XLF Options History — June 2022

In June 2022, XLF traded between $30.81 and $35.24. ATM implied volatility averaged 27.7%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.3% (HV 20d: 29.1%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.18.

Notable Days

2022-06-10: Highest Volume — 485,588 contracts
2022-06-13: Largest IV spike — 19.4% change
2022-06-13: Highest IV Rank — 71.8%
2022-06-13: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.70	$30.81	$35.24	$35.07	$31.43
Max Pain	$34.52	$34.00	$36.00	$36.00	$34.00
ATM IV	27.7%	23.9%	34.3%	25.4%	28.6%
Expected Move	8.0%	6.8%	9.9%	7.6%	8.2%
HV 20d	29.1%	25.5%	31.6%	31.1%	28.7%
HV 60d	25.5%	23.9%	27.1%	25.3%	26.9%
IV Rank	46.2%	31.3%	71.8%	36.9%	49.5%
IV Percentile	83.4%	72.2%	98.4%	77.4%	85.3%
Term Structure	-0.3%	-1.7%	0.6%	-0.5%	-0.3%
VWIV	28.0%	24.6%	33.0%	27.3%	29.0%
Skew 25d	6.3%	5.6%	7.7%	6.4%	6.2%
Skew 10d	11.9%	10.6%	13.8%	12.0%	12.0%
Call IV 25d	25.1%	20.9%	30.5%	22.3%	26.2%
Put IV 25d	31.4%	27.1%	38.1%	28.7%	32.4%
Bid-Ask Spread %	2.83	2.22	3.64	2.84	3.12
Gamma HHI	0.14	0.10	0.48	0.11	0.10
Net GEX	-112.5M	-237.4M	-15.3M	-106.7M	-73.6M
Net DEX	2.75B	1.31B	4.82B	1.52B	2.57B
Net VEX	-19.6M	-22.3M	-17.6M	-22.3M	-19.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.33	4.65	2.13	1.72
Total Volume	205,577.667	75,985	485,588	114,289	141,242
Total OI	4,348,645.81	3,485,655	5,043,208	4,622,452	3,928,755

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
2022-06-01	$35.07	$36.00	25.4%	7.6%	31.1%	36.9%	27.3%	6.4%	-0.5%	-106.7M	1.52B	-22.3M	2.13	2.84	36,559	77,730	1,743,042	2,879,410
2022-06-02	$35.24	$35.00	24.2%	6.9%	29.1%	32.4%	24.6%	6.2%	-0.4%	-102.3M	1.31B	-22.2M	3.21	2.43	28,408	91,252	1,759,669	2,883,924
2022-06-03	$34.88	$35.00	23.9%	6.8%	27.0%	31.3%	24.6%	6.0%	-0.2%	-120.8M	1.66B	-21.9M	1.48	2.80	30,579	45,406	1,763,178	2,874,024
2022-06-06	$35.04	$35.00	24.7%	7.1%	27.0%	34.3%	27.7%	6.3%	0.1%	-112.3M	1.51B	-21.8M	1.96	2.96	37,146	72,843	1,753,595	2,856,100
2022-06-07	$35.24	$35.00	24.0%	6.9%	25.5%	31.7%	24.8%	5.9%	0.0%	-104.8M	1.31B	-21.7M	1.29	2.29	37,350	48,090	1,767,176	2,865,391
2022-06-08	$34.66	$35.00	24.6%	6.9%	25.8%	33.9%	26.1%	6.0%	-0.5%	-123.2M	1.86B	-21.1M	2.17	2.91	44,511	96,521	1,785,211	2,853,586
2022-06-09	$33.90	$35.00	26.0%	7.5%	27.1%	39.5%	26.1%	6.3%	0.0%	-152.3M	2.71B	-20.3M	2.75	2.22	32,800	90,044	1,803,582	2,899,663
2022-06-10	$32.60	$35.00	28.7%	8.1%	30.2%	50.0%	28.0%	6.9%	-0.7%	-166.1M	3.78B	-19.0M	4.07	2.64	95,827	389,761	1,819,082	2,883,698
2022-06-13	$31.47	$35.00	34.3%	9.9%	31.6%	71.8%	32.6%	7.7%	-1.7%	-163.4M	4.66B	-18.3M	4.65	3.05	64,269	299,161	1,806,862	3,040,429
2022-06-14	$31.27	$35.00	31.8%	9.2%	31.5%	62.3%	33.0%	7.0%	-1.3%	-174.1M	4.71B	-18.0M	1.73	2.87	104,305	180,366	1,848,516	3,077,289
2022-06-15	$31.75	$34.00	28.6%	8.2%	30.3%	49.5%	27.8%	6.1%	0.6%	-153.0M	4.17B	-18.3M	2.63	3.64	60,861	160,088	1,912,924	2,980,864
2022-06-16	$30.81	$34.00	31.6%	9.1%	30.3%	61.3%	32.5%	6.4%	-0.4%	-164.1M	4.82B	-17.6M	3.98	3.17	84,191	335,380	1,937,282	3,026,491
2022-06-17	$31.01	$34.00	30.3%	8.8%	30.5%	56.4%	29.7%	6.2%	-1.0%	-237.4M	4.69B	-17.9M	2.20	3.08	85,656	188,771	1,972,296	3,070,912
2022-06-21	$31.44	$34.00	28.7%	8.3%	31.0%	50.0%	30.0%	6.7%	0.1%	-69.2M	2.59B	-18.4M	1.78	2.44	58,730	104,434	1,318,697	2,166,958
2022-06-22	$31.37	$34.00	28.4%	8.2%	27.7%	49.0%	28.2%	6.6%	0.2%	-70.5M	2.54B	-18.3M	1.41	3.02	59,561	84,142	1,338,758	2,168,641
2022-06-23	$31.17	$34.00	29.4%	8.6%	27.7%	52.7%	29.7%	6.6%	0.2%	-73.6M	2.65B	-17.9M	2.77	2.64	54,300	150,201	1,385,299	2,181,396
2022-06-24	$32.35	$34.00	26.5%	7.6%	31.1%	41.5%	27.1%	5.6%	0.4%	-15.3M	1.92B	-19.7M	1.13	2.38	109,598	124,255	1,419,546	2,253,833
2022-06-27	$32.25	$34.00	27.2%	7.8%	29.7%	44.0%	25.1%	6.0%	-0.2%	-63.6M	2.09B	-19.1M	0.33	3.31	221,789	73,617	1,380,929	2,240,621
2022-06-28	$31.94	$34.00	27.2%	7.8%	29.0%	44.2%	26.0%	5.8%	0.1%	-50.9M	2.21B	-19.1M	1.29	2.95	67,555	87,397	1,536,461	2,280,944
2022-06-29	$31.73	$34.00	28.4%	8.1%	28.8%	48.9%	27.5%	5.8%	-0.1%	-65.5M	2.38B	-19.0M	1.10	2.70	77,488	84,947	1,540,416	2,316,112
2022-06-30	$31.43	$34.00	28.6%	8.2%	28.7%	49.5%	29.0%	6.2%	-0.3%	-73.6M	2.57B	-19.0M	1.72	3.12	52,011	89,231	1,580,130	2,348,625