XLF Options History — August 2022

In August 2022, XLF traded between $33.21 and $35.84. ATM implied volatility averaged 22.0%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.5% (HV 20d: 20.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.73.

Notable Days

2022-08-16: Highest Volume — 339,858 contracts
2022-08-22: Largest IV spike — 18.3% change
2022-08-30: Highest IV Rank — 40.4%
2022-08-29: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.29	$33.21	$35.84	$33.42	$33.24
Max Pain	$34.74	$33.00	$35.00	$33.00	$35.00
ATM IV	22.0%	19.0%	26.2%	22.6%	25.8%
Expected Move	6.2%	5.4%	7.4%	6.4%	7.3%
HV 20d	20.5%	15.6%	23.6%	23.4%	19.9%
HV 60d	25.4%	24.0%	27.4%	27.4%	24.7%
IV Rank	23.6%	12.1%	40.4%	26.1%	38.7%
IV Percentile	43.0%	18.3%	72.6%	50.4%	69.8%
Term Structure	0.3%	-1.5%	1.8%	-0.3%	-0.0%
VWIV	22.8%	19.8%	28.5%	23.6%	25.8%
Skew 25d	5.3%	4.3%	6.5%	5.7%	6.5%
Skew 10d	10.3%	8.2%	12.6%	11.2%	12.2%
Call IV 25d	19.8%	17.4%	23.1%	20.3%	22.9%
Put IV 25d	25.1%	22.0%	29.5%	26.1%	29.4%
Bid-Ask Spread %	4.00	1.56	29.87	2.69	2.06
Gamma HHI	0.13	0.07	0.18	0.16	0.10
Net GEX	-24.7M	-95.4M	61.4M	-27.0M	-84.0M
Net DEX	649.3M	-1.01B	1.98B	1.07B	1.98B
Net VEX	-20.9M	-22.0M	-20.3M	-20.6M	-20.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.17	4.70	2.02	2.65
Total Volume	142,456.565	31,468	339,858	117,139	153,678
Total OI	4,178,560.391	3,833,385	4,600,937	4,063,184	4,048,674

Daily Data (23 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
2022-08-01	$33.42	$33.00	22.6%	6.4%	23.4%	26.1%	23.6%	5.7%	-0.3%	-27.0M	1.07B	-20.6M	2.02	2.69	38,800	78,339	1,496,358	2,566,826
2022-08-02	$33.21	$33.00	23.5%	6.7%	23.2%	29.7%	28.5%	5.8%	-0.3%	-36.8M	1.32B	-20.3M	4.70	2.35	44,982	211,312	1,508,202	2,606,320
2022-08-03	$33.63	$33.00	21.9%	6.1%	23.5%	23.2%	22.7%	5.6%	-0.1%	-21.4M	981.4M	-20.4M	1.69	2.40	57,809	97,776	1,519,698	2,633,933
2022-08-04	$33.46	$35.00	21.8%	6.6%	23.5%	22.8%	22.2%	4.8%	-0.3%	-23.9M	1.12B	-20.8M	1.27	1.84	83,477	106,402	1,549,102	2,669,725
2022-08-05	$33.70	$35.00	21.4%	6.0%	23.6%	21.3%	20.2%	5.2%	-0.4%	-14.8M	872.1M	-20.3M	1.02	2.05	76,920	78,333	1,529,388	2,679,385
2022-08-08	$33.74	$35.00	21.8%	6.1%	22.9%	23.2%	22.2%	5.5%	-0.4%	-7.1M	892.9M	-20.3M	2.47	1.88	29,221	72,215	1,546,275	2,666,366
2022-08-09	$33.77	$35.00	21.0%	6.2%	22.7%	19.9%	24.0%	5.3%	0.7%	-3.1M	844.0M	-20.3M	0.90	1.68	33,344	29,920	1,546,596	2,676,103
2022-08-10	$34.60	$35.00	19.8%	5.6%	23.5%	15.1%	21.4%	4.5%	-0.2%	22.2M	64.0M	-20.7M	1.01	1.58	65,364	65,983	1,554,763	2,689,422
2022-08-11	$34.95	$35.00	19.9%	5.9%	21.5%	15.6%	20.8%	4.4%	0.6%	13.7M	-217.2M	-20.6M	0.88	1.64	57,358	50,373	1,552,165	2,722,800
2022-08-12	$35.50	$35.00	19.7%	5.9%	19.5%	14.7%	19.8%	4.3%	1.6%	61.4M	-672.7M	-21.2M	0.17	1.62	159,029	27,136	1,569,939	2,749,518
2022-08-15	$35.59	$35.00	19.1%	5.5%	19.0%	12.5%	20.3%	4.5%	1.6%	25.8M	-777.2M	-20.9M	1.25	1.60	19,937	24,889	1,623,743	2,749,746
2022-08-16	$35.84	$35.00	19.7%	5.7%	15.6%	14.7%	20.7%	4.5%	0.9%	29.8M	-1.01B	-20.8M	1.92	2.21	116,374	223,484	1,628,108	2,753,946
2022-08-17	$35.66	$35.00	19.8%	5.7%	16.0%	15.0%	21.2%	4.3%	1.4%	17.5M	-718.2M	-21.3M	0.79	29.87	165,418	131,482	1,632,853	2,794,295
2022-08-18	$35.67	$35.00	19.0%	5.4%	16.0%	12.1%	20.1%	4.7%	1.8%	31.4M	-755.7M	-22.0M	0.62	1.56	19,441	12,027	1,720,636	2,860,420
2022-08-19	$34.95	$35.00	20.4%	5.7%	17.9%	17.6%	22.3%	4.9%	1.1%	-18.7M	-50.7M	-21.5M	3.22	1.76	30,802	99,323	1,731,277	2,869,660
2022-08-22	$34.14	$35.00	24.1%	6.8%	20.2%	32.2%	25.5%	5.8%	-0.3%	-60.4M	1.26B	-21.0M	3.26	2.49	42,867	139,927	1,475,855	2,357,530
2022-08-23	$34.09	$35.00	23.3%	6.5%	19.6%	29.0%	21.8%	5.4%	-0.2%	-75.2M	1.34B	-21.2M	1.18	2.18	51,315	60,501	1,500,594	2,415,761
2022-08-24	$34.30	$35.00	22.5%	6.2%	18.7%	25.8%	22.4%	5.7%	0.7%	-76.4M	1.21B	-21.1M	0.65	1.90	30,758	19,990	1,508,709	2,448,799
2022-08-25	$34.68	$35.00	22.1%	6.1%	19.0%	24.3%	21.4%	5.3%	-1.5%	-60.0M	882.8M	-21.2M	0.89	2.21	56,183	49,756	1,517,915	2,458,650
2022-08-26	$33.81	$35.00	24.4%	6.9%	20.5%	33.4%	24.9%	5.8%	0.0%	-76.9M	1.60B	-21.3M	2.66	2.36	28,145	74,728	1,557,706	2,473,370
2022-08-29	$33.52	$35.00	25.1%	7.4%	20.4%	36.1%	26.5%	6.5%	1.0%	-88.3M	1.73B	-21.1M	3.20	2.51	26,064	83,364	1,483,953	2,464,397
2022-08-30	$33.28	$35.00	26.2%	7.0%	20.4%	40.4%	26.0%	6.2%	-1.5%	-95.4M	1.97B	-20.7M	1.30	19.56	66,195	85,760	1,494,064	2,503,344
2022-08-31	$33.24	$35.00	25.8%	7.3%	19.9%	38.7%	25.8%	6.5%	-0.0%	-84.0M	1.98B	-20.6M	2.65	2.06	42,088	111,590	1,543,917	2,504,757