XLF Options History — October 2023

In October 2023, XLF traded between $31.39 and $33.64. ATM implied volatility averaged 19.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.8% (HV 20d: 14.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.29.

Notable Days

2023-10-03: Highest Volume — 265,900 contracts
2023-10-18: Largest IV spike — 17.3% change
2023-10-20: Highest IV Rank — 37.0%
2023-10-27: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.68	$31.39	$33.64	$32.84	$32.30
Max Pain	$33.41	$33.00	$34.00	$34.00	$33.00
ATM IV	19.1%	16.7%	21.3%	18.4%	17.5%
Expected Move	5.6%	4.7%	6.2%	5.4%	5.2%
HV 20d	14.3%	11.2%	17.5%	11.2%	16.8%
HV 60d	12.2%	11.5%	13.7%	11.5%	13.5%
IV Rank	27.5%	17.0%	37.0%	24.3%	20.6%
IV Percentile	51.0%	29.8%	67.9%	42.9%	37.3%
Term Structure	0.1%	-0.6%	1.1%	-0.2%	0.2%
VWIV	19.2%	16.3%	23.1%	18.8%	17.3%
Skew 25d	4.9%	4.0%	5.7%	4.9%	4.6%
Skew 10d	9.8%	7.8%	11.2%	9.6%	9.2%
Call IV 25d	17.0%	15.5%	18.8%	16.6%	15.9%
Put IV 25d	21.9%	19.8%	24.4%	21.4%	20.5%
Bid-Ask Spread %	1.96	1.62	2.20	1.87	2.07
Gamma HHI	0.12	0.09	0.15	0.14	0.09
Net GEX	-112.8M	-179.1M	-84.3M	-137.0M	-89.0M
Net DEX	1.51B	410.6M	2.54B	1.74B	1.53B
Net VEX	-30.9M	-31.6M	-29.9M	-30.0M	-31.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.29	0.76	9.02	2.05	9.02
Total Volume	168,796.091	88,640	265,900	102,621	179,339
Total OI	4,895,866.545	4,528,180	5,278,515	4,528,180	4,913,013

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
2023-10-02	$32.84	$34.00	18.4%	5.4%	11.2%	24.3%	18.8%	4.9%	-0.2%	-137.0M	1.74B	-30.0M	2.05	1.87	33,610	69,011	1,744,423	2,783,757
2023-10-03	$32.30	$34.00	20.7%	6.1%	12.1%	34.4%	18.6%	5.7%	-0.2%	-137.6M	2.20B	-29.9M	4.08	1.83	52,370	213,530	1,764,434	2,793,014
2023-10-04	$32.59	$34.00	19.8%	5.8%	12.9%	30.5%	20.5%	5.2%	-0.1%	-138.4M	1.83B	-30.9M	2.99	2.07	54,481	162,891	1,801,120	2,865,141
2023-10-05	$32.81	$34.00	19.0%	5.5%	13.3%	27.1%	18.3%	4.6%	-0.1%	-131.9M	1.55B	-31.0M	0.76	2.00	129,363	97,917	1,834,302	2,902,047
2023-10-06	$33.14	$33.00	18.8%	5.3%	14.0%	25.9%	19.0%	4.4%	-0.2%	-107.9M	1.08B	-31.5M	2.37	1.62	44,036	104,339	1,932,384	2,947,168
2023-10-09	$33.00	$33.00	19.0%	5.4%	13.8%	26.9%	19.7%	4.6%	0.1%	-118.0M	1.20B	-31.0M	1.33	1.94	38,120	50,520	1,919,566	2,955,723
2023-10-10	$33.30	$33.00	17.5%	5.3%	13.8%	20.5%	17.9%	4.3%	1.1%	-100.5M	871.2M	-31.0M	1.47	1.91	50,097	73,799	1,924,707	2,984,014
2023-10-11	$33.34	$33.00	17.4%	5.3%	13.9%	20.2%	18.4%	4.0%	1.0%	-101.7M	852.4M	-31.1M	1.81	1.94	35,306	64,003	1,947,501	3,017,742
2023-10-12	$33.14	$33.00	17.9%	5.2%	13.2%	22.3%	18.4%	4.1%	0.2%	-117.6M	1.19B	-30.9M	1.33	2.02	49,173	65,488	1,968,340	3,033,921
2023-10-13	$33.13	$33.00	19.4%	5.6%	13.2%	28.7%	19.2%	4.6%	0.1%	-132.2M	1.16B	-31.3M	1.34	1.64	74,893	100,127	2,000,409	3,060,900
2023-10-16	$33.53	$33.00	16.7%	4.7%	14.2%	17.0%	18.4%	4.4%	0.6%	-86.7M	564.3M	-30.6M	1.09	1.82	95,510	104,476	1,978,596	3,028,529
2023-10-17	$33.64	$34.00	16.7%	4.8%	14.3%	17.3%	16.3%	4.4%	0.7%	-84.3M	410.6M	-31.4M	1.48	1.94	90,954	134,459	2,059,383	3,091,756
2023-10-18	$33.09	$34.00	19.6%	5.6%	15.1%	29.8%	19.2%	5.0%	-0.6%	-122.9M	1.29B	-31.6M	3.14	1.94	40,353	126,897	2,084,692	3,193,174
2023-10-19	$32.69	$34.00	19.3%	5.5%	14.6%	28.4%	19.6%	5.1%	0.8%	-179.1M	1.80B	-31.1M	2.36	1.88	39,663	93,742	2,100,750	3,161,378
2023-10-20	$32.25	$34.00	21.3%	6.2%	15.1%	37.0%	23.1%	5.5%	-0.6%	-108.0M	2.19B	-30.6M	3.10	2.04	63,226	195,817	2,112,014	3,166,501
2023-10-23	$32.05	$34.00	20.5%	6.1%	15.2%	33.3%	20.9%	5.4%	-0.2%	-99.0M	1.97B	-30.3M	1.33	2.20	73,981	98,684	1,858,241	2,788,951
2023-10-24	$32.25	$33.00	19.6%	5.8%	15.1%	29.6%	19.2%	5.1%	-0.1%	-94.9M	1.78B	-30.8M	2.08	2.06	40,859	85,143	1,883,002	2,824,554
2023-10-25	$32.13	$33.00	20.4%	6.1%	15.1%	33.1%	16.5%	5.6%	-0.0%	-92.4M	1.82B	-30.8M	2.36	2.12	52,640	124,365	1,910,419	2,845,426
2023-10-26	$32.05	$33.00	20.5%	6.1%	14.5%	33.4%	20.5%	5.5%	0.1%	-93.3M	1.89B	-31.2M	2.58	2.14	27,474	70,869	1,932,898	2,876,550
2023-10-27	$31.39	$33.00	21.1%	6.2%	15.7%	35.8%	22.3%	5.6%	-0.1%	-110.9M	2.54B	-30.2M	1.47	2.06	104,789	153,934	1,943,746	2,892,522
2023-10-30	$32.03	$33.00	19.3%	5.7%	17.5%	28.1%	20.4%	5.1%	0.2%	-97.8M	1.84B	-31.5M	0.79	1.95	85,535	67,731	1,983,837	2,898,519
2023-10-31	$32.30	$33.00	17.5%	5.2%	16.8%	20.6%	17.3%	4.6%	0.2%	-89.0M	1.53B	-31.5M	9.02	2.07	17,905	161,434	1,987,419	2,925,594