XLF Options History — May 2023

In May 2023, XLF traded between $31.51 and $33.09. ATM implied volatility averaged 19.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.1% (HV 20d: 18.4%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.08.

Notable Days

2023-05-03: Highest Volume — 314,104 contracts
2023-05-05: Largest IV drop — 21.1% change
2023-05-04: Highest IV Rank — 45.1%
2023-05-04: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.21	$31.51	$33.09	$33.09	$31.84
Max Pain	$32.86	$32.00	$33.00	$32.00	$33.00
ATM IV	19.5%	16.5%	25.3%	17.5%	18.3%
Expected Move	5.7%	4.7%	6.8%	5.0%	5.3%
HV 20d	18.4%	14.2%	19.8%	14.2%	16.2%
HV 60d	22.7%	21.6%	23.1%	21.6%	22.9%
IV Rank	15.5%	0.1%	45.1%	5.2%	8.9%
IV Percentile	17.8%	0.4%	59.5%	4.8%	9.1%
Term Structure	0.4%	-1.2%	2.4%	0.1%	-0.2%
VWIV	21.7%	15.6%	26.7%	20.2%	19.8%
Skew 25d	6.5%	5.2%	9.0%	5.2%	6.2%
Skew 10d	13.4%	11.3%	16.7%	11.3%	12.5%
Call IV 25d	16.9%	15.0%	20.9%	15.0%	16.6%
Put IV 25d	23.4%	20.2%	29.9%	20.2%	22.8%
Bid-Ask Spread %	2.04	1.65	2.59	2.40	2.59
Gamma HHI	0.14	0.11	0.19	0.11	0.15
Net GEX	-106.1M	-174.7M	-39.0M	-39.0M	-114.0M
Net DEX	1.42B	519.6M	2.10B	519.6M	1.63B
Net VEX	-25.4M	-26.7M	-24.2M	-25.4M	-24.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.08	1.34	7.47	3.30	1.95
Total Volume	115,819.727	24,103	314,104	97,506	50,344
Total OI	4,450,341.5	4,164,966	4,786,971	4,164,966	4,302,795

Daily Data (22 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
2023-05-01	$33.09	$32.00	17.5%	5.0%	14.2%	5.2%	20.2%	5.2%	0.1%	-39.0M	519.6M	-25.4M	3.30	2.40	22,657	74,849	1,625,826	2,539,140
2023-05-02	$32.31	$32.00	20.3%	5.9%	16.7%	19.5%	22.2%	6.9%	0.6%	-96.2M	1.36B	-25.4M	4.01	2.04	44,527	178,669	1,633,847	2,570,028
2023-05-03	$32.02	$32.00	21.6%	6.4%	16.3%	26.2%	23.7%	6.9%	0.2%	-112.8M	1.63B	-25.6M	4.90	2.44	53,260	260,844	1,651,155	2,606,377
2023-05-04	$31.51	$33.00	25.3%	6.8%	17.3%	45.1%	26.7%	9.0%	-0.2%	-121.9M	2.10B	-26.4M	3.24	2.13	50,354	162,946	1,694,555	2,710,238
2023-05-05	$32.30	$33.00	20.0%	6.4%	19.5%	17.8%	23.3%	6.8%	0.1%	-91.8M	1.30B	-26.7M	2.34	1.81	40,086	93,644	1,716,603	2,763,278
2023-05-08	$32.41	$33.00	19.7%	6.3%	19.5%	16.5%	23.0%	6.9%	2.1%	-87.7M	1.18B	-26.5M	1.84	1.65	41,189	75,825	1,690,446	2,766,939
2023-05-09	$32.30	$33.00	19.6%	6.3%	19.1%	15.7%	22.5%	6.9%	2.4%	-98.0M	1.31B	-26.4M	2.82	1.85	21,421	60,383	1,700,506	2,797,805
2023-05-10	$32.11	$33.00	19.8%	6.0%	19.2%	17.0%	15.6%	6.5%	1.1%	-116.4M	1.50B	-25.9M	7.47	1.99	15,115	112,856	1,711,604	2,822,416
2023-05-11	$31.99	$33.00	19.5%	5.8%	18.9%	15.4%	20.5%	6.3%	0.9%	-135.3M	1.67B	-26.2M	2.55	1.81	27,703	70,770	1,720,848	2,907,113
2023-05-12	$31.82	$33.00	19.6%	5.8%	18.5%	15.8%	24.6%	6.9%	1.2%	-147.5M	1.87B	-26.0M	2.52	1.84	38,997	98,102	1,723,587	2,912,936
2023-05-15	$32.11	$33.00	19.1%	5.5%	18.7%	13.4%	19.9%	6.4%	0.5%	-140.8M	1.52B	-25.5M	2.07	1.90	44,803	92,549	1,704,121	2,927,523
2023-05-16	$31.91	$33.00	19.2%	5.6%	18.3%	14.0%	19.6%	6.7%	0.1%	-174.7M	1.78B	-25.4M	4.62	1.67	28,048	129,635	1,727,535	2,980,289
2023-05-17	$32.48	$33.00	19.2%	5.5%	19.6%	13.7%	22.5%	6.0%	-1.0%	-93.6M	1.02B	-25.5M	2.20	2.03	42,604	93,667	1,741,067	2,992,534
2023-05-18	$32.72	$33.00	16.5%	4.7%	19.8%	0.1%	18.2%	5.7%	1.5%	-64.5M	885.7M	-25.5M	1.34	1.91	47,662	63,647	1,748,915	2,996,548
2023-05-19	$32.61	$33.00	17.6%	4.9%	19.8%	5.6%	21.0%	5.6%	1.3%	-74.2M	961.1M	-25.2M	4.81	1.99	31,150	149,683	1,765,365	3,021,606
2023-05-22	$32.70	$33.00	18.4%	5.3%	19.8%	9.6%	22.5%	5.4%	-1.2%	-71.6M	1.05B	-25.0M	1.61	2.24	21,592	34,737	1,543,479	2,692,381
2023-05-23	$32.34	$33.00	19.0%	5.4%	19.3%	12.8%	24.1%	6.4%	1.3%	-93.2M	1.38B	-24.9M	2.09	2.05	10,152	21,250	1,553,661	2,711,842
2023-05-24	$31.88	$33.00	21.2%	6.0%	19.5%	24.1%	25.6%	7.4%	-0.3%	-123.9M	1.80B	-24.7M	5.58	2.27	5,275	29,418	1,565,616	2,721,059
2023-05-25	$31.89	$33.00	20.3%	5.7%	18.4%	19.2%	22.1%	6.9%	-0.6%	-128.2M	1.79B	-24.5M	3.70	2.17	5,125	18,978	1,573,746	2,731,488
2023-05-26	$32.11	$33.00	19.1%	5.5%	18.1%	13.4%	19.9%	6.4%	-0.3%	-106.2M	1.58B	-24.3M	1.34	2.13	24,908	33,433	1,596,840	2,731,698
2023-05-30	$32.09	$33.00	18.8%	5.6%	18.1%	11.5%	20.6%	6.6%	-0.2%	-102.1M	1.50B	-24.3M	1.41	1.98	10,440	14,737	1,622,447	2,689,711
2023-05-31	$31.84	$33.00	18.3%	5.3%	16.2%	8.9%	19.8%	6.2%	-0.2%	-114.0M	1.63B	-24.2M	1.95	2.59	17,077	33,267	1,643,071	2,659,724