XLF Options History — April 2023

In April 2023, XLF traded between $31.80 and $33.45. ATM implied volatility averaged 20.9%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.3% (HV 20d: 20.6%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.43.

Notable Days

2023-04-14: Highest Volume — 410,380 contracts
2023-04-25: Largest IV spike — 18.7% change
2023-04-10: Highest IV Rank — 38.1%
2023-04-10: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.64	$31.80	$33.45	$32.22	$33.11
Max Pain	$31.58	$31.00	$32.00	$32.00	$32.00
ATM IV	20.9%	17.7%	24.0%	23.2%	17.9%
Expected Move	6.0%	5.1%	6.8%	6.6%	5.2%
HV 20d	20.6%	12.3%	32.1%	32.1%	14.3%
HV 60d	21.4%	21.0%	22.1%	22.1%	21.6%
IV Rank	22.4%	6.0%	38.1%	34.3%	7.3%
IV Percentile	23.6%	5.2%	46.4%	38.9%	6.3%
Term Structure	-0.2%	-1.4%	0.9%	-0.2%	-0.2%
VWIV	21.4%	16.6%	27.4%	22.3%	19.1%
Skew 25d	5.5%	3.9%	6.9%	5.9%	5.6%
Skew 10d	11.1%	8.3%	13.8%	12.0%	11.0%
Call IV 25d	18.3%	15.0%	21.5%	20.1%	15.2%
Put IV 25d	23.8%	19.9%	27.8%	26.0%	20.8%
Bid-Ask Spread %	2.15	1.75	2.84	1.91	2.28
Gamma HHI	0.11	0.08	0.18	0.09	0.10
Net GEX	-9.5M	-89.7M	160.6M	-34.0M	-29.0M
Net DEX	740.4M	-434.8M	1.62B	1.26B	470.3M
Net VEX	-26.1M	-26.8M	-25.6M	-26.2M	-25.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.28	3.54	0.84	1.24
Total Volume	204,408.684	54,581	410,380	192,032	126,045
Total OI	4,751,611.526	4,092,583	5,279,397	4,591,923	4,234,647

Daily Data (19 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
2023-04-03	$32.22	$32.00	23.2%	6.6%	32.1%	34.3%	22.3%	5.9%	-0.2%	-34.0M	1.26B	-26.2M	0.84	1.91	104,200	87,832	1,915,836	2,676,087
2023-04-04	$31.80	$32.00	23.5%	6.7%	31.4%	35.5%	22.7%	6.2%	-0.1%	-62.8M	1.62B	-26.4M	3.54	2.15	66,158	234,132	1,976,294	2,735,183
2023-04-05	$31.86	$32.00	23.7%	6.7%	31.5%	36.9%	27.0%	6.5%	0.0%	-62.4M	1.61B	-26.3M	2.71	2.04	67,206	182,270	1,983,701	2,746,825
2023-04-06	$31.95	$32.00	23.8%	6.7%	28.5%	37.3%	27.4%	5.5%	-0.0%	-77.7M	1.62B	-26.6M	1.19	2.52	104,727	124,400	1,985,820	2,947,335
2023-04-10	$32.00	$31.00	24.0%	6.8%	27.6%	38.1%	23.4%	5.8%	-0.1%	-79.3M	1.44B	-26.2M	1.07	2.16	61,228	65,644	1,924,422	2,893,659
2023-04-11	$32.39	$31.00	22.9%	6.8%	25.1%	32.8%	23.9%	5.7%	0.8%	-42.7M	1.03B	-26.5M	0.70	2.27	114,186	79,785	1,958,566	2,934,881
2023-04-12	$32.28	$31.00	22.9%	6.8%	24.8%	32.6%	25.5%	5.9%	0.9%	-38.3M	1.10B	-26.4M	1.56	2.14	121,597	189,207	2,028,712	2,947,866
2023-04-13	$32.55	$31.00	22.9%	6.2%	22.8%	32.4%	21.3%	5.0%	-1.4%	-7.7M	784.6M	-26.8M	0.30	2.15	285,511	85,470	2,065,706	2,990,405
2023-04-14	$32.89	$31.00	19.8%	5.6%	21.5%	16.8%	18.8%	4.0%	-0.4%	160.6M	45.5M	-26.5M	0.28	2.40	319,831	90,549	2,257,018	3,022,379
2023-04-17	$33.11	$31.00	19.1%	5.4%	17.8%	13.0%	20.0%	3.9%	0.0%	79.2M	-54.3M	-25.7M	0.52	1.89	112,386	58,702	2,067,490	2,957,236
2023-04-18	$33.41	$31.00	18.4%	5.3%	17.9%	9.9%	16.8%	5.7%	-1.1%	106.7M	-434.8M	-25.9M	0.57	1.95	105,053	60,235	2,073,633	2,984,993
2023-04-19	$33.45	$31.00	18.0%	5.2%	15.5%	7.6%	19.5%	4.9%	-0.9%	102.7M	-390.3M	-25.8M	1.15	2.11	91,235	104,705	2,057,597	3,010,934
2023-04-20	$33.28	$32.00	18.6%	5.4%	13.8%	10.5%	18.3%	4.7%	-1.1%	64.3M	-97.6M	-25.6M	2.15	1.90	54,573	117,129	2,029,407	3,081,697
2023-04-21	$33.19	$32.00	18.5%	5.3%	12.3%	10.0%	19.9%	4.7%	0.0%	-16.4M	-1.5M	-26.0M	3.26	1.75	42,202	137,658	2,048,927	3,139,253
2023-04-24	$33.14	$32.00	17.7%	5.1%	12.4%	6.0%	16.6%	4.8%	0.1%	-31.5M	572.2M	-26.1M	0.86	2.20	29,417	25,164	1,611,096	2,481,487
2023-04-25	$32.59	$32.00	21.0%	6.0%	13.4%	22.9%	23.0%	6.6%	-0.4%	-61.7M	1.06B	-26.0M	2.35	2.84	59,595	140,298	1,625,390	2,477,765
2023-04-26	$32.19	$32.00	22.0%	6.4%	14.1%	27.8%	23.6%	6.9%	-0.1%	-89.7M	1.51B	-25.8M	2.19	1.96	43,570	95,630	1,644,192	2,544,421
2023-04-27	$32.75	$32.00	19.3%	5.5%	14.0%	14.1%	17.2%	6.1%	-0.2%	-61.3M	912.3M	-25.9M	0.62	2.14	59,381	36,854	1,666,544	2,553,215
2023-04-28	$33.11	$32.00	17.9%	5.2%	14.3%	7.3%	19.1%	5.6%	-0.2%	-29.0M	470.3M	-25.9M	1.24	2.28	56,149	69,896	1,672,839	2,561,808