XLF Options History — December 2022

In December 2022, XLF traded between $33.38 and $36.14. ATM implied volatility averaged 22.4%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.8% (HV 20d: 19.6%). Max pain ranged from $34.50 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.98.

Notable Days

  • 2022-12-01: Highest Volume — 368,542 contracts
  • 2022-12-05: Largest IV spike — 10.4% change
  • 2022-12-12: Highest IV Rank — 30.0%
  • 2022-12-12: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.41$33.38$36.14$36.14$34.14
Max Pain$35.17$34.50$36.00$34.50$35.00
ATM IV22.4%20.1%24.0%21.3%22.7%
Expected Move6.5%5.9%6.8%6.7%6.6%
HV 20d19.6%16.1%25.9%24.3%17.1%
HV 60d25.6%23.5%27.2%26.8%23.5%
IV Rank21.9%8.5%30.0%13.5%23.1%
IV Percentile26.9%8.7%40.9%16.3%27.8%
Term Structure0.3%-1.0%1.5%-0.1%0.8%
VWIV23.5%21.0%26.8%24.6%22.9%
Skew 25d4.2%3.8%4.6%4.4%3.8%
Skew 10d7.8%7.0%9.4%8.6%7.8%
Call IV 25d20.4%18.4%22.4%19.0%20.4%
Put IV 25d24.6%22.6%26.8%23.5%24.2%
Bid-Ask Spread %1.921.712.192.192.02
Gamma HHI0.150.100.270.100.16
Net GEX-112.4M-186.9M-6.4M-6.4M-131.2M
Net DEX737.7M-954.1M1.86B-954.1M640.2M
Net VEX-21.6M-23.4M-19.7M-19.8M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.399.762.882.54
Total Volume186,939.1933,678368,542368,54295,153
Total OI4,540,265.2864,227,1194,947,8314,277,1324,571,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$36.14$34.5021.3%6.7%24.3%13.5%24.6%4.4%-0.1%-6.4M-954.1M-19.8M2.882.1994,949273,5931,600,1632,676,969
2022-12-02$35.88$35.0020.1%6.3%24.0%8.5%23.1%4.2%0.2%-46.5M-672.5M-19.8M4.541.9731,001140,8011,624,9692,830,704
2022-12-05$34.92$35.0022.2%6.5%25.9%20.7%22.7%4.4%1.0%-109.6M374.0M-19.7M2.101.7578,680165,0461,614,4962,780,310
2022-12-06$34.72$35.0023.4%6.7%25.8%26.7%24.9%4.4%1.1%-104.3M542.9M-20.1M1.951.9680,557156,7471,667,8282,789,505
2022-12-07$34.58$36.0023.4%6.8%25.7%26.8%25.9%4.0%1.3%-110.2M715.7M-20.2M9.761.8619,699192,3051,681,2722,804,191
2022-12-08$34.58$36.0022.8%6.6%24.6%23.9%26.8%3.9%1.4%-115.4M762.7M-20.4M1.421.75103,701147,6641,682,2102,854,010
2022-12-09$34.59$36.0022.7%6.5%16.7%23.6%24.6%3.9%1.5%-94.2M739.9M-21.3M1.911.7460,994116,4721,769,7612,954,988
2022-12-12$34.95$35.0024.0%6.8%16.5%30.0%24.5%4.4%-0.4%-70.6M236.3M-22.0M1.562.0056,75988,5611,751,5722,952,806
2022-12-13$35.16$35.0022.1%6.3%16.1%20.4%23.0%4.0%-0.2%-65.3M-17.2M-21.6M2.331.9557,148133,4151,768,8942,995,197
2022-12-14$34.61$35.0021.7%5.9%17.0%18.3%21.0%3.9%-0.9%-127.9M695.3M-21.5M2.791.9538,444107,3431,773,7663,045,293
2022-12-15$33.97$35.0022.5%6.4%18.1%22.3%23.5%3.9%-0.3%-186.9M1.50B-21.6M4.611.9151,916239,5801,794,2273,077,141
2022-12-16$33.72$35.0022.9%6.4%18.0%24.7%23.7%3.9%-1.0%-128.5M1.83B-21.6M3.871.7757,707223,5721,809,0933,138,738
2022-12-19$33.38$36.0022.8%6.5%17.7%23.8%25.1%4.5%0.3%-135.7M1.86B-21.5M2.231.9380,268179,1671,498,2542,728,865
2022-12-20$33.59$35.0022.6%6.5%17.9%23.1%24.1%4.5%0.1%-141.0M1.49B-22.6M2.671.9846,332123,6731,559,0912,811,367
2022-12-21$34.02$35.0021.3%6.1%18.0%16.4%21.3%4.0%0.2%-125.8M847.6M-22.9M4.621.8549,944230,8321,578,7622,815,237
2022-12-22$33.63$35.0023.5%6.7%18.1%27.3%23.8%4.6%-0.2%-142.4M1.32B-23.4M4.282.0919,01481,3031,595,9172,869,813
2022-12-23$33.89$35.0021.9%6.3%18.3%19.5%22.2%4.1%-0.1%-147.4M1.04B-23.1M1.781.9819,83835,3931,601,0012,884,521
2022-12-27$33.97$35.0022.3%6.4%17.4%21.5%23.0%4.4%0.6%-126.8M919.2M-22.5M1.581.9413,05520,6231,581,6542,867,223
2022-12-28$33.84$35.0023.1%6.7%17.2%25.4%21.9%4.3%0.4%-133.5M1.04B-22.4M2.822.0914,07239,6641,588,8472,875,691
2022-12-29$34.31$35.0022.1%6.4%17.1%20.4%21.5%4.0%0.6%-110.2M576.8M-22.3M0.391.71115,41445,3241,593,7082,885,816
2022-12-30$34.14$35.0022.7%6.6%17.1%23.1%22.9%3.8%0.8%-131.2M640.2M-22.5M2.542.0226,87568,2781,668,8722,902,829