XLF Options History — July 2022

In July 2022, XLF traded between $30.74 and $33.75. ATM implied volatility averaged 26.2%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.3% (HV 20d: 25.8%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.92.

Notable Days

2022-07-13: Highest Volume — 329,903 contracts
2022-07-15: Largest IV drop — 12.7% change
2022-07-14: Highest IV Rank — 52.9%
2022-07-13: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.25	$30.74	$33.75	$31.95	$33.75
Max Pain	$33.30	$33.00	$35.00	$34.00	$33.00
ATM IV	26.2%	22.0%	29.4%	27.5%	22.0%
Expected Move	7.4%	6.1%	8.4%	7.6%	6.1%
HV 20d	25.8%	22.4%	29.7%	29.5%	23.4%
HV 60d	27.9%	27.2%	29.0%	27.2%	28.1%
IV Rank	40.1%	23.8%	52.9%	45.1%	23.8%
IV Percentile	71.8%	46.4%	88.9%	79.8%	46.4%
Term Structure	-0.1%	-1.4%	0.6%	0.1%	0.2%
VWIV	27.3%	22.2%	32.3%	27.3%	22.2%
Skew 25d	6.1%	4.2%	6.9%	6.4%	4.2%
Skew 10d	11.9%	8.9%	13.6%	12.8%	8.9%
Call IV 25d	23.4%	19.8%	26.1%	24.9%	19.8%
Put IV 25d	29.5%	24.0%	32.8%	31.3%	24.0%
Bid-Ask Spread %	2.32	1.88	2.96	2.47	2.50
Gamma HHI	0.11	0.09	0.21	0.11	0.21
Net GEX	-55.5M	-138.9M	17.5M	-48.5M	17.5M
Net DEX	1.89B	580.1M	3.12B	2.19B	580.1M
Net VEX	-19.5M	-20.6M	-17.9M	-19.8M	-20.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	0.31	4.87	1.74	2.98
Total Volume	183,445.55	75,574	329,903	119,648	261,724
Total OI	3,919,940.45	3,755,924	4,183,308	3,863,516	4,090,024

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
2022-07-01	$31.95	$34.00	27.5%	7.6%	29.5%	45.1%	27.3%	6.4%	0.1%	-48.5M	2.19B	-19.8M	1.74	2.47	43,622	76,026	1,520,264	2,343,252
2022-07-05	$31.67	$34.00	29.4%	8.0%	29.5%	52.7%	32.0%	6.9%	0.2%	-61.7M	2.38B	-18.8M	0.31	2.12	162,411	51,093	1,496,860	2,326,608
2022-07-06	$31.83	$34.00	27.9%	7.8%	29.5%	46.7%	32.3%	6.3%	-0.1%	-51.8M	2.26B	-18.8M	1.78	2.21	36,912	65,749	1,451,684	2,338,425
2022-07-07	$32.14	$34.00	27.4%	7.8%	29.7%	44.7%	28.2%	6.3%	-0.3%	-29.3M	2.05B	-19.1M	1.77	2.00	62,292	110,385	1,463,023	2,344,142
2022-07-08	$32.20	$35.00	26.2%	7.4%	29.4%	40.2%	26.6%	5.7%	-0.4%	-26.5M	2.01B	-19.2M	1.32	2.17	125,764	165,905	1,478,548	2,386,411
2022-07-11	$31.78	$33.00	27.2%	7.7%	28.9%	44.0%	30.9%	6.4%	-0.4%	-76.2M	2.39B	-19.0M	2.32	1.88	40,044	92,974	1,496,553	2,413,554
2022-07-12	$31.62	$33.00	29.1%	7.9%	25.6%	51.4%	27.3%	6.6%	-1.4%	-84.7M	2.51B	-18.8M	1.18	2.13	77,850	91,762	1,510,793	2,454,494
2022-07-13	$31.38	$33.00	28.7%	8.4%	22.4%	49.8%	29.4%	6.8%	0.6%	-97.5M	2.67B	-18.5M	1.81	2.16	117,596	212,307	1,564,413	2,481,058
2022-07-14	$30.74	$33.00	29.4%	8.1%	23.5%	52.9%	29.9%	6.7%	-1.4%	-138.9M	3.12B	-17.9M	4.87	1.99	51,626	251,483	1,596,760	2,576,015
2022-07-15	$31.76	$33.00	25.7%	7.3%	25.8%	38.3%	26.9%	6.3%	-0.1%	-81.5M	2.29B	-18.9M	1.39	2.02	123,605	171,875	1,607,261	2,576,047
2022-07-18	$31.55	$33.00	27.1%	7.7%	23.4%	43.7%	30.4%	6.3%	0.3%	-80.5M	2.20B	-19.2M	1.90	2.92	71,454	135,833	1,413,791	2,342,133
2022-07-19	$32.68	$33.00	25.4%	7.3%	26.3%	37.0%	25.2%	6.3%	-0.2%	-44.9M	1.44B	-20.2M	1.00	2.16	59,285	59,082	1,425,470	2,368,653
2022-07-20	$32.74	$33.00	25.2%	7.2%	26.0%	36.2%	24.0%	6.3%	-0.1%	-42.8M	1.39B	-20.4M	1.59	2.54	29,190	46,384	1,441,697	2,392,736
2022-07-21	$32.85	$33.00	23.5%	6.7%	25.9%	29.8%	24.1%	5.8%	0.1%	-42.1M	1.35B	-20.3M	1.51	2.09	32,519	49,230	1,448,330	2,408,932
2022-07-22	$32.66	$33.00	24.5%	7.0%	25.9%	33.7%	28.2%	5.6%	0.2%	-56.4M	1.49B	-20.0M	4.13	2.96	34,667	143,168	1,455,683	2,422,371
2022-07-25	$32.89	$33.00	24.1%	6.9%	22.5%	32.2%	22.9%	6.1%	-0.0%	-51.3M	1.44B	-20.2M	0.70	2.45	83,239	58,046	1,405,761	2,436,713
2022-07-26	$32.49	$33.00	25.8%	7.4%	22.9%	38.7%	26.8%	6.4%	-0.2%	-60.3M	1.69B	-20.2M	2.04	2.74	44,316	90,603	1,451,451	2,458,138
2022-07-27	$33.10	$33.00	24.2%	6.9%	23.5%	32.3%	24.6%	5.7%	0.3%	-33.8M	1.23B	-20.4M	0.83	2.64	113,774	94,572	1,467,004	2,494,581
2022-07-28	$33.17	$33.00	23.3%	6.6%	23.3%	29.0%	26.2%	5.1%	0.1%	-18.4M	1.12B	-20.3M	3.29	2.19	30,420	100,124	1,530,496	2,518,680
2022-07-29	$33.75	$33.00	22.0%	6.1%	23.4%	23.8%	22.2%	4.2%	0.2%	17.5M	580.1M	-20.6M	2.98	2.50	65,811	195,913	1,533,020	2,557,004