XLF Options History — February 2023

In February 2023, XLF traded between $35.42 and $37.00. ATM implied volatility averaged 18.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.3% (HV 20d: 13.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.00.

Notable Days

  • 2023-02-02: Highest Volume — 218,467 contracts
  • 2023-02-21: Largest IV spike — 19.5% change
  • 2023-02-21: Highest IV Rank — 23.6%
  • 2023-02-21: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.31$35.42$37.00$36.75$35.75
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.5%16.5%21.5%16.8%18.7%
Expected Move5.4%4.7%6.1%5.1%5.5%
HV 20d13.1%11.0%15.4%15.4%12.2%
HV 60d16.6%15.2%19.4%19.4%15.2%
IV Rank8.5%0.0%23.6%0.0%10.1%
IV Percentile6.3%0.0%20.6%0.0%6.3%
Term Structure0.3%-1.7%1.6%0.1%1.0%
VWIV19.7%17.0%22.7%17.9%20.0%
Skew 25d4.9%3.9%6.3%4.1%5.1%
Skew 10d9.3%7.5%12.1%7.5%9.1%
Call IV 25d16.1%14.4%18.2%14.4%16.7%
Put IV 25d21.1%18.4%24.4%18.4%21.8%
Bid-Ask Spread %1.921.513.593.591.97
Gamma HHI0.100.080.130.100.08
Net GEX-246.1K-61.5M56.3M35.6M-43.5M
Net DEX-775.2M-1.55B238.4M-1.27B-106.7M
Net VEX-24.1M-25.1M-23.1M-23.2M-24.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.717.492.042.43
Total Volume128,700.63268,774218,467133,16768,774
Total OI4,091,657.6323,645,2704,411,1023,976,7033,898,233

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$36.75$35.0016.8%5.1%15.4%0.0%17.9%4.1%0.1%35.6M-1.27B-23.2M2.043.5943,83189,3361,394,9102,581,793
2023-02-02$36.53$35.0017.2%4.9%15.4%1.9%17.0%3.9%0.3%29.8M-1.09B-23.1M2.461.9163,066155,4011,414,2762,594,490
2023-02-03$36.41$35.0016.9%5.3%15.3%0.5%18.7%4.2%0.3%56.3M-965.3M-23.5M1.302.0970,02490,9041,444,0342,667,758
2023-02-06$36.55$35.0017.5%5.0%13.0%3.6%18.7%4.4%-0.3%15.9M-1.02B-23.4M0.711.5947,94434,2551,440,4982,658,002
2023-02-07$37.00$35.0016.8%5.0%13.2%0.0%18.4%4.1%0.5%56.0M-1.55B-23.5M1.101.6352,25157,6161,478,7412,682,421
2023-02-08$36.80$35.0017.5%5.1%13.4%3.5%20.9%4.3%0.4%37.0M-1.29B-23.8M0.842.04108,15090,6371,489,9642,711,715
2023-02-09$36.41$35.0019.2%5.8%14.0%11.4%19.6%4.7%1.5%2.5M-923.6M-25.1M1.721.7346,29179,6611,556,4692,745,577
2023-02-10$36.48$35.0019.4%5.9%13.9%12.5%21.9%4.8%1.6%-18.1M-924.6M-25.0M3.501.5120,23670,8831,547,0072,764,970
2023-02-13$36.86$35.0019.1%5.5%14.0%11.1%22.7%5.5%0.4%43.9M-1.37B-24.4M0.971.6039,48738,1331,545,5662,765,915
2023-02-14$36.78$35.0017.3%5.0%13.8%2.2%21.3%5.0%0.8%37.3M-1.35B-24.1M1.441.6046,52166,8991,566,8852,772,180
2023-02-15$36.70$35.0016.5%4.7%11.7%0.0%19.1%4.6%1.6%32.1M-1.28B-23.7M2.161.6530,79566,3741,564,9212,775,415
2023-02-16$36.39$35.0018.3%5.3%11.5%8.5%19.0%5.0%-0.3%-10.3M-945.3M-23.9M1.681.7326,22943,9991,572,0982,799,268
2023-02-17$36.36$35.0018.0%5.2%11.0%7.1%17.1%4.8%-0.3%-11.7M-953.8M-23.8M1.211.8770,12485,1621,585,2442,825,858
2023-02-21$35.72$35.0021.5%6.1%12.2%23.6%21.8%6.3%-1.7%-44.4M40.1M-24.4M2.232.0759,252132,0871,318,2082,327,062
2023-02-22$35.42$35.0021.0%5.9%12.5%21.3%21.5%6.1%0.8%-60.0M238.4M-24.5M1.001.9049,63349,7921,342,2272,384,409
2023-02-23$35.66$35.0019.7%5.5%12.5%15.2%18.3%5.6%-1.3%-51.8M-10.5M-24.6M2.692.0040,136107,9871,371,1832,416,018
2023-02-24$35.61$35.0020.1%5.7%12.4%16.9%19.5%5.6%-1.4%-61.5M58.4M-24.8M1.012.0544,54145,0191,394,5652,485,192
2023-02-27$35.66$35.0019.2%5.5%12.2%12.6%21.1%5.2%0.7%-49.7M-22.7M-24.3M7.492.0525,198188,6841,396,0832,462,340
2023-02-28$35.75$35.0018.7%5.5%12.2%10.1%20.0%5.1%1.0%-43.5M-106.7M-24.4M2.431.9720,04148,7331,409,4562,488,777