XLF Options History — July 2023

In July 2023, XLF traded between $33.50 and $35.61. ATM implied volatility averaged 14.3%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.8% (HV 20d: 12.5%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.30.

Notable Days

2023-07-13: Highest Volume — 267,294 contracts
2023-07-06: Largest IV spike — 12.1% change
2023-07-10: Highest IV Rank — 10.8%
2023-07-06: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.66	$33.50	$35.61	$33.92	$35.22
Max Pain	$33.20	$33.00	$34.00	$33.00	$34.00
ATM IV	14.3%	13.4%	15.9%	13.7%	13.8%
Expected Move	4.1%	3.8%	4.8%	3.8%	3.8%
HV 20d	12.5%	11.0%	13.6%	12.6%	11.0%
HV 60d	15.4%	14.0%	15.9%	15.6%	14.0%
IV Rank	3.7%	0.0%	10.8%	0.8%	1.9%
IV Percentile	2.8%	0.0%	7.9%	0.4%	4.0%
Term Structure	-0.1%	-1.0%	0.6%	0.1%	-0.2%
VWIV	14.4%	13.2%	16.7%	13.4%	13.5%
Skew 25d	3.0%	2.3%	4.3%	3.0%	2.8%
Skew 10d	6.4%	5.2%	8.6%	6.4%	5.5%
Call IV 25d	13.1%	12.2%	14.4%	12.6%	12.3%
Put IV 25d	16.1%	14.9%	18.3%	15.6%	15.1%
Bid-Ask Spread %	1.98	1.57	3.90	1.86	2.03
Gamma HHI	0.11	0.09	0.18	0.10	0.09
Net GEX	53.3M	-1.7M	113.0M	32.0M	46.3M
Net DEX	-992.9M	-1.84B	-13.6M	-453.3M	-1.16B
Net VEX	-26.4M	-28.6M	-24.3M	-24.4M	-28.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.52	2.82	2.12	1.61
Total Volume	135,251.6	46,357	267,294	55,815	46,357
Total OI	4,065,073.65	3,729,459	4,404,436	3,729,459	4,210,278

Daily Data (20 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
2023-07-03	$33.92	$33.00	13.7%	3.8%	12.6%	0.8%	13.4%	3.0%	0.1%	32.0M	-453.3M	-24.4M	2.12	1.86	17,886	37,929	1,432,166	2,297,293
2023-07-05	$33.86	$33.00	14.0%	3.9%	12.4%	2.4%	14.0%	3.1%	0.3%	28.3M	-367.3M	-24.3M	1.17	2.11	55,853	65,476	1,440,153	2,304,416
2023-07-06	$33.50	$33.00	15.7%	4.8%	12.5%	9.9%	16.7%	3.9%	-0.2%	-1.7M	-13.6M	-25.0M	2.82	1.67	46,113	130,109	1,476,209	2,318,439
2023-07-07	$33.66	$33.00	15.0%	4.1%	12.5%	6.9%	14.4%	3.4%	0.1%	5.5M	-144.3M	-25.3M	0.92	1.78	34,558	31,734	1,488,476	2,377,184
2023-07-10	$33.70	$33.00	15.9%	4.3%	12.5%	10.8%	15.4%	4.3%	-0.8%	15.1M	-214.6M	-24.8M	0.52	1.76	69,598	35,994	1,480,443	2,356,932
2023-07-11	$34.13	$33.00	15.4%	4.4%	13.2%	8.5%	15.4%	3.8%	0.0%	38.4M	-560.6M	-24.9M	0.96	1.69	51,997	49,726	1,507,100	2,383,974
2023-07-12	$34.34	$33.00	14.4%	4.3%	13.2%	4.3%	14.3%	2.9%	0.6%	61.4M	-884.7M	-24.3M	1.85	2.06	70,014	129,579	1,532,896	2,409,365
2023-07-13	$34.52	$33.00	15.1%	4.2%	13.3%	7.4%	14.7%	2.8%	-0.7%	61.9M	-990.6M	-25.1M	0.54	1.92	173,560	93,734	1,562,494	2,450,844
2023-07-14	$34.25	$33.00	14.5%	4.1%	13.6%	4.6%	13.9%	2.3%	-0.2%	63.6M	-730.9M	-25.5M	0.72	1.93	114,532	82,726	1,642,147	2,516,297
2023-07-17	$34.64	$33.00	13.5%	3.8%	13.3%	0.3%	15.4%	2.7%	0.6%	97.1M	-1.07B	-26.0M	0.82	1.86	83,143	68,065	1,624,794	2,494,336
2023-07-18	$34.97	$33.00	13.7%	3.9%	13.5%	1.1%	13.9%	2.7%	-0.0%	111.0M	-1.45B	-26.2M	1.20	1.77	90,908	108,930	1,651,435	2,530,083
2023-07-19	$35.19	$33.00	13.8%	3.9%	12.6%	1.4%	15.4%	2.5%	0.1%	113.0M	-1.71B	-26.8M	0.96	1.59	90,597	86,858	1,679,505	2,562,175
2023-07-20	$35.30	$33.00	14.4%	4.2%	12.5%	4.3%	14.3%	2.6%	-1.0%	103.3M	-1.83B	-27.4M	2.34	1.57	44,093	103,043	1,724,639	2,608,341
2023-07-21	$35.30	$33.00	13.4%	3.9%	11.6%	0.0%	13.4%	2.3%	-0.6%	55.7M	-1.84B	-27.9M	1.02	1.81	94,421	96,725	1,736,036	2,668,400
2023-07-24	$35.61	$33.00	13.4%	3.8%	11.5%	0.0%	13.2%	3.0%	0.0%	53.9M	-1.51B	-27.6M	1.35	1.85	40,520	54,671	1,587,070	2,483,799
2023-07-25	$35.36	$33.00	14.2%	4.1%	12.0%	3.8%	16.1%	3.8%	-0.3%	46.9M	-1.29B	-28.3M	2.41	2.30	41,569	100,083	1,614,607	2,497,983
2023-07-26	$35.52	$34.00	13.5%	3.8%	11.9%	0.5%	13.5%	3.2%	0.2%	54.4M	-1.46B	-28.0M	0.66	3.90	70,616	46,470	1,626,948	2,545,825
2023-07-27	$35.11	$34.00	14.4%	4.1%	12.8%	4.3%	14.1%	2.9%	0.2%	39.3M	-1.07B	-28.6M	1.18	2.03	28,658	33,794	1,664,823	2,566,679
2023-07-28	$35.13	$34.00	13.6%	3.8%	11.8%	0.8%	13.8%	3.0%	0.2%	39.7M	-1.11B	-28.4M	0.77	2.03	47,811	36,582	1,674,522	2,572,367
2023-07-31	$35.22	$34.00	13.8%	3.8%	11.0%	1.9%	13.5%	2.8%	-0.2%	46.3M	-1.16B	-28.2M	1.61	2.03	17,779	28,578	1,661,416	2,548,862