XLF Options History — October 2022

In October 2022, XLF traded between $30.37 and $34.18. ATM implied volatility averaged 30.4%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.9% (HV 20d: 29.5%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2022-10-13: Highest Volume — 331,561 contracts
  • 2022-10-06: Largest IV spike — 6.5% change
  • 2022-10-12: Highest IV Rank — 73.2%
  • 2022-10-12: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.00$30.37$34.18$31.15$34.08
Max Pain$32.57$32.00$34.00$34.00$33.00
ATM IV30.4%25.8%34.6%30.9%25.8%
Expected Move8.8%7.7%9.9%9.2%7.9%
HV 20d29.5%25.7%31.8%26.4%29.7%
HV 60d24.5%22.6%25.7%23.3%25.7%
IV Rank56.6%37.0%73.2%58.4%37.0%
IV Percentile84.1%54.4%98.8%92.1%54.4%
Term Structure-0.5%-2.0%0.2%-0.2%0.2%
VWIV31.1%26.8%34.8%33.3%27.0%
Skew 25d5.6%3.9%7.4%6.6%4.0%
Skew 10d10.9%7.7%13.5%12.3%8.1%
Call IV 25d27.7%23.6%31.3%27.3%23.7%
Put IV 25d33.3%27.5%38.2%33.8%27.7%
Bid-Ask Spread %2.501.933.062.603.06
Gamma HHI0.120.080.200.130.09
Net GEX-93.3M-174.6M-11.6M-127.4M-13.6M
Net DEX1.75B-219.6M3.21B2.71B-105.8M
Net VEX-20.3M-20.8M-19.2M-19.8M-20.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.693.912.261.09
Total Volume175,298.61998,890331,561119,41098,890
Total OI4,286,406.1433,815,9094,668,7174,206,5043,969,351

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$31.15$34.0030.9%9.2%26.4%58.4%33.3%6.6%-0.2%-127.4M2.71B-19.8M2.262.6036,60182,8091,437,4612,769,043
2022-10-04$32.24$34.0029.2%8.6%29.5%51.9%29.3%6.2%-0.4%-110.9M1.89B-20.8M1.922.6970,014134,1011,449,6972,816,141
2022-10-05$32.17$34.0029.3%8.7%28.5%52.5%30.4%6.2%-0.1%-109.4M1.93B-20.8M1.122.2598,051109,6391,487,1992,829,019
2022-10-06$31.65$33.0031.3%8.5%28.3%59.9%30.1%6.7%-0.5%-114.4M2.29B-20.6M2.212.6439,18686,7641,532,3592,820,546
2022-10-07$30.86$33.0032.2%9.0%28.5%63.6%32.9%7.1%-0.4%-139.5M2.95B-19.7M1.762.4865,283115,1471,544,4112,838,715
2022-10-10$30.83$33.0032.5%9.1%28.3%64.9%34.3%7.4%-0.6%-122.0M2.87B-19.7M2.282.4355,939127,5641,567,4002,791,419
2022-10-11$30.37$33.0034.1%9.7%25.7%71.1%32.2%7.2%-0.0%-125.6M3.21B-19.2M1.502.7650,22575,5811,585,9182,840,830
2022-10-12$30.43$32.0034.6%9.9%25.8%73.2%34.0%6.9%-0.2%-124.2M3.05B-19.5M2.582.4136,63694,4221,615,3352,823,660
2022-10-13$31.53$32.0033.9%9.3%29.3%70.5%33.7%6.6%-2.0%-107.9M2.14B-20.8M1.782.27119,133212,4281,625,6622,836,680
2022-10-14$31.04$32.0033.2%9.4%29.5%67.7%34.8%5.8%-0.6%-174.6M2.52B-20.2M2.062.4880,135165,1681,653,6602,880,612
2022-10-17$31.83$32.0031.5%9.0%31.1%61.0%33.4%5.4%-1.2%-102.2M1.88B-20.3M1.761.9353,39593,9111,624,7042,818,982
2022-10-18$32.28$32.0031.5%9.0%31.5%61.0%31.9%5.3%-1.8%-81.4M1.43B-20.5M3.912.7257,249223,8021,643,2922,832,930
2022-10-19$31.72$32.0031.0%8.9%31.2%59.0%31.1%5.2%-0.4%-115.5M2.01B-20.4M0.812.13121,76598,0331,661,6832,932,868
2022-10-20$31.24$32.0031.1%9.0%31.4%59.4%29.7%4.9%-0.8%-136.7M2.26B-20.1M0.822.0695,78078,9891,730,6062,936,981
2022-10-21$32.21$32.0030.1%8.7%31.8%55.3%31.1%5.0%-1.0%-92.1M1.35B-20.5M1.312.1270,64092,6571,722,3312,946,386
2022-10-24$32.66$32.0029.4%8.7%31.7%52.7%30.0%4.3%-0.3%-47.6M919.5M-20.7M0.692.5168,23347,2031,461,8232,354,086
2022-10-25$33.03$32.0027.9%8.3%31.5%46.9%29.5%4.4%-0.1%-39.6M645.9M-20.7M0.882.7652,80546,5941,478,9752,370,865
2022-10-26$33.17$32.0027.2%8.2%30.5%44.0%28.7%4.4%-0.0%-35.1M550.1M-20.5M1.382.7474,243102,3891,490,9162,380,288
2022-10-27$33.40$32.0026.7%8.1%29.8%40.7%28.4%4.0%-0.1%-28.1M364.5M-20.3M1.192.8661,76473,4151,500,7922,432,543
2022-10-28$34.18$33.0025.8%7.7%30.2%37.2%26.8%3.9%0.1%-11.6M-219.6M-20.5M0.952.63109,828104,8601,520,4922,457,868
2022-10-31$34.08$33.0025.8%7.9%29.7%37.0%27.0%4.0%0.2%-13.6M-105.8M-20.5M1.093.0647,23851,6521,547,9022,421,449