XLF Options History — December 2023

In December 2023, XLF traded between $35.78 and $37.78. ATM implied volatility averaged 13.2%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.3% (HV 20d: 9.9%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2023-12-04: Highest Volume — 240,988 contracts
  • 2023-12-20: Largest IV spike — 9.6% change
  • 2023-12-21: Highest IV Rank — 8.7%
  • 2023-12-21: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.89$35.78$37.78$36.14$37.66
Max Pain$34.20$34.00$35.00$34.00$35.00
ATM IV13.2%12.3%14.4%12.8%14.1%
Expected Move3.8%3.5%4.1%3.8%3.8%
HV 20d9.9%7.9%10.9%10.9%10.6%
HV 60d14.7%13.7%15.1%14.9%13.7%
IV Rank3.1%0.0%8.7%0.5%7.4%
IV Percentile7.4%0.0%22.6%1.6%22.6%
Term Structure0.3%-0.3%1.0%-0.0%0.3%
VWIV13.9%12.9%15.4%13.5%14.6%
Skew 25d2.0%1.6%2.4%2.4%2.1%
Skew 10d4.4%3.2%6.2%4.5%4.6%
Call IV 25d12.6%11.5%13.7%11.8%13.2%
Put IV 25d14.5%13.3%15.7%14.2%15.3%
Bid-Ask Spread %2.031.533.561.831.75
Gamma HHI0.120.100.170.140.11
Net GEX62.5M23.2M110.0M110.0M36.2M
Net DEX-2.15B-3.14B-1.58B-2.32B-2.14B
Net VEX-33.1M-33.8M-32.1M-32.1M-33.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.413.061.201.78
Total Volume116,20630,456240,988170,73656,261
Total OI5,182,416.654,786,1735,499,7755,230,4105,144,521

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$36.14$34.0012.8%3.8%10.9%0.5%13.5%2.4%-0.0%110.0M-2.32B-32.1M1.201.8377,76792,9692,037,9883,192,422
2023-12-04$36.13$34.0013.4%4.0%10.0%3.2%15.4%2.3%0.5%81.3M-1.96B-33.3M1.681.7389,941151,0472,021,4973,217,465
2023-12-05$35.95$34.0012.9%3.8%9.8%1.1%14.6%2.1%0.7%71.0M-1.76B-33.1M1.071.5830,71132,9772,015,6063,275,551
2023-12-06$35.78$34.0012.9%3.9%10.2%1.1%14.2%2.0%0.4%59.3M-1.58B-33.4M2.701.9432,09986,6932,016,9403,286,587
2023-12-07$35.94$34.0013.2%3.9%10.1%2.2%13.8%2.0%0.5%65.8M-1.67B-33.6M0.411.9041,62917,1112,036,8013,324,908
2023-12-08$36.16$34.0012.7%3.8%9.7%0.1%14.1%2.2%0.8%80.5M-1.92B-33.7M2.183.5224,10752,5642,046,0813,329,284
2023-12-11$36.34$34.0012.7%3.9%9.3%0.1%14.1%1.9%0.6%87.4M-2.14B-33.7M1.562.4156,65488,3362,041,9853,353,312
2023-12-12$36.59$34.0012.3%3.5%9.2%0.0%13.0%2.1%-0.3%81.9M-2.37B-32.6M1.281.7545,02657,8082,045,3183,375,389
2023-12-13$37.16$34.0012.3%3.5%7.9%0.0%13.0%1.8%0.2%94.4M-2.98B-32.7M0.663.5662,75241,5142,068,9333,417,524
2023-12-14$37.50$34.0012.6%3.8%8.2%1.3%13.4%1.6%1.0%88.1M-3.14B-32.4M1.741.7184,157146,0562,050,1653,442,523
2023-12-15$37.20$34.0013.0%3.8%9.2%2.8%13.6%1.8%0.2%53.5M-2.78B-33.1M2.831.5344,216124,9772,033,9903,465,785
2023-12-18$37.30$34.0012.9%3.7%9.2%2.4%14.0%1.7%-0.0%45.0M-2.01B-32.2M0.552.1835,11219,2931,720,3623,065,811
2023-12-19$37.55$34.0013.0%3.7%9.2%2.8%12.9%1.6%0.3%55.4M-2.30B-32.1M3.032.0539,367119,2031,736,5903,069,592
2023-12-20$37.06$34.0014.2%4.1%10.7%8.0%14.7%1.9%0.1%28.9M-1.73B-33.5M1.642.1545,37474,4441,741,0473,143,541
2023-12-21$37.17$34.0014.4%4.1%10.7%8.7%15.0%1.9%0.0%23.2M-1.76B-33.8M3.061.5315,41347,1361,767,7443,177,643
2023-12-22$37.33$34.0013.7%3.9%10.7%5.6%14.1%1.6%0.2%40.8M-1.90B-33.3M1.101.9556,73762,3561,774,8413,177,785
2023-12-26$37.50$35.0013.6%3.9%10.6%5.3%13.6%2.1%0.5%47.0M-2.13B-33.0M0.511.8932,66016,5061,786,8163,195,284
2023-12-27$37.50$35.0013.1%3.7%10.6%3.4%13.5%1.9%0.4%43.7M-2.06B-33.5M1.071.8714,72915,7271,805,1983,210,504
2023-12-28$37.78$35.0013.6%3.7%10.7%5.3%13.8%2.4%0.3%56.7M-2.39B-33.2M1.331.8282,796109,8951,814,8873,220,113
2023-12-29$37.66$35.0014.1%3.8%10.6%7.4%14.6%2.1%0.3%36.2M-2.14B-33.6M1.781.7520,23736,0241,835,5213,309,000