XLF Options History — March 2023

In March 2023, XLF traded between $30.98 and $36.05. ATM implied volatility averaged 26.6%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.7% (HV 20d: 23.9%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.60.

Notable Days

2023-03-10: Highest Volume — 816,763 contracts
2023-03-09: Largest IV spike — 29.1% change
2023-03-13: Highest IV Rank — 100.0%
2023-03-17: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.73	$30.98	$36.05	$35.63	$32.02
Max Pain	$34.39	$32.00	$36.00	$35.00	$32.00
ATM IV	26.6%	17.2%	36.1%	18.4%	23.4%
Expected Move	7.6%	4.8%	10.2%	5.5%	6.7%
HV 20d	23.9%	11.3%	32.3%	11.8%	32.0%
HV 60d	19.1%	14.3%	22.1%	15.2%	22.0%
IV Rank	51.6%	3.3%	100.0%	8.8%	35.2%
IV Percentile	60.1%	2.8%	100.0%	6.3%	41.3%
Term Structure	-0.3%	-2.1%	0.6%	0.6%	0.4%
VWIV	27.1%	17.3%	35.3%	18.1%	23.3%
Skew 25d	6.7%	3.8%	10.7%	4.8%	5.8%
Skew 10d	13.5%	6.9%	20.7%	9.4%	12.5%
Call IV 25d	23.7%	15.4%	32.0%	17.1%	20.5%
Put IV 25d	30.5%	19.3%	42.7%	22.0%	26.3%
Bid-Ask Spread %	2.57	1.73	7.48	2.07	2.15
Gamma HHI	0.11	0.08	0.20	0.08	0.10
Net GEX	-85.5M	-137.8M	-900.3K	-54.5M	-30.9M
Net DEX	2.12B	-577.0M	4.40B	40.9M	1.44B
Net VEX	-25.5M	-26.8M	-23.9M	-24.4M	-26.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.85	5.39	0.85	1.12
Total Volume	316,461.913	87,209	816,763	113,431	152,445
Total OI	4,538,463.957	3,924,577	5,235,798	3,924,577	4,852,860

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-03-01	$35.63	$35.00	18.4%	5.5%	11.8%	8.8%	18.1%	4.8%	0.6%	-54.5M	40.9M	-24.4M	0.85	2.07	61,192	52,239	1,419,743	2,504,834
2023-03-02	$35.45	$35.00	19.7%	5.4%	11.3%	15.1%	18.5%	4.2%	-0.8%	-70.9M	250.1M	-24.7M	1.09	2.09	43,115	46,937	1,443,549	2,510,355
2023-03-03	$35.92	$35.00	17.2%	4.8%	12.4%	3.3%	17.3%	3.8%	0.1%	-900.3K	-419.0M	-24.2M	1.19	7.48	60,617	71,894	1,470,340	2,513,032
2023-03-06	$36.05	$36.00	17.3%	5.0%	12.4%	3.7%	17.6%	3.9%	0.4%	-14.3M	-577.0M	-23.9M	1.25	1.73	38,693	48,516	1,463,479	2,515,897
2023-03-07	$35.16	$36.00	19.5%	5.6%	15.0%	14.2%	21.9%	4.5%	0.1%	-77.5M	581.9M	-24.1M	5.39	2.13	33,440	180,270	1,474,795	2,547,864
2023-03-08	$34.95	$36.00	19.4%	5.6%	14.1%	13.5%	20.3%	4.3%	0.2%	-100.6M	886.5M	-24.3M	1.63	2.16	80,565	131,385	1,482,213	2,636,267
2023-03-09	$33.55	$36.00	25.0%	6.7%	19.5%	42.9%	25.1%	5.5%	-0.7%	-124.3M	2.40B	-24.8M	2.36	2.57	195,156	461,103	1,521,015	2,684,348
2023-03-10	$32.83	$35.00	29.9%	8.2%	20.4%	73.9%	28.7%	7.2%	-1.0%	-128.8M	3.09B	-25.3M	1.93	2.68	278,611	538,152	1,657,394	2,838,857
2023-03-13	$31.73	$35.00	36.1%	9.7%	22.6%	100.0%	33.6%	8.5%	-2.1%	-127.2M	3.91B	-25.3M	1.47	3.04	318,117	468,610	1,696,144	3,011,425
2023-03-14	$32.11	$35.00	30.5%	8.6%	22.7%	71.4%	29.7%	7.4%	-0.7%	-124.5M	3.68B	-25.4M	1.38	2.16	141,080	195,382	1,891,965	3,055,341
2023-03-15	$31.26	$35.00	33.9%	9.8%	23.7%	89.1%	34.1%	9.5%	0.3%	-125.8M	4.27B	-24.8M	2.26	2.73	144,648	327,141	1,934,903	3,077,613
2023-03-16	$32.03	$35.00	30.3%	8.6%	26.3%	70.7%	32.7%	7.8%	-0.3%	-137.8M	3.67B	-26.3M	1.30	2.34	139,578	181,776	2,000,794	3,155,244
2023-03-17	$31.05	$35.00	35.9%	10.2%	27.7%	99.4%	35.1%	10.7%	-0.9%	-136.5M	4.40B	-25.3M	1.61	2.78	218,788	352,915	2,065,055	3,170,743
2023-03-20	$31.16	$34.00	31.9%	9.1%	27.9%	78.6%	31.8%	8.8%	-0.6%	-95.9M	2.95B	-26.1M	1.36	2.36	86,637	118,055	1,623,342	2,751,329
2023-03-21	$32.03	$34.00	28.1%	8.0%	30.3%	59.2%	27.9%	6.7%	-0.8%	-72.2M	2.06B	-26.8M	0.85	2.15	179,240	152,729	1,672,997	2,729,201
2023-03-22	$31.45	$34.00	28.3%	8.1%	30.6%	60.2%	29.0%	6.6%	-0.3%	-82.6M	2.41B	-26.3M	0.92	2.83	156,471	143,455	1,786,567	2,747,517
2023-03-23	$30.99	$33.50	32.9%	9.5%	30.4%	83.8%	35.3%	9.9%	-0.8%	-93.6M	2.76B	-26.0M	2.21	3.30	115,904	256,652	1,895,571	2,793,663
2023-03-24	$30.98	$33.00	30.9%	8.9%	30.4%	73.5%	30.3%	7.9%	-0.3%	-122.9M	2.79B	-26.2M	1.24	2.14	174,611	216,690	1,955,134	2,858,465
2023-03-27	$31.48	$33.00	27.4%	8.0%	31.4%	55.8%	31.2%	7.2%	0.3%	-70.4M	2.20B	-26.5M	0.94	2.09	76,047	71,262	1,891,709	2,774,935
2023-03-28	$31.31	$33.00	26.8%	7.8%	31.2%	52.5%	29.4%	7.0%	0.3%	-70.6M	2.34B	-26.2M	1.21	2.21	66,735	80,874	1,932,600	2,784,753
2023-03-29	$31.86	$33.00	24.5%	7.1%	32.3%	41.1%	26.6%	6.4%	0.3%	-46.5M	1.78B	-26.6M	1.86	2.07	77,868	145,078	1,968,873	2,821,730
2023-03-30	$31.77	$32.50	24.5%	7.1%	32.3%	40.6%	26.7%	6.5%	0.3%	-57.2M	1.77B	-26.5M	1.27	1.79	87,121	110,830	1,992,235	2,807,981
2023-03-31	$32.02	$32.00	23.4%	6.7%	32.0%	35.2%	23.3%	5.8%	0.4%	-30.9M	1.44B	-26.4M	1.12	2.15	72,048	80,397	2,008,619	2,844,241