XLF Options History — June 2023

In June 2023, XLF traded between $32.06 and $33.80. ATM implied volatility averaged 15.3%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.6% (HV 20d: 14.7%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.04.

Notable Days

2023-06-29: Highest Volume — 172,012 contracts
2023-06-02: Largest IV drop — 12.2% change
2023-06-20: Highest IV Rank — 6.6%
2023-06-01: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.07	$32.06	$33.80	$32.06	$33.80
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	15.3%	13.5%	17.7%	17.7%	13.5%
Expected Move	4.4%	3.7%	5.0%	5.0%	3.7%
HV 20d	14.7%	13.5%	17.0%	16.1%	14.9%
HV 60d	17.7%	15.3%	23.0%	22.4%	15.6%
IV Rank	2.4%	0.0%	6.6%	5.8%	0.0%
IV Percentile	1.4%	0.0%	6.3%	6.3%	0.0%
Term Structure	0.2%	-0.7%	1.3%	0.1%	0.2%
VWIV	16.2%	13.4%	19.8%	19.8%	13.4%
Skew 25d	3.6%	2.7%	6.2%	6.2%	2.9%
Skew 10d	7.5%	5.4%	11.1%	11.1%	5.7%
Call IV 25d	14.0%	12.8%	15.3%	15.3%	12.8%
Put IV 25d	17.6%	15.6%	21.5%	21.5%	15.6%
Bid-Ask Spread %	2.27	1.90	3.34	2.21	2.04
Gamma HHI	0.12	0.10	0.17	0.15	0.11
Net GEX	-20.4M	-103.6M	59.2M	-103.6M	24.0M
Net DEX	336.1M	-353.2M	1.42B	1.42B	-353.2M
Net VEX	-24.1M	-24.9M	-23.6M	-24.1M	-24.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.39	6.49	2.84	1.27
Total Volume	107,234.81	37,404	172,012	40,440	146,416
Total OI	4,134,592.095	3,553,806	4,707,034	4,317,131	3,823,634

Daily Data (21 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
2023-06-01	$32.06	$33.00	17.7%	5.0%	16.1%	5.8%	19.8%	6.2%	0.1%	-103.6M	1.42B	-24.1M	2.84	2.21	10,541	29,899	1,651,730	2,665,401
2023-06-02	$32.83	$33.00	15.5%	4.4%	17.0%	0.0%	17.1%	4.1%	-0.1%	-33.2M	593.1M	-24.1M	0.65	2.04	60,126	39,029	1,656,583	2,690,156
2023-06-05	$32.64	$33.00	16.4%	4.6%	14.9%	4.5%	17.5%	4.7%	0.1%	-59.4M	788.9M	-23.9M	2.73	1.90	24,491	66,968	1,688,607	2,669,837
2023-06-06	$33.03	$33.00	15.2%	4.4%	15.5%	0.0%	17.6%	4.1%	0.2%	-14.0M	330.4M	-23.7M	1.64	1.95	19,509	31,923	1,702,054	2,693,384
2023-06-07	$33.20	$33.00	15.1%	4.5%	15.4%	0.0%	17.8%	3.6%	0.4%	5.2M	139.2M	-23.6M	6.49	2.81	7,350	47,666	1,712,127	2,697,999
2023-06-08	$33.16	$33.00	15.3%	4.5%	15.2%	0.9%	16.1%	3.6%	0.3%	4.2M	214.9M	-23.6M	2.07	2.16	31,252	64,537	1,716,559	2,691,925
2023-06-09	$33.19	$33.00	15.4%	4.5%	15.1%	1.3%	16.2%	3.7%	0.3%	12.1M	149.8M	-24.2M	0.39	2.30	26,909	10,495	1,768,229	2,735,307
2023-06-12	$33.14	$33.00	16.4%	4.7%	14.9%	6.1%	16.6%	3.8%	0.2%	-7.1M	238.9M	-23.9M	0.82	2.14	61,393	50,464	1,759,006	2,725,572
2023-06-13	$33.30	$33.00	15.2%	4.7%	14.7%	0.3%	16.4%	3.4%	1.3%	15.7M	59.1M	-24.1M	1.15	1.93	43,286	49,753	1,795,321	2,741,786
2023-06-14	$33.20	$33.00	16.2%	4.7%	14.5%	5.1%	16.8%	3.0%	0.2%	7.8M	134.2M	-23.8M	1.66	2.13	57,262	94,823	1,815,888	2,760,459
2023-06-15	$33.67	$33.00	15.7%	4.4%	14.1%	2.8%	16.4%	2.7%	-0.7%	59.2M	-281.6M	-24.0M	1.44	2.40	66,472	95,586	1,842,169	2,803,412
2023-06-16	$33.59	$33.00	14.5%	4.1%	14.0%	0.0%	15.1%	2.7%	-0.5%	10.4M	-214.8M	-24.1M	0.95	3.34	66,654	63,398	1,860,330	2,846,704
2023-06-20	$33.20	$33.00	15.9%	4.6%	14.6%	6.6%	17.8%	3.2%	0.4%	-28.2M	328.5M	-24.0M	2.80	2.32	25,924	72,692	1,372,754	2,181,052
2023-06-21	$33.17	$33.00	15.5%	4.5%	14.6%	4.9%	15.0%	3.1%	0.2%	-34.2M	398.5M	-24.2M	0.81	2.30	70,451	57,177	1,380,928	2,213,122
2023-06-22	$32.84	$33.00	14.7%	4.2%	14.5%	0.9%	15.6%	3.1%	0.6%	-60.3M	597.4M	-23.9M	1.93	2.24	48,748	94,048	1,405,494	2,229,687
2023-06-23	$32.75	$33.00	15.3%	4.3%	13.5%	3.9%	14.9%	3.1%	0.9%	-49.8M	666.2M	-23.8M	3.16	2.34	26,914	84,933	1,433,497	2,260,279
2023-06-26	$32.70	$33.00	15.9%	4.4%	13.5%	6.6%	15.1%	4.2%	0.1%	-57.4M	654.8M	-23.9M	3.61	2.36	28,728	103,717	1,423,881	2,182,506
2023-06-27	$32.94	$33.00	14.7%	4.0%	13.5%	0.9%	14.6%	3.3%	0.2%	-49.6M	484.2M	-24.4M	3.25	2.31	24,487	79,490	1,427,383	2,262,274
2023-06-28	$32.78	$33.00	14.6%	4.0%	13.7%	0.6%	15.4%	3.4%	-0.0%	-63.1M	657.6M	-24.9M	1.53	2.26	38,044	58,364	1,435,896	2,315,920
2023-06-29	$33.34	$33.00	13.8%	3.8%	14.4%	0.0%	14.5%	3.4%	0.1%	-6.8M	52.6M	-24.6M	1.70	2.16	63,675	108,337	1,456,064	2,331,518
2023-06-30	$33.80	$33.00	13.5%	3.7%	14.9%	0.0%	13.4%	2.9%	0.2%	24.0M	-353.2M	-24.6M	1.27	2.04	64,471	81,945	1,482,697	2,340,937