XLF Options History — April 2024

In April 2024, XLF traded between $39.72 and $41.88. ATM implied volatility averaged 15.9%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.5% (HV 20d: 12.3%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.93.

Notable Days

2024-04-08: Highest Volume — 334,497 contracts
2024-04-04: Largest IV spike — 13.2% change
2024-04-12: Highest IV Rank — 44.1%
2024-04-12: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.83	$39.72	$41.88	$41.88	$40.44
Max Pain	$41.00	$41.00	$41.00	$41.00	$41.00
ATM IV	15.9%	14.1%	17.9%	14.2%	14.7%
Expected Move	4.5%	4.0%	5.1%	4.0%	4.4%
HV 20d	12.3%	10.0%	13.7%	10.0%	12.4%
HV 60d	11.7%	10.9%	12.3%	10.9%	11.8%
IV Rank	28.5%	15.0%	44.1%	15.7%	19.9%
IV Percentile	63.1%	38.5%	79.8%	40.1%	51.6%
Term Structure	-0.2%	-1.5%	0.4%	0.3%	-1.5%
VWIV	16.2%	13.9%	17.9%	14.4%	16.1%
Skew 25d	3.1%	2.1%	4.5%	2.6%	2.8%
Skew 10d	6.7%	5.3%	9.4%	5.6%	5.4%
Call IV 25d	14.7%	12.9%	16.6%	13.4%	13.6%
Put IV 25d	17.8%	15.7%	21.0%	16.0%	16.3%
Bid-Ask Spread %	2.31	1.81	3.79	2.33	2.19
Gamma HHI	0.11	0.10	0.14	0.11	0.10
Net GEX	-19.4M	-107.5M	48.8M	35.1M	224.7K
Net DEX	-2.29B	-3.66B	-643.2M	-3.66B	-2.02B
Net VEX	-40.7M	-43.4M	-37.6M	-37.6M	-41.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.84	4.50	1.61	2.40
Total Volume	167,671.318	65,519	334,497	68,830	77,935
Total OI	5,942,501.545	5,625,106	6,174,077	5,729,857	6,047,982

Daily Data (22 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
2024-04-01	$41.88	$41.00	14.2%	4.0%	10.0%	15.7%	14.4%	2.6%	0.3%	35.1M	-3.66B	-37.6M	1.61	2.33	26,339	42,491	2,006,468	3,723,389
2024-04-02	$41.66	$41.00	15.0%	4.2%	10.4%	22.0%	13.9%	2.7%	0.1%	21.8M	-3.29B	-38.5M	1.63	3.79	39,086	63,740	2,020,868	3,751,694
2024-04-03	$41.67	$41.00	15.1%	4.3%	10.3%	22.9%	15.9%	2.9%	0.2%	22.4M	-3.20B	-39.5M	1.83	2.19	60,251	110,516	2,034,103	3,747,338
2024-04-04	$41.22	$41.00	17.1%	4.7%	10.9%	38.0%	16.7%	3.2%	-0.5%	-44.6M	-2.57B	-39.9M	2.51	2.80	32,878	82,500	2,063,457	3,805,948
2024-04-05	$41.53	$41.00	15.8%	4.4%	11.2%	28.4%	16.1%	2.6%	-0.1%	-888.2K	-3.07B	-39.9M	1.77	1.93	61,696	109,412	2,077,689	3,822,791
2024-04-08	$41.72	$41.00	16.1%	4.5%	11.2%	30.5%	16.5%	2.7%	-0.4%	5.3M	-3.29B	-39.3M	4.50	2.04	60,865	273,632	2,070,191	3,785,852
2024-04-09	$41.42	$41.00	15.9%	4.7%	11.6%	28.9%	15.9%	2.9%	0.4%	-24.0M	-2.80B	-39.3M	1.60	2.19	104,023	166,177	2,077,710	3,860,101
2024-04-10	$40.92	$41.00	16.8%	4.7%	12.4%	35.8%	15.9%	3.5%	-0.5%	-61.0M	-2.01B	-41.6M	1.13	2.01	98,257	111,319	2,130,023	3,879,376
2024-04-11	$40.80	$41.00	16.0%	4.6%	12.4%	29.9%	16.3%	3.2%	0.0%	-70.9M	-2.00B	-40.5M	1.03	2.10	126,099	129,831	2,135,087	3,840,803
2024-04-12	$40.06	$41.00	17.9%	5.1%	13.6%	44.1%	17.3%	4.1%	-0.1%	-107.5M	-884.5M	-43.4M	1.24	1.86	124,333	153,901	2,240,242	3,867,257
2024-04-15	$39.83	$41.00	17.8%	5.1%	13.7%	43.1%	17.9%	4.4%	-0.5%	-104.7M	-643.2M	-43.4M	2.19	2.23	49,492	108,541	2,218,569	3,841,692
2024-04-16	$39.72	$41.00	17.1%	4.9%	13.7%	37.9%	17.7%	4.5%	0.3%	-101.0M	-752.5M	-42.1M	1.79	2.08	70,544	126,002	2,253,364	3,797,543
2024-04-17	$39.75	$41.00	16.9%	4.8%	13.5%	36.0%	17.0%	4.1%	0.4%	-102.3M	-975.2M	-41.5M	1.97	1.95	62,925	123,689	2,284,720	3,807,919
2024-04-18	$39.88	$41.00	16.4%	4.7%	12.5%	32.4%	16.4%	3.8%	-0.1%	-97.4M	-1.24B	-42.3M	0.84	1.95	96,490	80,970	2,307,920	3,793,023
2024-04-19	$40.31	$41.00	17.0%	4.9%	12.7%	36.8%	17.1%	3.3%	-0.8%	-4.6M	-2.05B	-41.7M	1.77	1.81	43,508	76,989	2,359,335	3,814,742
2024-04-22	$40.86	$41.00	15.3%	4.5%	13.4%	24.7%	15.9%	2.9%	-0.2%	29.0M	-2.66B	-40.2M	1.93	2.24	66,702	128,628	2,108,055	3,517,051
2024-04-23	$41.11	$41.00	15.2%	4.4%	13.5%	23.6%	17.0%	2.1%	-0.2%	43.2M	-2.96B	-40.5M	3.31	2.76	47,274	156,332	2,137,789	3,622,566
2024-04-24	$41.11	$41.00	14.8%	4.2%	13.4%	20.5%	15.3%	2.5%	-0.2%	48.8M	-2.80B	-41.7M	1.42	2.37	30,614	43,437	2,182,229	3,746,058
2024-04-25	$40.91	$41.00	14.9%	4.3%	13.1%	21.1%	14.8%	2.9%	-0.3%	31.5M	-2.63B	-41.0M	1.40	2.51	53,379	74,930	2,189,610	3,770,065
2024-04-26	$40.84	$41.00	14.1%	4.0%	12.5%	15.0%	14.1%	2.4%	0.0%	33.3M	-2.64B	-39.7M	1.95	3.02	22,215	43,304	2,206,329	3,805,205
2024-04-29	$40.69	$41.00	14.6%	4.3%	12.4%	19.0%	17.9%	2.7%	0.1%	20.9M	-2.35B	-40.4M	2.65	2.45	34,936	92,587	2,199,990	3,782,891
2024-04-30	$40.44	$41.00	14.7%	4.4%	12.4%	19.9%	16.1%	2.8%	-1.5%	224.7K	-2.02B	-41.3M	2.40	2.19	22,920	55,015	2,228,807	3,819,175