XLF Options History — November 2022

In November 2022, XLF traded between $33.38 and $36.22. ATM implied volatility averaged 23.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.3% (HV 20d: 25.9%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2022-11-22: Highest Volume — 299,029 contracts
  • 2022-11-28: Largest IV spike — 10.9% change
  • 2022-11-01: Highest IV Rank — 36.2%
  • 2022-11-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.08$33.38$36.22$34.10$36.22
Max Pain$33.48$32.00$34.00$33.00$34.00
ATM IV23.6%20.7%25.9%25.8%21.7%
Expected Move7.0%5.8%8.0%8.0%6.7%
HV 20d25.9%24.2%28.8%27.5%24.7%
HV 60d26.6%25.4%27.8%25.7%27.0%
IV Rank25.7%11.1%36.2%36.2%15.5%
IV Percentile36.8%12.3%56.3%55.2%20.2%
Term Structure0.2%-0.8%1.7%-0.1%-0.1%
VWIV25.5%21.1%29.1%28.5%24.9%
Skew 25d4.0%2.9%4.8%3.6%4.4%
Skew 10d7.8%5.7%9.3%7.2%8.4%
Call IV 25d21.7%18.5%24.2%24.1%19.2%
Put IV 25d25.7%22.9%28.0%27.7%23.6%
Bid-Ask Spread %1.981.632.672.112.11
Gamma HHI0.100.080.140.090.10
Net GEX-7.7M-49.5M46.6M-10.9M-11.7M
Net DEX-573.7M-1.65B467.6M-154.8M-1.05B
Net VEX-20.6M-21.2M-19.5M-20.2M-19.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.723.760.861.12
Total Volume167,413.42939,880299,029183,505127,545
Total OI4,288,855.1434,016,5104,682,9594,016,5104,219,589

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$34.10$33.0025.8%8.0%27.5%36.2%28.5%3.6%-0.1%-10.9M-154.8M-20.2M0.862.1198,47185,0341,575,5422,440,968
2022-11-02$33.74$33.0025.9%7.9%27.9%36.1%28.6%3.8%0.1%-20.2M93.8M-20.5M1.592.6768,064108,1001,631,4292,479,246
2022-11-03$33.38$32.0025.3%7.7%27.5%33.8%27.8%3.1%0.2%-42.3M467.6M-20.8M1.541.9054,78384,3781,655,5322,524,368
2022-11-04$33.90$32.0024.4%7.3%25.7%30.1%27.5%2.9%0.3%-19.5M36.9M-20.9M1.302.12104,846135,9131,662,5082,570,919
2022-11-07$34.24$33.0024.8%7.3%25.7%31.7%27.8%3.2%0.9%-11.0M-133.8M-21.1M1.811.7935,80864,7711,642,0762,592,948
2022-11-08$34.52$33.0025.1%7.3%24.6%33.2%25.8%3.4%0.3%-537.9K-422.5M-20.9M1.051.7362,25865,4121,658,6082,601,712
2022-11-09$33.84$33.0025.7%7.6%26.3%35.5%29.1%3.9%0.9%-27.6M192.5M-20.8M1.401.7542,66759,6921,682,5842,625,730
2022-11-10$35.56$33.0023.6%7.0%28.8%27.1%27.1%3.7%0.8%46.6M-1.38B-20.5M1.211.75114,645138,8221,704,6272,664,502
2022-11-11$35.99$33.0023.0%6.9%27.7%24.4%25.5%3.3%1.7%39.7M-1.65B-20.5M0.722.00161,904117,1921,702,6542,722,437
2022-11-14$35.51$34.0023.4%6.8%27.8%26.2%24.8%3.8%1.0%35.2M-1.16B-20.9M1.361.6350,24668,5161,740,4852,764,285
2022-11-15$35.45$34.0024.8%7.2%27.7%31.9%25.2%4.8%-0.5%28.1M-1.07B-20.9M1.021.89121,505124,5251,754,3352,780,292
2022-11-16$35.31$34.0024.4%7.0%26.6%30.3%24.9%4.5%-0.2%1.8M-813.0M-21.2M1.121.6851,83757,8851,749,1032,803,689
2022-11-17$35.00$34.0024.2%6.9%26.1%28.6%26.7%4.4%0.3%-9.8M-522.0M-21.1M3.761.8147,397178,2281,755,4852,815,592
2022-11-18$35.35$34.0023.8%6.8%24.4%24.3%24.7%4.3%-0.4%-18.4M-808.7M-21.1M2.531.9756,736143,3371,760,0942,922,865
2022-11-21$35.44$34.0023.2%6.6%24.2%21.9%24.1%4.6%0.2%-43.3M-310.3M-20.9M2.042.0140,08581,6381,483,3262,570,195
2022-11-22$35.86$34.0021.4%6.0%24.2%14.1%21.1%4.4%0.0%-16.9M-692.8M-20.4M1.342.24127,964171,0651,498,8992,596,878
2022-11-23$35.97$34.0020.7%5.8%24.2%11.1%21.4%4.0%-0.1%815.1K-867.1M-20.7M1.872.4155,725104,0671,572,4392,644,639
2022-11-25$36.15$34.0020.8%5.9%24.2%11.3%22.5%4.5%-0.4%7.0M-1.02B-19.5M2.242.0712,31127,5691,552,3262,637,787
2022-11-28$35.48$34.0023.0%6.7%24.4%21.0%23.5%4.6%-0.8%-49.5M-297.3M-20.1M1.611.9062,562100,6971,519,7362,625,960
2022-11-29$35.69$34.0021.5%6.8%24.3%14.7%23.5%4.7%0.9%-38.2M-482.4M-20.0M0.751.9858,14943,3331,532,8462,626,723
2022-11-30$36.22$34.0021.7%6.7%24.7%15.5%24.9%4.4%-0.1%-11.7M-1.05B-19.6M1.122.1160,18567,3601,559,9662,659,623