XLF Options History — February 2024

In February 2024, XLF traded between $38.61 and $40.36. ATM implied volatility averaged 13.8%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.5% (HV 20d: 12.3%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.11.

Notable Days

  • 2024-02-01: Highest Volume — 329,108 contracts
  • 2024-02-20: Largest IV spike — 10.2% change
  • 2024-02-20: Highest IV Rank — 12.7%
  • 2024-02-20: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.46$38.61$40.36$38.78$40.36
Max Pain$36.80$36.00$37.00$36.00$37.00
ATM IV13.8%12.9%15.1%14.1%13.9%
Expected Move3.9%3.7%4.2%4.1%3.7%
HV 20d12.3%10.6%14.2%10.6%12.4%
HV 60d10.6%9.4%11.3%10.3%11.0%
IV Rank7.1%3.5%12.7%8.3%7.6%
IV Percentile23.5%7.5%46.0%26.6%29.0%
Term Structure0.1%-1.8%1.3%0.1%-0.2%
VWIV14.3%13.3%17.0%17.0%13.3%
Skew 25d2.4%1.8%3.3%2.6%2.0%
Skew 10d5.2%3.5%7.4%5.7%4.2%
Call IV 25d13.1%12.2%14.0%13.4%13.2%
Put IV 25d15.4%14.1%17.2%16.1%15.3%
Bid-Ask Spread %2.041.772.362.242.36
Gamma HHI0.120.080.170.080.12
Net GEX60.4M13.6M85.7M17.6M84.5M
Net DEX-2.73B-3.66B-1.82B-1.89B-3.37B
Net VEX-35.4M-37.3M-33.9M-37.1M-34.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.445.573.391.42
Total Volume142,266.3556,526329,108329,108327,215
Total OI5,291,614.65,111,9455,440,8325,111,9455,396,058

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$38.78$36.0014.1%4.1%10.6%8.3%17.0%2.6%0.1%17.6M-1.89B-37.1M3.392.2474,905254,2031,751,0713,360,874
2024-02-02$39.03$36.0013.6%4.0%10.7%6.3%13.6%2.7%0.3%56.6M-2.43B-36.0M0.852.1054,17246,1191,793,9223,437,610
2024-02-05$38.78$36.0013.2%3.9%11.1%4.6%13.9%3.1%0.4%33.3M-2.07B-37.3M2.501.9434,50786,1601,805,4203,378,672
2024-02-06$38.80$36.0013.0%3.8%10.9%3.9%13.5%2.3%0.2%37.4M-2.08B-37.2M1.321.8324,33732,1891,820,6903,418,828
2024-02-07$39.11$37.0013.0%3.9%10.8%3.8%13.4%1.9%0.5%58.4M-2.51B-36.6M1.492.1725,09837,4191,833,1263,434,887
2024-02-08$38.97$37.0012.9%3.8%10.9%3.5%14.1%1.9%0.2%50.7M-2.35B-36.1M2.881.8915,01043,1871,842,0253,449,354
2024-02-09$39.02$37.0013.0%3.8%10.8%3.8%14.7%1.8%0.4%64.4M-2.43B-36.5M3.021.9430,05990,8161,848,5963,463,344
2024-02-12$39.28$37.0013.9%4.1%10.9%7.7%14.7%2.1%-0.3%70.2M-2.75B-35.2M3.071.8930,65494,2541,831,3363,445,865
2024-02-13$38.61$37.0014.5%4.1%12.3%10.0%14.7%2.8%0.6%13.6M-1.82B-36.1M1.131.8936,18741,0691,833,2273,488,713
2024-02-14$39.05$37.0013.7%3.9%12.7%6.8%15.1%2.6%1.0%67.2M-2.58B-35.1M5.571.9119,455108,3101,852,6823,496,798
2024-02-15$39.72$37.0013.8%3.9%13.7%7.2%14.7%2.3%1.3%82.7M-3.17B-34.4M1.041.7961,68964,1651,859,6123,520,911
2024-02-16$39.63$37.0013.7%4.0%13.0%6.8%14.8%2.1%-1.8%77.9M-3.09B-35.3M3.141.7720,22263,4151,884,3853,556,447
2024-02-20$39.50$37.0015.1%4.2%13.1%12.7%14.6%3.2%0.5%49.0M-2.63B-34.9M2.102.1229,52461,8861,808,4953,373,433
2024-02-21$39.52$37.0014.8%4.2%13.1%11.4%14.9%3.3%-0.9%43.3M-2.61B-35.2M1.032.3668,98271,2821,826,4913,409,584
2024-02-22$40.17$37.0014.7%4.0%14.0%11.0%13.9%2.5%-0.4%72.8M-3.36B-34.0M0.792.1579,30962,7621,859,1863,436,229
2024-02-23$40.30$37.0013.7%3.7%14.0%6.7%13.4%2.1%0.5%84.1M-3.66B-34.1M0.442.1772,63532,1381,927,5213,432,835
2024-02-26$40.14$37.0013.7%3.8%14.2%6.7%13.3%2.2%-0.2%81.4M-3.20B-35.4M1.082.0782,68989,6301,927,9553,408,654
2024-02-27$40.16$37.0013.5%3.8%14.2%5.9%13.6%1.9%-0.2%76.4M-3.26B-33.9M3.332.1339,761132,4751,898,0243,381,582
2024-02-28$40.31$37.0013.9%3.8%13.3%7.8%13.7%1.9%-0.8%85.7M-3.40B-33.9M2.512.1287,604219,8341,928,2913,409,559
2024-02-29$40.36$37.0013.9%3.7%12.4%7.6%13.3%2.0%-0.2%84.5M-3.37B-34.1M1.422.36135,027192,1881,957,2963,438,762