XLF Options History — January 2024

In January 2024, XLF traded between $37.19 and $39.25. ATM implied volatility averaged 13.9%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.4% (HV 20d: 9.5%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2024-01-11: Highest Volume — 314,730 contracts
  • 2024-01-16: Largest IV spike — 8.7% change
  • 2024-01-04: Highest IV Rank — 13.1%
  • 2024-01-17: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.97$37.19$39.25$37.66$38.80
Max Pain$37.29$35.00$38.00$35.00$38.00
ATM IV13.9%12.1%15.4%14.6%13.9%
Expected Move4.0%3.6%4.3%4.0%4.1%
HV 20d9.5%8.5%10.7%10.4%10.7%
HV 60d12.6%10.7%13.7%13.7%10.7%
IV Rank7.0%0.0%13.1%9.6%7.4%
IV Percentile19.8%0.0%38.9%28.2%23.0%
Term Structure-0.2%-1.0%0.3%0.1%0.3%
VWIV14.6%12.9%16.5%14.0%15.9%
Skew 25d2.4%1.8%2.9%2.0%2.6%
Skew 10d5.3%4.4%7.1%4.6%5.7%
Call IV 25d13.0%11.5%14.5%13.8%13.2%
Put IV 25d15.4%13.3%17.4%15.8%15.7%
Bid-Ask Spread %2.211.744.081.872.64
Gamma HHI0.100.080.250.100.08
Net GEX14.5M-92.5M98.9M33.6M38.2M
Net DEX-2.06B-2.73B-1.39B-2.19B-2.14B
Net VEX-35.1M-37.3M-33.2M-33.2M-35.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.445.720.802.49
Total Volume157,549.8170,024314,73072,853151,726
Total OI5,309,841.9524,700,6726,036,8375,094,6525,024,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$37.66$35.0014.6%4.0%10.4%9.6%14.0%2.0%0.1%33.6M-2.19B-33.2M0.801.8740,47132,3821,830,0023,264,650
2024-01-03$37.50$35.0015.1%4.1%10.6%11.8%15.1%2.4%-0.1%28.9M-2.10B-33.3M2.991.8425,12575,2421,846,6763,269,650
2024-01-04$37.66$37.0015.4%4.2%10.3%13.1%15.7%2.9%-0.2%34.3M-2.18B-33.4M2.251.8446,773105,4321,855,9213,314,193
2024-01-05$37.72$37.0014.9%4.1%10.0%11.0%14.9%2.9%-0.6%27.2M-2.23B-33.4M0.731.9098,73771,8741,876,2213,373,782
2024-01-08$37.95$37.0014.4%4.1%10.0%8.8%16.5%2.5%-0.1%40.0M-2.57B-33.7M1.351.8167,18591,0201,911,3493,400,719
2024-01-09$37.70$37.0014.4%4.0%10.5%8.9%14.7%2.6%-0.6%23.0M-2.26B-35.0M3.251.8647,767155,1321,956,2363,457,134
2024-01-10$37.75$37.0014.7%4.0%10.4%9.9%16.2%2.3%-0.8%5.4M-2.23B-35.6M4.951.8245,518225,5231,980,6893,567,734
2024-01-11$37.63$37.0014.1%3.9%10.4%7.6%14.9%2.1%-0.5%-14.6M-2.10B-36.0M1.692.05116,887197,8432,007,5263,745,786
2024-01-12$37.59$37.0013.6%3.8%9.0%5.4%14.8%2.3%-0.5%-27.8M-2.00B-37.1M1.411.8452,52573,8012,090,6293,877,329
2024-01-16$37.27$37.0014.8%4.3%9.0%10.4%15.3%2.3%-0.8%-73.3M-1.57B-37.0M2.092.1535,02673,1512,055,1293,875,906
2024-01-17$37.19$38.0015.0%4.3%8.5%11.4%15.0%2.7%-0.4%-92.5M-1.39B-37.3M5.722.2632,670186,9812,066,8423,908,161
2024-01-18$37.31$38.0014.1%4.1%8.5%7.7%13.9%2.8%-1.0%-91.3M-1.64B-36.9M2.631.7424,91465,5512,075,1073,932,424
2024-01-19$37.91$37.0013.1%3.8%10.0%3.3%13.9%2.3%-0.2%98.9M-2.67B-35.0M0.532.14135,29271,5282,090,4523,946,385
2024-01-22$38.09$38.0013.1%3.8%8.7%3.2%13.4%2.2%0.3%19.3M-1.58B-35.3M2.272.4734,58978,5811,584,6583,116,014
2024-01-23$38.16$38.0012.5%3.7%8.7%0.8%12.9%2.0%0.2%22.4M-1.56B-35.3M0.734.0866,47048,3931,586,1443,133,054
2024-01-24$38.36$38.0012.1%3.6%8.7%0.0%13.3%1.8%0.2%43.2M-1.83B-34.9M1.972.7049,22596,9161,609,6663,150,034
2024-01-25$38.47$38.0012.9%3.8%8.7%3.5%13.7%2.0%-0.1%45.5M-2.00B-34.6M1.382.4299,300137,1051,645,5443,212,253
2024-01-26$38.66$38.0012.7%3.7%8.8%2.4%13.6%2.6%0.1%37.6M-2.23B-34.2M0.442.51100,58744,1171,683,5603,281,196
2024-01-29$38.67$38.0013.2%3.9%8.5%4.6%14.0%2.2%-0.1%42.8M-2.10B-35.4M1.222.3331,50238,5221,701,5473,234,721
2024-01-30$39.25$38.0013.4%4.0%9.6%5.5%14.4%2.3%0.1%64.3M-2.73B-34.2M0.722.0579,80757,3561,716,1193,250,829
2024-01-31$38.80$38.0013.9%4.1%10.7%7.4%15.9%2.6%0.3%38.2M-2.14B-35.6M2.492.6443,499108,2271,731,0783,293,632