XLF Options History — May 2024

In May 2024, XLF traded between $40.36 and $42.41. ATM implied volatility averaged 12.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.5% (HV 20d: 10.3%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.43.

Notable Days

2024-05-07: Highest Volume — 196,721 contracts
2024-05-28: Largest IV spike — 14.4% change
2024-05-30: Highest IV Rank — 32.3%
2024-05-01: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.46	$40.36	$42.41	$40.55	$41.41
Max Pain	$39.64	$39.00	$41.00	$41.00	$40.00
ATM IV	12.8%	11.2%	14.7%	14.5%	14.2%
Expected Move	3.7%	3.3%	4.3%	4.3%	3.9%
HV 20d	10.3%	8.3%	12.5%	12.5%	11.2%
HV 60d	11.1%	10.1%	11.8%	11.7%	11.3%
IV Rank	11.0%	0.0%	32.3%	18.4%	29.7%
IV Percentile	15.6%	0.0%	52.8%	46.8%	48.8%
Term Structure	0.1%	-1.3%	2.4%	0.1%	-1.3%
VWIV	13.5%	11.3%	16.1%	14.8%	14.6%
Skew 25d	2.3%	1.3%	4.1%	2.1%	2.7%
Skew 10d	5.2%	2.9%	10.2%	4.7%	5.7%
Call IV 25d	11.8%	10.2%	13.5%	13.5%	12.9%
Put IV 25d	14.1%	12.3%	17.0%	15.6%	15.7%
Bid-Ask Spread %	2.25	1.71	2.96	2.89	2.16
Gamma HHI	0.13	0.08	0.22	0.10	0.09
Net GEX	61.7M	-30.6M	190.7M	6.9M	10.8M
Net DEX	-3.43B	-4.95B	-2.03B	-2.33B	-3.17B
Net VEX	-37.8M	-40.1M	-34.9M	-40.0M	-37.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.53	2.62	1.00	0.84
Total Volume	118,960.773	49,416	196,721	96,660	70,235
Total OI	6,160,837.773	5,861,161	6,374,534	6,086,554	6,254,158

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
2024-05-01	$40.55	$41.00	14.5%	4.3%	12.5%	18.4%	14.8%	2.1%	0.1%	6.9M	-2.33B	-40.0M	1.00	2.89	48,414	48,246	2,236,542	3,850,012
2024-05-02	$40.36	$41.00	14.7%	4.2%	12.0%	19.5%	14.8%	2.4%	2.4%	-2.7M	-2.03B	-40.1M	1.14	2.61	33,636	38,486	2,266,991	3,873,532
2024-05-03	$40.61	$41.00	13.3%	3.8%	11.9%	9.0%	13.8%	2.5%	-0.3%	17.6M	-2.30B	-40.0M	0.86	2.35	53,733	45,962	2,277,049	3,875,724
2024-05-06	$40.95	$39.00	12.9%	3.8%	12.2%	5.9%	13.9%	2.3%	0.1%	47.7M	-2.84B	-39.7M	1.71	2.16	44,742	76,429	2,283,530	3,821,570
2024-05-07	$41.19	$39.00	12.4%	3.7%	12.2%	3.9%	13.2%	1.8%	0.4%	71.5M	-3.36B	-38.3M	2.62	1.96	54,269	142,452	2,310,163	3,864,015
2024-05-08	$41.39	$39.00	12.1%	3.7%	11.5%	0.1%	13.4%	1.8%	0.2%	84.0M	-3.64B	-38.5M	1.48	1.73	28,585	42,326	2,323,681	3,902,471
2024-05-09	$41.61	$39.00	12.0%	3.4%	11.5%	0.0%	12.6%	1.9%	0.4%	114.2M	-3.73B	-39.8M	2.05	1.71	25,551	52,267	2,337,798	3,931,415
2024-05-10	$41.86	$39.00	11.7%	3.4%	9.1%	0.0%	12.1%	1.4%	0.3%	134.7M	-4.30B	-37.1M	0.53	1.80	111,460	59,361	2,344,949	3,946,022
2024-05-13	$41.70	$39.00	12.7%	3.6%	8.9%	10.5%	12.9%	1.3%	-0.5%	110.2M	-4.04B	-37.2M	0.93	1.75	61,121	57,036	2,354,669	3,903,158
2024-05-14	$41.86	$39.00	12.2%	3.6%	8.7%	5.4%	14.9%	2.3%	0.3%	121.6M	-3.99B	-38.5M	1.87	2.29	64,586	120,973	2,368,752	3,944,228
2024-05-15	$42.11	$39.00	11.8%	3.4%	8.8%	1.2%	13.4%	2.1%	0.2%	190.7M	-4.65B	-36.2M	1.35	1.82	48,600	65,565	2,389,634	3,929,041
2024-05-16	$42.25	$39.00	12.1%	3.4%	8.8%	4.5%	11.6%	2.1%	-0.0%	178.3M	-4.81B	-35.3M	0.85	2.02	48,476	41,282	2,383,996	3,960,965
2024-05-17	$42.41	$39.00	11.2%	3.3%	8.3%	0.0%	11.3%	2.1%	0.6%	181.0M	-4.95B	-35.0M	1.43	1.98	20,335	29,081	2,382,190	3,992,344
2024-05-20	$41.97	$39.00	11.8%	3.4%	8.4%	5.8%	12.3%	2.1%	0.5%	48.5M	-3.86B	-35.9M	1.66	2.96	25,088	41,615	2,164,504	3,696,657
2024-05-21	$42.16	$40.00	11.9%	3.4%	8.3%	7.1%	13.2%	1.8%	0.4%	61.9M	-4.14B	-34.9M	2.22	2.39	60,994	135,394	2,174,884	3,709,280
2024-05-22	$41.91	$40.00	11.8%	3.4%	8.7%	5.9%	13.3%	2.1%	0.4%	34.6M	-3.77B	-36.2M	0.87	2.53	45,031	39,146	2,200,089	3,791,492
2024-05-23	$41.30	$40.00	12.9%	3.6%	10.2%	16.7%	13.8%	2.9%	1.1%	-15.6M	-2.84B	-38.0M	1.47	2.43	71,005	104,691	2,227,431	3,796,564
2024-05-24	$41.56	$40.00	12.2%	3.5%	10.3%	10.0%	11.9%	2.4%	-0.3%	16.0M	-3.30B	-37.9M	0.89	2.61	77,637	69,304	2,251,321	3,810,714
2024-05-28	$41.11	$40.00	14.0%	4.0%	11.0%	27.3%	14.0%	3.5%	-0.4%	-8.6M	-2.65B	-37.7M	1.97	2.19	58,010	114,071	2,258,133	3,775,216
2024-05-29	$40.91	$40.00	14.2%	4.0%	10.9%	29.2%	14.6%	3.7%	-0.5%	-30.6M	-2.27B	-38.4M	1.41	2.40	55,857	78,947	2,297,054	3,864,287
2024-05-30	$41.03	$40.00	14.5%	4.0%	11.0%	32.3%	16.1%	4.1%	-0.9%	-16.2M	-2.44B	-39.2M	2.34	2.81	32,113	75,025	2,332,502	3,879,704
2024-05-31	$41.41	$40.00	14.2%	3.9%	11.2%	29.7%	14.6%	2.7%	-1.3%	10.8M	-3.17B	-37.9M	0.84	2.16	38,094	32,141	2,352,921	3,901,237