XLF Options History — March 2024

In March 2024, XLF traded between $40.30 and $42.17. ATM implied volatility averaged 13.8%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.7% (HV 20d: 10.0%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2024-03-13: Highest Volume — 334,436 contracts
  • 2024-03-12: Largest IV drop — 8.4% change
  • 2024-03-11: Highest IV Rank — 12.2%
  • 2024-03-05: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.03$40.30$42.17$40.30$42.17
Max Pain$39.90$37.00$41.00$37.00$41.00
ATM IV13.8%12.7%15.0%13.6%13.6%
Expected Move3.9%3.6%4.4%3.6%3.8%
HV 20d10.0%7.5%12.5%12.5%9.6%
HV 60d10.6%9.9%11.1%11.1%10.8%
IV Rank7.5%3.2%12.2%6.3%10.2%
IV Percentile24.8%4.4%48.8%20.2%23.4%
Term Structure0.1%-1.0%0.6%-0.4%0.4%
VWIV14.4%12.9%16.3%13.4%13.4%
Skew 25d1.9%1.2%2.3%1.9%2.2%
Skew 10d4.5%3.2%6.5%3.7%4.8%
Call IV 25d13.2%12.4%14.2%13.1%12.5%
Put IV 25d15.1%13.8%16.5%14.9%14.7%
Bid-Ask Spread %5.081.9558.692.091.96
Gamma HHI0.120.100.150.100.13
Net GEX44.6M507.7K70.4M58.6M64.1M
Net DEX-3.33B-4.02B-2.68B-3.21B-4.02B
Net VEX-37.0M-39.0M-34.7M-35.7M-38.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.605.361.585.36
Total Volume145,904.1552,923334,436145,278201,950
Total OI5,657,440.655,262,4786,078,8605,560,0675,716,113

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$40.30$37.0013.6%3.6%12.5%6.3%13.4%1.9%-0.4%58.6M-3.21B-35.7M1.582.0956,35988,9191,987,8913,572,176
2024-03-04$40.38$39.0014.0%4.2%12.3%7.8%15.3%1.8%0.6%57.7M-3.22B-35.9M1.232.4030,35937,3031,993,2643,527,120
2024-03-05$40.30$39.0014.6%4.4%12.1%10.6%16.3%2.1%0.3%50.1M-3.11B-35.9M2.5058.6940,065100,1801,999,3803,544,272
2024-03-06$40.61$39.0014.8%4.2%12.2%11.2%14.7%2.2%0.1%56.9M-3.38B-36.4M2.762.0353,652147,8982,028,1683,616,556
2024-03-07$40.56$40.0014.6%4.1%12.1%10.7%14.5%2.1%0.4%54.6M-3.27B-37.2M0.602.2155,00833,0822,043,7793,684,216
2024-03-08$40.63$40.0014.5%4.1%11.9%10.2%15.7%1.8%0.5%62.9M-3.33B-37.4M1.902.2350,00295,0012,066,1553,695,309
2024-03-11$40.70$40.0015.0%4.1%11.9%12.2%16.2%2.2%-1.0%48.4M-3.40B-36.5M2.492.4124,73061,6822,050,5783,743,814
2024-03-12$40.88$40.0013.8%3.9%11.8%7.0%14.1%2.1%0.0%54.0M-3.64B-35.8M2.072.0636,90376,3932,057,6543,791,442
2024-03-13$41.05$40.0013.4%3.9%9.4%5.7%14.0%1.4%-0.3%60.7M-3.70B-36.9M2.042.13109,849224,5872,069,4513,849,153
2024-03-14$40.70$40.0014.2%4.0%9.7%8.8%14.6%2.1%-0.5%18.7M-3.28B-37.5M0.932.1667,16462,7382,114,5673,947,230
2024-03-15$40.80$40.0013.9%4.0%8.0%7.4%14.4%2.1%0.1%3.4M-3.41B-37.4M1.351.9669,40893,7062,129,1913,949,669
2024-03-18$40.88$40.0013.4%3.9%7.9%5.6%16.0%2.3%0.3%13.4M-2.68B-38.1M1.073.3940,47843,2421,853,7913,408,687
2024-03-19$41.03$40.0013.4%3.8%7.7%5.5%13.3%2.0%0.1%20.3M-2.93B-37.3M2.121.9555,089116,5351,871,8583,429,035
2024-03-20$41.58$40.0012.7%3.7%8.7%3.2%12.9%1.5%-0.4%52.3M-3.43B-37.1M2.732.3640,226109,6521,901,7553,512,392
2024-03-21$41.97$40.0012.9%3.7%7.5%4.0%13.7%1.2%0.2%70.4M-4.00B-34.7M1.472.17113,317166,6171,923,7403,549,240
2024-03-22$41.52$40.0013.2%3.7%8.7%5.2%13.4%1.5%0.3%63.8M-3.14B-39.0M2.952.5338,721114,1461,943,3283,632,045
2024-03-25$41.30$41.0013.4%3.8%8.9%6.5%14.1%1.9%0.4%507.7K-2.82B-38.5M2.342.0844,040103,0481,946,0823,650,927
2024-03-26$41.42$41.0013.3%3.7%8.9%6.6%13.3%1.9%0.6%17.6M-3.11B-38.0M1.062.1025,71127,2121,982,5463,702,323
2024-03-27$41.78$41.0012.9%3.6%9.2%5.2%14.9%1.9%0.1%64.0M-3.60B-37.0M1.472.6625,55037,5612,001,1343,662,782
2024-03-28$42.17$41.0013.6%3.8%9.6%10.2%13.4%2.2%0.4%64.1M-4.02B-38.1M5.361.9631,777170,1732,026,0693,690,044