XLF Options History — January 2023

In January 2023, XLF traded between $34.30 and $36.42. ATM implied volatility averaged 19.9%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.6% (HV 20d: 16.3%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.82.

Notable Days

  • 2023-01-13: Highest Volume — 333,931 contracts
  • 2023-01-30: Largest IV spike — 11.3% change
  • 2023-01-04: Highest IV Rank — 29.3%
  • 2023-01-04: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.55$34.30$36.42$34.30$36.42
Max Pain$34.60$34.00$35.00$35.00$35.00
ATM IV19.9%16.8%23.9%23.5%17.6%
Expected Move5.8%5.0%7.1%6.8%5.4%
HV 20d16.3%14.9%17.6%17.2%15.3%
HV 60d21.0%19.5%23.3%23.3%19.5%
IV Rank10.9%0.0%29.3%27.2%3.8%
IV Percentile9.9%0.0%40.9%38.1%0.8%
Term Structure-0.2%-1.3%0.9%-0.4%0.3%
VWIV21.8%17.7%24.7%24.6%20.5%
Skew 25d3.8%3.2%4.4%4.3%4.1%
Skew 10d7.4%5.9%9.3%7.3%8.7%
Call IV 25d17.9%15.3%21.5%21.4%15.7%
Put IV 25d21.7%18.5%25.7%25.7%19.8%
Bid-Ask Spread %2.001.762.361.872.07
Gamma HHI0.110.090.130.120.09
Net GEX-33.7M-139.8M37.1M-85.3M10.8M
Net DEX-539.6M-1.53B401.4M401.4M-932.9M
Net VEX-22.5M-23.8M-21.1M-22.0M-23.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.821.195.014.792.85
Total Volume207,302.6560,529333,931277,54460,529
Total OI4,476,420.753,546,2865,243,2974,428,3523,960,706

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$34.30$35.0023.5%6.8%17.2%27.2%24.6%4.3%-0.4%-85.3M401.4M-22.0M4.791.8747,949229,5951,600,5352,827,817
2023-01-04$34.72$35.0023.9%7.1%15.2%29.3%24.6%4.0%-0.6%-58.6M-24.3M-22.3M3.982.3633,329132,7091,610,8512,879,910
2023-01-05$34.59$34.0023.7%6.6%15.1%28.0%24.2%3.7%-0.5%-76.2M198.9M-22.5M3.501.9639,937139,6511,635,0362,955,641
2023-01-06$35.45$34.0021.4%6.4%17.4%12.6%24.2%3.4%-0.2%19.8M-702.3M-22.0M3.181.8146,882149,2091,647,5202,976,765
2023-01-09$35.23$34.0022.5%6.5%17.6%18.7%24.7%3.7%0.2%-45.3M-401.5M-22.0M3.331.9454,666182,0521,625,6382,964,103
2023-01-10$35.39$34.0021.5%6.4%17.6%13.5%24.2%3.6%0.9%-52.7M-446.9M-22.1M2.441.7678,398191,3031,651,1873,093,139
2023-01-11$35.67$34.0021.4%6.0%17.5%12.9%22.3%3.4%-0.4%-36.0M-803.9M-22.5M2.952.0467,658199,3441,708,1803,169,255
2023-01-12$35.77$34.0019.1%5.6%17.4%0.7%21.4%3.3%0.3%-18.4M-1.03B-22.0M1.851.7862,223114,9901,752,5393,247,427
2023-01-13$36.11$34.0017.2%5.0%16.5%0.0%18.9%3.2%0.5%37.1M-1.53B-21.1M1.211.80151,132182,7991,787,8863,287,845
2023-01-17$35.89$34.0018.1%5.2%14.9%4.4%21.7%3.8%-0.5%-3.8M-1.19B-21.3M4.492.0930,894138,6331,777,1743,246,289
2023-01-18$35.22$35.0020.0%5.7%16.4%13.7%21.2%4.3%-0.3%-87.5M-277.8M-22.0M2.821.8457,777162,7811,789,6523,299,546
2023-01-19$34.86$35.0019.7%5.7%16.4%12.2%21.5%4.1%-0.4%-139.8M259.1M-22.3M5.011.9154,987275,7611,793,3613,346,571
2023-01-20$35.27$35.0019.1%5.6%16.7%9.2%19.5%4.1%-1.3%-57.1M-374.3M-22.4M1.191.91101,862121,0211,796,0473,447,250
2023-01-23$35.70$35.0019.1%5.6%16.7%9.0%21.6%4.2%-0.2%-31.0M-382.8M-22.3M2.042.3174,621152,1581,226,5482,319,738
2023-01-24$35.73$35.0018.7%5.6%15.9%7.1%21.5%4.1%-0.2%-32.3M-424.0M-23.2M2.312.0449,368114,0411,278,3392,409,326
2023-01-25$36.00$35.0017.8%5.4%15.9%3.0%20.5%3.8%-0.5%-17.8M-648.1M-23.3M2.162.2647,633102,7861,312,4832,447,083
2023-01-26$36.14$35.0017.9%5.4%15.9%3.2%21.5%3.7%-0.4%-12.5M-809.0M-23.2M1.461.9892,103134,7791,348,0722,515,463
2023-01-27$36.31$35.0016.8%5.0%15.7%0.0%17.7%3.7%-0.2%15.7M-965.5M-23.4M2.532.1734,16686,5611,386,6482,538,895
2023-01-30$36.14$35.0018.7%5.7%15.4%9.1%19.7%4.4%0.1%-2.5M-715.4M-23.6M2.342.0844,834104,9321,365,2902,502,660
2023-01-31$36.42$35.0017.6%5.4%15.3%3.8%20.5%4.1%0.3%10.8M-932.9M-23.8M2.852.0715,71144,8181,394,6002,566,106