XLF Options History — August 2023

In August 2023, XLF traded between $33.59 and $35.34. ATM implied volatility averaged 15.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.1% (HV 20d: 11.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.04.

Notable Days

2023-08-03: Highest Volume — 251,496 contracts
2023-08-15: Largest IV spike — 20.3% change
2023-08-22: Highest IV Rank — 22.0%
2023-08-15: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.50	$33.59	$35.34	$35.30	$34.41
Max Pain	$34.00	$34.00	$34.00	$34.00	$34.00
ATM IV	15.4%	12.8%	18.0%	12.9%	14.0%
Expected Move	4.3%	3.5%	5.0%	3.6%	3.5%
HV 20d	11.3%	10.4%	12.0%	11.0%	11.7%
HV 60d	12.8%	11.6%	13.5%	13.5%	11.6%
IV Rank	10.8%	0.0%	22.0%	0.0%	5.2%
IV Percentile	13.3%	0.0%	30.2%	0.0%	5.6%
Term Structure	0.2%	-1.3%	1.7%	-0.0%	-0.6%
VWIV	15.9%	12.2%	19.1%	13.1%	13.3%
Skew 25d	4.4%	2.8%	5.9%	2.8%	3.6%
Skew 10d	9.1%	6.5%	12.0%	6.5%	6.9%
Call IV 25d	13.7%	11.9%	15.7%	11.9%	12.0%
Put IV 25d	18.1%	14.7%	21.1%	14.7%	15.6%
Bid-Ask Spread %	2.21	1.61	3.88	2.07	2.30
Gamma HHI	0.09	0.08	0.10	0.10	0.10
Net GEX	-12.4M	-76.4M	53.7M	53.7M	-39.1M
Net DEX	-245.5M	-1.25B	785.4M	-1.25B	-112.3M
Net VEX	-29.0M	-29.8M	-28.0M	-28.0M	-28.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.62	7.22	1.45	3.00
Total Volume	111,832.522	50,942	251,496	53,171	113,560
Total OI	4,390,425.261	4,230,135	4,553,688	4,230,135	4,542,898

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
2023-08-01	$35.30	$34.00	12.9%	3.6%	11.0%	0.0%	13.1%	2.8%	-0.0%	53.7M	-1.25B	-28.0M	1.45	2.07	21,706	31,465	1,674,635	2,555,500
2023-08-02	$35.00	$34.00	15.0%	4.3%	11.5%	9.1%	14.8%	3.8%	-0.3%	29.2M	-914.9M	-28.5M	1.44	2.61	32,829	47,150	1,673,836	2,571,274
2023-08-03	$35.08	$34.00	15.1%	4.4%	10.6%	9.6%	17.4%	4.1%	0.1%	29.7M	-936.3M	-28.6M	7.22	3.88	30,601	220,895	1,682,714	2,585,781
2023-08-04	$34.89	$34.00	14.9%	4.4%	10.9%	9.0%	17.4%	3.8%	-0.1%	22.0M	-739.7M	-29.3M	2.18	2.14	21,323	46,487	1,709,492	2,615,383
2023-08-07	$35.34	$34.00	13.9%	4.4%	11.6%	4.4%	15.1%	3.6%	1.2%	50.7M	-1.18B	-29.0M	0.76	3.43	47,913	36,280	1,701,664	2,613,757
2023-08-08	$35.09	$34.00	15.3%	4.5%	11.3%	10.7%	17.3%	4.5%	0.3%	33.0M	-832.3M	-29.2M	3.57	3.28	20,693	73,879	1,717,612	2,623,686
2023-08-09	$34.91	$34.00	15.1%	4.4%	11.4%	9.8%	16.0%	4.2%	0.3%	20.8M	-703.1M	-29.3M	0.62	1.93	56,092	34,626	1,720,200	2,649,964
2023-08-10	$34.78	$34.00	15.1%	4.4%	11.4%	9.8%	17.5%	4.1%	0.2%	11.9M	-545.8M	-29.2M	1.63	1.61	28,701	46,816	1,734,001	2,661,005
2023-08-11	$34.92	$34.00	14.6%	4.3%	11.0%	7.6%	15.1%	3.9%	0.4%	31.7M	-707.6M	-28.9M	1.00	2.10	25,413	25,529	1,748,173	2,665,080
2023-08-14	$34.80	$34.00	14.5%	4.2%	10.4%	7.2%	14.9%	4.2%	0.4%	6.3M	-564.7M	-28.6M	1.29	1.70	32,937	42,370	1,735,294	2,663,388
2023-08-15	$34.19	$34.00	17.5%	5.0%	11.6%	19.9%	17.9%	4.6%	0.3%	-35.3M	149.6M	-28.8M	3.13	2.10	37,965	118,692	1,742,548	2,672,002
2023-08-16	$34.17	$34.00	16.8%	4.8%	11.3%	16.8%	17.1%	4.7%	0.6%	-50.4M	154.0M	-28.9M	3.32	1.65	36,766	121,906	1,753,132	2,711,262
2023-08-17	$33.95	$34.00	16.9%	4.8%	11.3%	17.4%	16.2%	4.8%	0.6%	-58.1M	357.2M	-29.1M	1.34	1.61	48,558	64,938	1,772,182	2,725,898
2023-08-18	$34.00	$34.00	16.5%	4.7%	11.3%	15.7%	17.4%	5.9%	0.5%	-22.1M	349.5M	-29.4M	1.65	1.92	34,237	56,421	1,801,858	2,751,830
2023-08-21	$33.98	$34.00	16.4%	4.6%	10.6%	15.3%	17.6%	5.3%	0.1%	-55.4M	386.3M	-29.0M	1.22	2.11	37,202	45,471	1,615,100	2,618,969
2023-08-22	$33.59	$34.00	18.0%	5.0%	11.0%	22.0%	19.1%	5.4%	-1.3%	-76.4M	785.4M	-29.3M	2.22	1.95	40,969	90,908	1,637,705	2,643,394
2023-08-23	$33.95	$34.00	15.7%	4.3%	11.7%	12.0%	15.9%	5.3%	0.4%	-60.2M	423.8M	-29.2M	1.61	2.35	84,930	136,619	1,655,636	2,672,076
2023-08-24	$33.91	$34.00	16.5%	4.5%	11.2%	15.6%	16.4%	5.1%	0.3%	-59.6M	395.1M	-29.8M	0.87	2.13	67,934	58,884	1,703,880	2,740,019
2023-08-25	$34.05	$34.00	15.5%	4.2%	11.4%	11.4%	16.3%	4.6%	0.3%	-19.1M	212.7M	-29.3M	2.07	2.11	28,181	58,437	1,740,765	2,759,217
2023-08-28	$34.16	$34.00	15.6%	4.2%	11.4%	11.7%	14.5%	4.4%	0.2%	-50.8M	122.4M	-29.0M	1.48	1.88	34,757	51,426	1,688,879	2,755,379
2023-08-29	$34.48	$34.00	14.7%	3.6%	12.0%	7.8%	13.6%	4.3%	-0.8%	-29.1M	-204.9M	-28.7M	1.35	2.00	47,625	64,263	1,694,906	2,771,817
2023-08-30	$34.53	$34.00	12.8%	3.6%	11.7%	0.0%	12.2%	4.0%	1.7%	-18.4M	-291.9M	-28.7M	2.51	1.90	47,836	119,958	1,719,479	2,786,511
2023-08-31	$34.41	$34.00	14.0%	3.5%	11.7%	5.2%	13.3%	3.6%	-0.6%	-39.1M	-112.3M	-28.7M	3.00	2.30	28,383	85,177	1,731,427	2,811,471