.0%	13.4%	18.0%
Call IV 25d	21.0%	17.6%	25.3%	19.1%	25.3%
Put IV 25d	28.2%	23.8%	34.8%	25.4%	34.8%
Bid-Ask Spread %	2.73	2.08	4.98	2.18	4.75
Gamma HHI	0.13	0.08	0.52	0.11	0.12
Net GEX	-141.9M	-521.9M	-55.8M	-131.9M	-147.7M
Net DEX	1.68B	585.0M	3.36B	1.03B	3.36B
Net VEX	-22.9M	-23.6M	-21.8M	-21.8M	-22.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.36	2.75	0.94	2.75
Total Volume	231,521.6	109,533	527,453	332,984	221,267
Total OI	4,272,880.55	3,909,474	4,829,408	4,012,662	4,367,113

Daily Data (20 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
2022-04-01	$38.06	$39.00	21.8%	6.5%	25.8%	23.1%	26.4%	6.3%	0.4%	-131.9M	1.03B	-21.8M	0.94	2.18	171,973	161,011	1,315,946	2,696,716
2022-04-04	$38.01	$39.00	21.2%	6.2%	23.2%	20.6%	23.2%	5.8%	-0.1%	-94.6M	928.9M	-22.3M	1.94	2.53	69,776	135,631	1,451,276	2,696,790
2022-04-05	$37.78	$39.00	21.7%	6.3%	23.3%	22.7%	23.2%	6.1%	0.1%	-106.8M	1.17B	-22.8M	2.55	2.17	46,065	117,393	1,497,475	2,745,431
2022-04-06	$37.55	$39.00	23.1%	6.4%	19.4%	28.1%	28.3%	6.9%	0.1%	-127.7M	1.44B	-22.9M	1.70	2.43	83,230	141,817	1,480,273	2,773,905
2022-04-07	$37.64	$38.00	23.2%	6.5%	18.2%	28.3%	25.3%	6.6%	0.2%	-127.4M	1.35B	-22.8M	1.22	2.54	89,476	109,489	1,509,746	2,830,384
2022-04-08	$37.98	$38.00	22.3%	6.5%	18.3%	24.8%	26.1%	6.5%	0.4%	-124.6M	968.8M	-23.0M	0.46	2.08	207,855	95,954	1,540,611	2,870,197
2022-04-11	$37.75	$38.00	24.8%	6.9%	18.3%	34.5%	23.7%	7.0%	-0.7%	-78.0M	1.04B	-23.3M	1.45	2.37	71,464	103,265	1,617,956	2,892,096
2022-04-12	$37.23	$38.00	26.1%	7.4%	18.2%	39.8%	24.6%	7.5%	-0.3%	-121.7M	1.75B	-23.6M	1.40	2.22	87,767	122,887	1,668,510	2,949,347
2022-04-13	$37.31	$38.00	23.0%	6.9%	16.2%	27.7%	24.8%	7.0%	1.1%	-138.3M	1.72B	-23.5M	2.73	2.53	85,072	232,290	1,703,031	3,014,822
2022-04-14	$37.01	$38.00	22.9%	6.6%	15.1%	27.3%	25.8%	6.3%	-0.1%	-521.9M	2.14B	-23.1M	0.93	2.29	273,486	253,967	1,718,666	3,110,742
2022-04-18	$37.00	$38.00	23.7%	6.8%	14.8%	30.4%	24.1%	6.9%	-0.2%	-133.0M	1.67B	-22.8M	0.93	2.21	78,539	73,305	1,306,774	2,602,700
2022-04-19	$37.60	$38.00	21.3%	6.1%	16.0%	21.2%	19.6%	6.2%	0.3%	-101.4M	1.10B	-22.6M	0.36	2.38	198,780	71,684	1,332,887	2,615,915
2022-04-20	$37.93	$38.00	20.0%	5.7%	14.5%	16.0%	21.9%	6.2%	0.0%	-55.8M	585.0M	-23.0M	0.82	2.58	134,428	110,768	1,459,050	2,626,991
2022-04-21	$37.28	$38.00	22.1%	6.3%	14.8%	24.2%	21.7%	7.0%	-0.0%	-91.8M	1.20B	-23.4M	1.55	2.55	42,903	66,630	1,512,703	2,629,089
2022-04-22	$36.43	$38.00	25.6%	7.4%	16.5%	38.0%	25.8%	7.4%	-0.3%	-150.7M	1.95B	-23.3M	2.03	2.38	44,244	89,632	1,534,855	2,642,810
2022-04-25	$36.24	$38.00	26.8%	7.8%	15.5%	42.5%	28.1%	8.1%	-0.4%	-127.8M	2.08B	-22.8M	2.31	2.70	70,406	162,679	1,486,828	2,613,527
2022-04-26	$35.43	$37.00	29.0%	8.5%	16.8%	51.0%	28.6%	9.1%	-0.5%	-142.2M	2.70B	-22.7M	2.32	2.89	63,686	147,497	1,516,439	2,672,004
2022-04-27	$35.34	$37.00	28.2%	8.3%	16.4%	48.0%	29.6%	8.5%	-0.7%	-154.2M	2.81B	-22.5M	1.86	3.77	60,625	112,558	1,472,853	2,712,023
2022-04-28	$35.74	$37.00	26.4%	7.8%	17.3%	40.8%	25.6%	8.4%	-0.3%	-160.8M	2.57B	-22.8M	0.67	4.98	132,670	88,263	1,509,823	2,759,307
2022-04-29	$34.65	$37.00	29.7%	8.8%	19.4%	53.7%	29.0%	9.5%	-0.6%	-147.7M	3.36B	-22.0M	2.75	4.75	58,960	162,307	1,588,956	2,778,157