XLF Options History — May 2022

Name: XLF Options Analytics - May 2022
Creator: Options Analysis Suite

In May 2022, XLF traded between $32.78 and $35.99. ATM implied volatility averaged 28.4%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.5% (HV 20d: 27.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.78.

Notable Days

2022-05-11: Highest Volume — 401,293 contracts
2022-05-05: Largest IV spike — 18.0% change
2022-05-09: Highest IV Rank — 62.5%
2022-05-10: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.13	$32.78	$35.99	$34.42	$35.60
Max Pain	$36.90	$36.00	$38.00	$37.00	$36.00
ATM IV	28.4%	23.2%	31.9%	29.5%	23.5%
Expected Move	8.3%	6.8%	9.4%	9.0%	7.3%
HV 20d	27.9%	19.3%	32.7%	19.3%	30.9%
HV 60d	26.3%	24.7%	27.5%	25.0%	25.8%
IV Rank	48.8%	28.3%	62.5%	53.1%	29.6%
IV Percentile	88.6%	71.4%	96.0%	93.7%	72.2%
Term Structure	-0.0%	-1.0%	1.5%	-0.3%	1.2%
VWIV	29.5%	24.6%	35.1%	31.8%	26.3%
Skew 25d	7.7%	5.8%	9.6%	9.6%	6.4%
Skew 10d	14.7%	10.7%	19.2%	19.2%	11.9%
Call IV 25d	25.1%	20.8%	28.5%	25.2%	21.4%
Put IV 25d	32.7%	26.6%	37.1%	34.8%	27.9%
Bid-Ask Spread %	2.83	2.12	3.91	3.29	3.42
Gamma HHI	0.12	0.08	0.16	0.13	0.10
Net GEX	-141.3M	-173.2M	-84.4M	-159.1M	-89.7M
Net DEX	3.15B	1.04B	4.46B	3.49B	1.08B
Net VEX	-21.3M	-23.1M	-19.9M	-21.6M	-21.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.56	5.89	5.89	0.56
Total Volume	221,847.19	116,292	401,293	320,983	214,681
Total OI	4,528,673.857	4,242,456	4,873,152	4,242,456	4,516,402

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
2022-05-02	$34.42	$37.00	29.5%	9.0%	19.3%	53.1%	31.8%	9.6%	-0.3%	-159.1M	3.49B	-21.6M	5.89	3.29	46,584	274,399	1,468,317	2,774,139
2022-05-03	$34.94	$37.00	27.7%	8.5%	20.5%	46.0%	30.4%	8.2%	0.1%	-157.2M	3.06B	-22.3M	1.51	2.50	63,122	95,469	1,488,072	2,831,660
2022-05-04	$35.99	$37.00	24.7%	7.4%	23.7%	34.4%	28.0%	7.1%	-0.0%	-132.5M	2.06B	-23.1M	1.99	3.91	59,190	117,822	1,515,078	2,831,982
2022-05-05	$34.86	$38.00	29.2%	8.4%	25.9%	51.8%	30.3%	8.4%	-0.2%	-146.4M	3.07B	-22.3M	3.18	3.77	44,385	141,172	1,546,033	2,831,014
2022-05-06	$34.75	$38.00	29.5%	8.2%	25.8%	53.0%	27.1%	8.1%	0.0%	-156.9M	3.22B	-22.1M	3.04	2.99	62,549	190,428	1,565,170	2,882,115
2022-05-09	$33.93	$38.00	31.9%	9.2%	26.3%	62.5%	33.2%	8.9%	0.2%	-156.1M	3.68B	-21.4M	3.27	2.18	41,072	134,114	1,545,826	2,841,047
2022-05-10	$33.50	$38.00	31.7%	9.4%	26.4%	61.6%	31.0%	8.8%	1.2%	-165.9M	4.07B	-20.7M	1.47	2.89	155,589	228,103	1,554,751	2,882,204
2022-05-11	$33.34	$38.00	30.6%	9.2%	26.2%	57.4%	29.8%	8.8%	1.5%	-163.5M	4.08B	-20.6M	0.74	2.12	230,695	170,598	1,558,411	2,895,320
2022-05-12	$32.86	$37.00	31.8%	9.2%	26.2%	62.2%	35.1%	8.6%	0.0%	-155.1M	4.35B	-20.6M	1.52	2.51	117,393	178,026	1,692,465	2,915,331
2022-05-13	$33.53	$37.00	29.1%	8.2%	27.9%	51.7%	29.3%	7.6%	-1.0%	-163.2M	3.88B	-21.1M	2.03	2.93	63,423	128,446	1,745,836	2,962,653
2022-05-16	$33.22	$37.00	28.9%	8.3%	27.9%	50.6%	31.5%	7.2%	-0.1%	-159.0M	4.11B	-20.1M	1.95	2.37	44,837	87,263	1,718,012	2,950,081
2022-05-17	$34.13	$37.00	26.4%	7.6%	29.2%	41.1%	26.2%	7.0%	-0.4%	-163.6M	3.37B	-21.1M	1.60	2.66	44,722	71,570	1,745,949	2,984,563
2022-05-18	$33.13	$37.00	30.6%	8.8%	30.0%	57.3%	31.8%	7.5%	-0.8%	-157.6M	4.16B	-20.1M	0.92	2.77	75,777	69,829	1,751,998	2,995,422
2022-05-19	$33.04	$37.00	29.6%	8.5%	29.8%	53.5%	30.5%	7.4%	-0.4%	-166.4M	4.32B	-20.0M	0.88	3.04	111,430	97,949	1,787,020	3,030,742
2022-05-20	$32.78	$36.00	28.8%	8.3%	29.1%	50.4%	29.1%	7.4%	-0.6%	-173.2M	4.46B	-19.9M	0.70	3.04	207,388	145,501	1,822,178	3,050,974
2022-05-23	$33.96	$36.00	28.2%	8.3%	32.5%	48.1%	28.1%	7.3%	-0.3%	-115.4M	2.48B	-21.4M	0.94	2.69	119,116	112,121	1,603,735	2,731,175
2022-05-24	$33.99	$36.00	28.5%	8.4%	31.7%	49.0%	29.7%	7.2%	-0.7%	-109.2M	2.48B	-21.4M	0.86	2.69	89,251	77,167	1,652,299	2,772,468
2022-05-25	$34.26	$36.00	27.1%	8.0%	31.9%	43.6%	27.9%	7.0%	1.0%	-102.5M	2.20B	-21.9M	1.21	2.78	62,083	74,840	1,690,338	2,815,418
2022-05-26	$35.03	$36.00	25.8%	7.5%	32.7%	38.8%	28.1%	6.4%	-0.2%	-90.0M	1.48B	-22.1M	1.38	2.46	90,263	124,309	1,699,934	2,842,701
2022-05-27	$35.51	$36.00	23.2%	6.8%	31.1%	28.3%	24.6%	5.8%	-0.9%	-84.4M	1.04B	-22.1M	1.72	2.40	72,214	123,901	1,725,238	2,888,080
2022-05-31	$35.60	$36.00	23.5%	7.3%	30.9%	29.6%	26.3%	6.4%	1.2%	-89.7M	1.08B	-21.5M	0.56	3.42	137,955	76,726	1,652,183	2,864,219