XLF Options History — September 2023

In September 2023, XLF traded between $33.14 and $35.00. ATM implied volatility averaged 15.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.5% (HV 20d: 10.5%). Max pain ranged from $34.00 to $34.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.41.

Notable Days

  • 2023-09-28: Highest Volume — 237,849 contracts
  • 2023-09-21: Largest IV spike — 12.3% change
  • 2023-09-27: Highest IV Rank — 26.1%
  • 2023-09-27: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.21$33.14$35.00$34.69$33.16
Max Pain$34.15$34.00$34.50$34.00$34.00
ATM IV15.0%12.7%18.8%12.7%18.1%
Expected Move4.4%3.5%5.5%3.5%5.3%
HV 20d10.5%9.1%12.0%12.0%11.5%
HV 60d11.6%11.3%11.9%11.7%11.4%
IV Rank9.9%0.0%26.1%0.0%23.2%
IV Percentile16.2%0.0%45.6%0.0%40.9%
Term Structure0.3%-0.5%1.5%1.5%0.2%
VWIV16.0%12.8%18.7%12.8%18.2%
Skew 25d4.0%3.1%5.3%3.4%4.4%
Skew 10d8.4%6.8%11.3%7.0%8.7%
Call IV 25d13.4%11.8%16.1%11.8%15.5%
Put IV 25d17.4%15.2%21.4%15.2%19.8%
Bid-Ask Spread %1.971.722.232.091.98
Gamma HHI0.110.090.140.110.13
Net GEX-59.1M-132.4M20.6M-6.3M-132.4M
Net DEX166.5M-868.1M1.43B-528.9M1.43B
Net VEX-29.5M-31.0M-28.1M-28.2M-31.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.938.272.696.10
Total Volume145,330.0564,661237,849178,767200,407
Total OI4,592,161.44,106,0774,977,1584,585,4614,709,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$34.69$34.0012.7%3.5%12.0%0.0%12.8%3.4%1.5%-6.3M-528.9M-28.2M2.692.0948,449130,3181,739,6912,845,770
2023-09-05$34.44$34.0013.9%4.4%11.2%5.1%14.4%3.5%0.2%-33.4M-178.7M-28.3M1.701.8823,91540,7461,757,5072,844,273
2023-09-06$34.33$34.0013.7%4.4%11.0%4.2%16.2%3.8%0.6%-55.8M9.3M-28.1M3.251.9937,561122,0561,762,8522,853,641
2023-09-07$34.27$34.0014.1%4.4%10.9%5.8%17.3%3.8%0.5%-69.0M216.4M-28.8M0.951.8885,47080,7871,779,4162,904,333
2023-09-08$34.28$34.0013.7%4.4%10.8%4.3%17.2%3.6%0.5%-66.2M169.3M-29.3M1.831.9958,145106,6411,830,7392,948,184
2023-09-11$34.41$34.0013.7%4.3%10.8%4.0%15.7%3.5%1.4%-48.2M-134.7M-28.6M1.221.9637,76046,2291,852,2932,982,500
2023-09-12$34.72$34.0014.0%3.9%11.3%5.3%14.9%3.7%-0.5%-16.2M-492.3M-28.7M2.511.9051,949130,3431,846,8492,998,430
2023-09-13$34.66$34.0013.8%3.9%9.2%4.8%14.5%3.5%-0.4%-23.4M-432.3M-28.6M3.631.8528,760104,4651,872,2683,021,797
2023-09-14$35.00$34.0012.7%3.7%9.7%0.0%15.1%3.5%0.5%20.6M-868.1M-28.3M3.101.7239,252121,6501,872,4513,040,763
2023-09-15$34.78$34.0012.9%3.8%9.7%1.1%14.0%3.1%0.7%-31.6M-483.1M-28.8M0.931.9055,42351,3801,891,0513,086,107
2023-09-18$34.75$34.0014.0%4.0%9.8%5.5%14.2%3.3%0.1%-12.6M-378.2M-28.5M1.032.23105,614108,9191,533,7132,572,364
2023-09-19$34.77$34.5013.3%3.8%9.7%2.5%14.7%3.9%0.0%-14.6M-401.6M-29.5M2.802.0833,09292,6601,611,2342,626,887
2023-09-20$34.53$34.5014.5%4.2%9.1%7.8%15.0%4.0%0.2%-42.8M-187.0M-30.0M0.942.1738,88036,4081,640,4082,685,938
2023-09-21$33.97$34.5016.3%4.7%10.4%15.4%17.2%4.6%0.0%-93.3M496.5M-30.6M1.332.1648,16064,2521,659,9232,713,525
2023-09-22$33.75$34.5017.2%4.9%10.6%19.1%16.2%4.6%-0.1%-98.1M798.1M-31.0M2.641.8529,29877,4771,697,7712,731,462
2023-09-25$33.70$34.5017.4%5.1%10.5%20.4%17.6%4.8%0.3%-101.6M771.1M-30.5M1.081.9373,07178,6511,693,7592,740,827
2023-09-26$33.33$34.5018.3%5.3%11.0%24.1%18.7%5.3%0.2%-121.8M1.18B-30.5M1.211.8480,00796,7061,695,8692,753,042
2023-09-27$33.14$34.0018.8%5.5%10.4%26.1%18.5%5.2%0.1%-123.6M1.36B-31.0M1.081.9249,94053,9111,755,2892,769,930
2023-09-28$33.47$34.0017.4%5.0%11.2%20.3%18.2%4.7%0.4%-111.6M981.3M-30.6M8.272.0725,657212,1921,752,7552,767,961
2023-09-29$33.16$34.0018.1%5.3%11.5%23.2%18.2%4.4%0.2%-132.4M1.43B-31.0M6.101.9828,234172,1731,768,4402,941,216