XLF Options History — February 2022

In February 2022, XLF traded between $37.77 and $41.07. ATM implied volatility averaged 23.9%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.3% (HV 20d: 20.6%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.27.

Notable Days

  • 2022-02-24: Highest Volume — 520,435 contracts
  • 2022-02-28: Largest IV spike — 16.5% change
  • 2022-02-28: Highest IV Rank — 54.3%
  • 2022-02-28: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.65$37.77$41.07$39.67$38.40
Max Pain$39.84$39.00$40.00$39.50$39.00
ATM IV23.9%19.4%29.8%21.6%29.8%
Expected Move7.0%5.8%8.8%6.3%8.8%
HV 20d20.6%19.1%25.0%22.2%25.0%
HV 60d21.5%20.6%22.5%20.6%22.5%
IV Rank31.4%13.7%54.3%22.1%54.3%
IV Percentile80.9%48.4%99.2%69.4%99.2%
Term Structure-0.0%-1.3%1.1%0.0%-1.0%
VWIV26.4%21.2%31.5%22.5%31.5%
Skew 25d7.0%4.9%9.4%6.0%9.4%
Skew 10d14.0%10.7%16.8%13.8%16.6%
Call IV 25d21.2%17.9%25.7%18.9%25.7%
Put IV 25d28.2%22.8%35.1%25.0%35.1%
Bid-Ask Spread %2.982.154.612.933.73
Gamma HHI0.100.080.150.080.08
Net GEX-13.1M-141.1M131.3M542.5K-103.7M
Net DEX22.3M-1.68B1.89B-75.3M1.20B
Net VEX-22.6M-23.4M-22.0M-22.6M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.714.350.951.99
Total Volume256,097.684112,119520,435160,506285,117
Total OI4,221,931.2113,908,0744,635,5323,908,0744,134,606

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$39.67$39.5021.6%6.3%22.2%22.1%22.5%6.0%0.0%542.5K-75.3M-22.6M0.952.9382,25478,2521,428,8642,479,210
2022-02-02$39.90$39.5020.0%5.8%19.5%16.1%21.2%5.8%0.2%20.1M-342.7M-22.0M2.253.1834,47877,6411,432,6222,499,708
2022-02-03$39.43$40.0022.5%6.9%19.5%25.6%25.9%6.8%0.1%-16.4M43.9M-22.4M1.072.15169,908182,4811,447,8992,529,349
2022-02-04$40.28$40.0020.5%6.4%20.5%18.0%25.3%6.1%0.3%92.8M-868.3M-23.1M0.713.06142,096100,2571,575,9202,586,206
2022-02-07$40.23$40.0021.9%6.5%19.9%23.4%24.0%6.3%0.8%59.5M-873.9M-22.4M1.842.9765,044119,4731,567,7062,543,169
2022-02-08$40.76$40.0020.1%6.0%20.3%16.2%24.6%5.2%0.8%101.2M-1.37B-22.3M1.662.6776,388126,8161,581,5172,579,152
2022-02-09$41.07$40.0019.4%5.9%20.2%13.7%24.8%4.9%1.1%131.3M-1.68B-22.2M2.573.22108,766279,9771,595,5612,621,210
2022-02-10$40.60$40.0022.1%6.3%20.5%24.1%24.1%6.0%-0.1%60.7M-1.03B-23.0M3.722.8038,024141,4981,621,4432,739,774
2022-02-11$40.05$40.0025.3%7.4%21.0%36.7%27.5%7.3%0.5%20.9M-285.5M-23.4M4.353.1856,897247,3431,624,2562,755,068
2022-02-14$39.61$40.0025.7%7.3%20.9%38.3%28.7%8.1%0.7%-28.5M274.6M-23.2M2.682.9877,376207,0451,608,1562,782,867
2022-02-15$40.08$40.0023.6%6.8%19.7%30.2%25.7%7.2%-0.0%-2.7M-214.4M-22.9M3.142.2342,338133,0271,624,5172,872,852
2022-02-16$40.28$40.0022.4%6.4%19.3%25.4%22.8%6.8%-0.7%-475.0K-481.1M-22.2M2.792.6342,121117,4031,635,0652,929,153
2022-02-17$39.33$40.0026.0%7.5%21.1%39.4%31.3%7.8%-1.1%-84.7M759.6M-22.7M3.022.5263,274191,3581,646,4442,935,078
2022-02-18$39.31$40.0025.7%7.5%19.1%38.2%28.5%8.0%-1.3%-92.8M815.2M-22.8M4.042.8740,929165,1581,650,8072,984,725
2022-02-22$39.06$40.0026.6%7.8%19.1%41.6%27.8%8.1%-0.2%-89.5M787.6M-22.2M2.612.9957,548150,0281,352,1032,652,600
2022-02-23$38.32$40.0028.1%8.1%19.8%47.5%29.3%8.2%0.3%-109.4M1.37B-22.6M0.842.71192,998162,1271,384,3372,660,140
2022-02-24$37.77$40.0028.2%8.3%20.4%48.0%30.0%8.1%-0.9%-141.1M1.89B-22.2M1.824.61184,448335,9871,323,2492,653,485
2022-02-25$39.12$39.0025.6%7.5%24.1%37.8%26.0%7.3%-0.4%-66.0M507.6M-22.6M1.143.10135,685154,2961,442,7172,735,158
2022-02-28$38.40$39.0029.8%8.8%25.0%54.3%31.5%9.4%-1.0%-103.7M1.20B-22.5M1.993.7395,411189,7061,419,5992,715,007