XLF Options History — January 2022

In January 2022, XLF traded between $38.02 and $41.40. ATM implied volatility averaged 22.9%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.8% (HV 20d: 21.1%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2022-01-06: Highest Volume — 485,522 contracts
  • 2022-01-21: Largest IV spike — 11.7% change
  • 2022-01-25: Highest IV Rank — 48.3%
  • 2022-01-27: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.77$38.02$41.40$39.49$38.94
Max Pain$39.55$37.00$40.00$37.00$40.00
ATM IV22.9%18.2%28.3%18.6%22.9%
Expected Move6.6%5.0%8.5%5.2%6.8%
HV 20d21.1%18.7%22.8%19.6%21.4%
HV 60d19.8%18.5%20.5%18.5%20.5%
IV Rank27.1%8.9%48.3%10.5%27.4%
IV Percentile71.1%21.0%98.0%29.8%78.2%
Term Structure-0.1%-1.5%0.9%0.1%-0.0%
VWIV23.5%18.1%31.1%19.2%23.4%
Skew 25d6.0%3.9%9.1%4.4%7.0%
Skew 10d12.5%8.1%19.3%10.3%15.5%
Call IV 25d20.6%16.6%25.3%17.2%20.4%
Put IV 25d26.6%20.9%34.0%21.5%27.4%
Bid-Ask Spread %4.012.1313.812.893.33
Gamma HHI0.100.080.160.100.08
Net GEX16.6M-77.9M140.3M29.9M-52.0M
Net DEX-789.4M-2.64B1.28B-1.06B516.2M
Net VEX-22.0M-23.3M-20.1M-21.0M-22.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.452.630.570.82
Total Volume273,516.2140,738485,522172,032140,738
Total OI4,347,947.753,612,3395,001,8814,122,0273,848,421

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$39.49$37.0018.6%5.2%19.6%10.5%19.2%4.4%0.1%29.9M-1.06B-21.0M0.572.89109,84562,1871,391,5522,730,475
2022-01-04$40.68$37.0018.2%5.0%21.1%8.9%18.1%4.3%0.4%93.8M-2.19B-20.1M0.6113.81181,343109,8141,467,9662,758,427
2022-01-05$40.19$37.0020.2%5.7%21.1%16.9%20.8%4.8%0.2%65.6M-1.70B-20.7M0.9711.00102,06299,1151,498,6472,797,882
2022-01-06$40.71$40.0020.7%5.9%21.5%18.8%21.9%5.0%-0.0%82.7M-2.05B-21.7M0.642.65295,807189,7151,527,6682,822,094
2022-01-07$41.23$40.0020.7%6.0%21.8%18.6%20.6%4.4%0.4%118.3M-2.57B-22.2M0.452.13176,42379,6761,636,3332,864,271
2022-01-10$40.89$40.0021.9%6.3%22.1%23.4%21.7%4.7%-0.1%105.2M-2.20B-22.2M0.733.16196,662143,8631,655,3532,864,606
2022-01-11$41.30$40.0020.0%5.9%21.8%15.8%21.3%3.9%0.7%132.8M-2.60B-21.5M1.862.2982,739153,8371,658,4502,918,096
2022-01-12$41.40$40.0019.5%5.8%21.8%14.1%22.1%4.3%0.9%140.3M-2.64B-21.5M1.132.25127,253143,3801,667,3772,976,304
2022-01-13$41.25$40.0021.3%6.0%21.9%20.9%21.3%4.6%-0.3%110.6M-2.50B-21.9M2.632.14119,374313,3781,707,0293,039,950
2022-01-14$40.76$40.0020.4%5.9%22.1%17.5%21.1%4.7%0.4%31.1M-1.58B-22.8M1.532.43114,899175,8681,697,1223,224,088
2022-01-18$39.81$40.0022.4%6.4%22.8%25.5%22.7%6.1%-0.5%-22.4M-669.2M-22.0M2.032.6783,987170,5141,650,7643,143,373
2022-01-19$39.38$40.0023.4%6.7%19.8%29.1%22.4%5.9%-1.5%-51.8M-158.9M-22.1M1.022.15152,792155,5131,646,9343,193,318
2022-01-20$39.15$40.0023.1%6.6%18.7%27.9%21.8%5.5%-0.5%-47.0M-137.8M-21.8M2.002.4558,170116,3511,750,5213,182,619
2022-01-21$38.21$40.0025.8%7.5%20.6%38.5%26.0%7.3%-0.8%-64.2M790.1M-21.9M2.127.17107,135226,8671,775,7673,226,114
2022-01-24$38.02$40.0028.2%8.4%20.3%48.2%28.5%8.7%-0.2%-77.9M1.28B-22.6M1.484.16172,299255,3771,320,4662,291,873
2022-01-25$38.57$40.0028.3%8.4%21.0%48.3%29.1%9.1%-0.6%-58.6M812.9M-23.0M1.633.3379,221129,3481,308,8532,322,316
2022-01-26$38.48$40.0028.1%8.4%20.9%47.7%31.1%8.2%-0.3%-62.4M850.8M-22.7M1.723.7462,615107,9371,341,3792,375,374
2022-01-27$38.37$40.0028.2%8.5%20.9%47.9%29.1%8.7%-0.5%-71.5M974.4M-22.9M1.933.46100,760194,9181,359,4292,400,884
2022-01-28$38.47$40.0025.4%7.5%20.9%37.2%26.9%8.0%0.2%-71.2M1.06B-23.3M1.493.0971,610106,9321,411,6172,505,243
2022-01-31$38.94$40.0022.9%6.8%21.4%27.4%23.4%7.0%-0.0%-52.0M516.2M-22.1M0.823.3377,28363,4551,383,4062,465,015