XLF Options History — September 2022

In September 2022, XLF traded between $30.40 and $34.60. ATM implied volatility averaged 27.5%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.3% (HV 20d: 22.1%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.54.

Notable Days

2022-09-26: Highest Volume — 367,530 contracts
2022-09-13: Largest IV spike — 12.0% change
2022-09-27: Highest IV Rank — 64.6%
2022-09-27: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.50	$30.40	$34.60	$33.00	$30.48
Max Pain	$34.95	$34.00	$35.00	$35.00	$34.00
ATM IV	27.5%	22.4%	32.4%	26.2%	31.0%
Expected Move	8.0%	6.5%	9.6%	7.4%	9.1%
HV 20d	22.1%	19.4%	24.8%	20.0%	24.8%
HV 60d	22.6%	21.3%	24.7%	24.7%	22.8%
IV Rank	45.2%	25.4%	64.6%	40.2%	58.9%
IV Percentile	75.5%	43.7%	96.0%	71.8%	92.5%
Term Structure	-0.1%	-0.6%	0.5%	-0.3%	0.2%
VWIV	28.3%	24.1%	36.3%	26.7%	32.3%
Skew 25d	5.8%	4.8%	7.1%	6.4%	6.3%
Skew 10d	11.0%	8.8%	13.3%	12.0%	11.4%
Call IV 25d	24.8%	20.6%	29.1%	23.6%	27.7%
Put IV 25d	30.7%	25.4%	36.2%	30.0%	34.0%
Bid-Ask Spread %	3.37	1.92	17.31	2.92	2.81
Gamma HHI	0.12	0.09	0.20	0.12	0.14
Net GEX	-96.9M	-151.3M	-13.8M	-100.8M	-136.4M
Net DEX	2.31B	712.0M	3.56B	2.16B	3.41B
Net VEX	-20.5M	-21.3M	-19.3M	-20.2M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	0.53	5.74	0.91	2.56
Total Volume	195,422.19	86,534	367,530	204,473	86,534
Total OI	4,274,360.81	3,780,361	4,591,241	4,111,632	4,484,552

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
2022-09-01	$33.00	$35.00	26.2%	7.4%	20.0%	40.2%	26.7%	6.4%	-0.3%	-100.8M	2.16B	-20.2M	0.91	2.92	106,796	97,677	1,563,586	2,548,046
2022-09-02	$32.80	$35.00	25.7%	7.2%	19.8%	38.1%	24.1%	6.2%	-0.1%	-86.9M	2.37B	-20.2M	0.82	3.06	100,215	81,966	1,649,308	2,595,799
2022-09-06	$32.82	$35.00	26.0%	7.4%	19.8%	39.4%	25.8%	6.2%	-0.2%	-85.1M	2.22B	-20.0M	3.34	2.32	33,736	112,822	1,585,584	2,570,908
2022-09-07	$33.47	$35.00	24.8%	7.4%	21.2%	34.6%	26.3%	5.7%	-0.1%	-66.8M	1.69B	-20.4M	2.69	2.39	58,293	156,576	1,606,293	2,597,645
2022-09-08	$33.91	$35.00	23.8%	6.9%	19.8%	30.8%	24.4%	5.2%	0.2%	-55.4M	1.33B	-21.0M	1.59	2.14	51,640	81,938	1,622,890	2,670,326
2022-09-09	$34.41	$35.00	22.4%	6.8%	20.2%	25.4%	26.1%	4.8%	0.1%	-41.8M	898.2M	-21.3M	0.53	1.92	157,992	84,508	1,640,390	2,712,485
2022-09-12	$34.60	$35.00	23.3%	6.5%	19.4%	28.8%	24.5%	4.9%	-0.6%	-13.8M	712.0M	-21.2M	0.65	2.15	112,353	72,707	1,688,727	2,717,336
2022-09-13	$33.28	$35.00	26.1%	7.6%	23.5%	39.8%	28.1%	5.6%	0.5%	-91.1M	2.01B	-20.8M	1.82	2.48	74,921	136,456	1,694,105	2,751,698
2022-09-14	$33.26	$35.00	26.7%	7.6%	23.2%	42.2%	27.8%	6.1%	-0.2%	-103.4M	2.08B	-21.3M	2.94	17.31	30,882	90,847	1,737,012	2,794,882
2022-09-15	$33.40	$35.00	26.2%	7.6%	23.3%	40.3%	26.1%	5.6%	0.5%	-94.2M	1.92B	-21.2M	2.71	4.30	47,286	127,909	1,746,572	2,771,862
2022-09-16	$33.03	$35.00	27.2%	7.8%	23.5%	44.0%	27.2%	5.4%	-0.1%	-96.4M	2.26B	-21.0M	3.67	2.36	46,475	170,603	1,752,841	2,838,400
2022-09-19	$33.19	$35.00	26.9%	7.7%	22.8%	42.9%	25.6%	5.4%	-0.2%	-84.6M	1.70B	-21.1M	1.20	2.07	103,780	124,049	1,405,673	2,374,688
2022-09-20	$32.86	$35.00	27.4%	7.8%	21.6%	44.9%	25.7%	5.6%	-0.5%	-86.0M	1.90B	-21.3M	3.75	2.70	55,461	207,751	1,478,706	2,457,663
2022-09-21	$32.20	$35.00	27.9%	8.0%	22.6%	46.7%	25.4%	5.0%	-0.0%	-105.0M	2.44B	-21.0M	1.04	3.25	76,483	79,193	1,520,637	2,556,040
2022-09-22	$31.80	$35.00	27.6%	7.9%	22.6%	45.7%	28.9%	4.9%	-0.4%	-117.1M	2.76B	-20.4M	3.94	2.85	43,145	169,930	1,556,260	2,565,360
2022-09-23	$30.99	$35.00	30.3%	8.7%	23.2%	56.1%	30.4%	5.7%	-0.5%	-151.3M	3.30B	-19.7M	4.71	2.99	55,226	260,066	1,579,569	2,616,254
2022-09-26	$30.65	$35.00	32.3%	9.5%	22.1%	64.2%	35.9%	6.6%	0.0%	-125.8M	3.49B	-19.5M	5.74	2.81	54,543	312,987	1,533,038	2,679,519
2022-09-27	$30.40	$35.00	32.4%	9.6%	22.1%	64.6%	35.4%	7.1%	-0.2%	-130.1M	3.56B	-19.3M	2.58	2.74	32,640	84,066	1,561,624	2,785,761
2022-09-28	$31.18	$35.00	30.7%	9.1%	24.5%	57.7%	32.2%	6.9%	0.0%	-129.8M	2.97B	-20.2M	2.41	2.52	43,624	105,280	1,570,236	2,782,896
2022-09-29	$30.72	$35.00	32.3%	9.5%	24.8%	63.9%	36.3%	7.0%	-0.0%	-133.4M	3.27B	-19.7M	3.78	2.58	36,523	137,987	1,595,151	2,801,255
2022-09-30	$30.48	$34.00	31.0%	9.1%	24.8%	58.9%	32.3%	6.3%	0.2%	-136.4M	3.41B	-19.4M	2.56	2.81	24,288	62,246	1,613,927	2,870,625