XLF Options History — November 2023 In November 2023, XLF traded between $32.59 and $35.84. ATM implied volatility averaged 14.1%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 3.1% (HV 20d: 17.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.46.
Notable Days 2023-11-30 : Highest Volume — 269,362 contracts2023-11-02 : Largest IV drop — 10.4% change2023-11-01 : Highest IV Rank — 17.5%2023-11-01 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $34.47 $32.59 $35.84 $32.59 $35.84 Max Pain $33.95 $33.00 $34.00 $33.00 $34.00 ATM IV 14.1% 12.6% 16.8% 16.8% 12.6% Expected Move 4.0% 3.6% 5.0% 5.0% 3.6% HV 20d 17.1% 12.5% 20.1% 16.8% 12.6% HV 60d 14.7% 13.6% 15.2% 13.6% 14.8% IV Rank 5.9% 0.0% 17.5% 17.5% 0.0% IV Percentile 10.2% 0.0% 31.0% 31.0% 0.0% Term Structure 0.2% -0.9% 1.4% 0.3% -0.1% VWIV 14.7% 12.6% 17.9% 17.9% 12.9% Skew 25d 2.9% 2.1% 3.9% 3.9% 2.5% Skew 10d 6.2% 4.6% 8.0% 8.0% 6.1% Call IV 25d 12.9% 11.9% 14.7% 14.7% 12.1% Put IV 25d 15.8% 14.6% 18.7% 18.7% 14.6% Bid-Ask Spread % 1.87 1.30 2.79 2.29 1.72 Gamma HHI 0.13 0.08 0.57 0.09 0.15 Net GEX 71.4M -78.0M 490.2M -78.0M 109.5M Net DEX -708.5M -1.84B 1.29B 1.29B -1.84B Net VEX -31.4M -32.7M -30.3M -31.8M -31.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.39 2.55 2.55 0.49 Total Volume 119,769.238 23,888 269,362 106,486 269,362 Total OI 5,049,210.714 4,755,140 5,215,110 5,003,311 5,128,287
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 2023-11-01 $32.59 $33.00 16.8% 5.0% 16.8% 17.5% 17.9% 3.9% 0.3% -78.0M 1.29B -31.8M 2.55 2.29 29,988 76,498 1,986,655 3,016,656 2023-11-02 $33.31 $34.00 15.0% 4.8% 18.4% 10.0% 17.1% 3.5% 0.4% -26.2M 438.8M -32.3M 1.21 1.70 53,779 65,189 1,993,376 3,020,259 2023-11-03 $33.86 $34.00 14.5% 4.4% 18.9% 7.7% 16.2% 3.0% 0.3% 23.7M -251.3M -32.7M 1.58 1.82 65,110 102,701 2,007,527 3,031,222 2023-11-06 $33.63 $34.00 15.2% 4.3% 19.1% 10.8% 16.9% 3.5% -0.2% -19.8M 161.3M -32.2M 1.45 1.39 38,786 56,083 2,007,003 3,082,932 2023-11-07 $33.66 $34.00 14.9% 4.3% 18.8% 9.6% 15.8% 3.5% 0.0% -12.8M 83.1M -32.3M 1.99 1.76 7,980 15,908 2,023,852 3,114,621 2023-11-08 $33.66 $34.00 14.8% 4.1% 18.8% 9.2% 14.6% 3.3% -0.5% -12.2M 96.9M -32.0M 2.36 1.55 19,101 45,021 2,023,488 3,115,980 2023-11-09 $33.50 $34.00 15.3% 4.7% 18.8% 11.1% 15.0% 3.4% 1.4% -34.4M 279.1M -31.7M 1.56 1.71 24,153 37,624 2,025,842 3,139,186 2023-11-10 $33.89 $34.00 13.7% 4.0% 19.2% 4.4% 13.9% 3.0% 0.4% 5.6M -182.5M -31.5M 0.97 1.60 34,534 33,666 2,035,840 3,162,061 2023-11-13 $33.86 $34.00 14.4% 4.2% 18.7% 7.3% 16.6% 3.3% 0.2% 7.2M -234.3M -31.0M 2.52 1.59 31,246 78,583 2,014,706 3,137,612 2023-11-14 $34.58 $34.00 13.9% 4.0% 20.1% 5.0% 14.6% 2.4% 1.1% 87.3M -1.11B -31.0M 0.39 1.37 118,875 46,652 2,016,147 3,143,616 2023-11-15 $34.72 $34.00 13.5% 3.9% 19.0% 3.4% 17.4% 2.3% 1.3% 129.3M -1.30B -31.2M 2.02 1.75 43,396 87,675 2,057,129 3,125,298 2023-11-16 $34.80 $34.00 13.5% 3.8% 18.2% 3.4% 13.6% 2.1% 0.3% 145.3M -1.33B -31.0M 1.51 1.67 39,004 58,727 2,062,264 3,125,641 2023-11-17 $34.97 $34.00 13.5% 3.8% 17.1% 3.6% 13.5% 2.4% 0.5% 490.2M -1.65B -30.7M 0.67 1.30 132,086 88,009 2,074,360 3,140,750 2023-11-20 $35.20 $34.00 13.7% 3.8% 16.7% 4.4% 13.5% 2.6% -0.5% 115.8M -1.32B -30.4M 0.86 2.09 66,447 57,263 1,882,250 2,872,890 2023-11-21 $35.13 $34.00 13.6% 3.7% 16.8% 4.0% 13.4% 2.3% -0.3% 112.5M -1.22B -31.1M 0.96 2.18 49,073 47,339 1,913,868 2,912,197 2023-11-22 $35.28 $34.00 12.9% 3.6% 16.5% 0.9% 12.6% 2.5% 0.5% 109.9M -1.38B -30.5M 0.65 2.20 72,818 47,501 1,892,289 2,921,525 2023-11-24 $35.36 $34.00 13.0% 3.6% 16.4% 1.4% 13.2% 3.0% 0.9% 94.9M -1.40B -30.3M 0.76 2.79 45,091 34,095 1,889,505 2,946,789 2023-11-27 $35.30 $34.00 13.2% 3.6% 13.5% 2.1% 13.2% 2.7% -0.8% 88.9M -1.28B -30.5M 2.38 2.10 60,210 143,108 1,889,557 2,962,983 2023-11-28 $35.28 $34.00 13.3% 3.6% 12.6% 2.4% 13.2% 2.7% -0.9% 79.7M -1.26B -31.8M 1.95 2.13 38,329 74,747 1,946,896 3,094,261 2023-11-29 $35.50 $34.00 14.0% 3.7% 12.5% 5.5% 13.5% 3.0% -0.9% 82.3M -1.47B -32.1M 1.87 2.69 27,640 51,757 1,960,328 3,135,777 2023-11-30 $35.84 $34.00 12.6% 3.6% 12.6% 0.0% 12.9% 2.5% -0.1% 109.5M -1.84B -31.7M 0.49 1.72 180,205 89,157 1,964,243 3,164,044
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