XLF Options History — June 2024

In June 2024, XLF traded between $40.66 and $41.67. ATM implied volatility averaged 14.2%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.8% (HV 20d: 10.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.41.

Notable Days

2024-06-13: Highest Volume — 266,666 contracts
2024-06-12: Largest IV drop — 8.2% change
2024-06-17: Highest IV Rank — 36.9%
2024-06-17: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.14	$40.66	$41.67	$41.30	$41.02
Max Pain	$40.84	$40.00	$41.00	$40.00	$41.00
ATM IV	14.2%	13.3%	14.9%	13.9%	14.2%
Expected Move	4.1%	3.9%	4.3%	4.0%	4.0%
HV 20d	10.4%	9.4%	11.1%	11.1%	9.4%
HV 60d	11.2%	10.9%	11.5%	11.3%	10.9%
IV Rank	29.6%	20.6%	36.9%	26.7%	29.7%
IV Percentile	49.7%	22.2%	68.3%	41.3%	52.8%
Term Structure	-0.1%	-0.7%	0.6%	0.1%	-0.3%
VWIV	14.5%	13.3%	16.2%	14.8%	14.3%
Skew 25d	2.1%	1.3%	3.0%	2.5%	1.7%
Skew 10d	5.0%	3.2%	7.3%	5.8%	3.3%
Call IV 25d	13.5%	12.6%	14.7%	13.0%	13.6%
Put IV 25d	15.5%	14.4%	16.7%	15.4%	15.2%
Bid-Ask Spread %	2.13	1.76	2.81	2.15	2.68
Gamma HHI	0.11	0.08	0.18	0.09	0.12
Net GEX	9.8M	-67.2M	87.4M	8.4M	-6.2M
Net DEX	-2.65B	-3.78B	-1.77B	-3.02B	-1.99B
Net VEX	-36.9M	-38.4M	-36.0M	-37.5M	-36.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.59	4.25	1.46	2.92
Total Volume	129,571.368	57,199	266,666	57,199	127,813
Total OI	6,101,579.105	5,146,832	6,567,228	6,246,953	5,423,090

Daily Data (19 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
2024-06-03	$41.30	$40.00	13.9%	4.0%	11.1%	26.7%	14.8%	2.5%	0.1%	8.4M	-3.02B	-37.5M	1.46	2.15	23,263	33,936	2,349,809	3,897,144
2024-06-04	$41.17	$40.00	14.5%	4.3%	10.8%	32.5%	16.2%	3.0%	0.2%	3.9M	-2.70B	-38.4M	4.25	2.76	35,678	151,646	2,363,694	3,907,844
2024-06-05	$41.25	$40.00	14.2%	4.0%	10.6%	29.6%	14.2%	2.9%	0.2%	2.6M	-2.94B	-37.7M	2.01	2.81	21,271	42,778	2,373,359	3,938,228
2024-06-06	$41.28	$41.00	13.3%	4.0%	10.5%	20.6%	14.1%	2.7%	0.6%	10.1M	-2.95B	-37.6M	1.07	2.09	30,731	32,892	2,398,485	3,953,420
2024-06-07	$41.48	$41.00	13.5%	4.0%	10.5%	22.3%	13.3%	1.7%	0.5%	43.3M	-3.34B	-36.5M	1.12	1.98	50,023	56,243	2,396,975	3,953,460
2024-06-10	$41.28	$41.00	13.9%	4.1%	10.3%	26.1%	13.8%	2.7%	0.5%	5.1M	-3.09B	-36.4M	1.27	2.14	35,723	45,546	2,404,631	3,939,968
2024-06-11	$40.80	$41.00	14.8%	4.2%	11.0%	35.5%	15.2%	2.1%	-0.0%	-38.2M	-2.22B	-37.1M	1.62	1.86	61,959	100,384	2,416,271	3,950,641
2024-06-12	$40.83	$41.00	13.6%	3.9%	10.9%	23.5%	14.1%	1.4%	-0.2%	-54.7M	-2.15B	-37.4M	1.94	1.79	42,006	81,537	2,451,901	3,989,658
2024-06-13	$40.78	$41.00	13.7%	3.9%	10.5%	24.7%	14.0%	1.6%	0.0%	-67.2M	-2.05B	-37.4M	1.72	1.94	97,872	168,794	2,464,769	4,005,149
2024-06-14	$40.66	$41.00	14.1%	4.0%	10.4%	28.8%	14.7%	1.5%	-0.1%	-58.6M	-2.02B	-37.2M	1.22	1.76	40,347	49,329	2,482,111	3,932,535
2024-06-17	$41.00	$41.00	14.9%	4.3%	10.8%	36.9%	15.1%	2.0%	-0.3%	-19.0M	-2.61B	-36.8M	0.82	2.01	50,929	41,735	2,477,283	3,914,508
2024-06-18	$41.20	$41.00	14.3%	4.1%	10.5%	30.1%	14.4%	1.3%	-0.1%	14.5M	-3.24B	-36.3M	0.66	1.77	73,097	48,303	2,513,647	3,938,911
2024-06-20	$41.45	$41.00	14.6%	4.2%	10.7%	33.4%	14.9%	1.5%	-0.5%	87.4M	-3.78B	-36.0M	0.59	1.88	96,547	56,554	2,555,271	3,946,828
2024-06-21	$41.31	$41.00	14.2%	4.1%	10.5%	29.8%	14.4%	1.5%	-0.7%	44.5M	-3.55B	-36.3M	1.01	1.80	96,231	97,171	2,599,615	3,967,613
2024-06-24	$41.67	$41.00	14.6%	4.2%	9.7%	33.5%	14.6%	2.4%	-0.4%	87.3M	-2.81B	-36.4M	0.77	2.27	97,217	74,588	2,035,130	3,111,702
2024-06-25	$41.23	$41.00	14.9%	4.3%	10.2%	36.3%	14.7%	2.2%	-0.2%	54.2M	-2.20B	-36.7M	0.65	2.10	89,169	57,885	2,061,373	3,146,395
2024-06-26	$41.00	$41.00	14.7%	4.2%	9.6%	34.2%	14.4%	2.5%	-0.4%	44.2M	-1.97B	-36.3M	0.81	2.42	77,590	62,661	2,127,251	3,174,623
2024-06-27	$40.92	$41.00	14.0%	4.0%	9.4%	27.6%	14.0%	2.1%	-0.4%	24.7M	-1.77B	-36.8M	0.89	2.27	59,473	52,935	2,163,617	3,203,094
2024-06-28	$41.02	$41.00	14.2%	4.0%	9.4%	29.7%	14.3%	1.7%	-0.3%	-6.2M	-1.99B	-36.3M	2.92	2.68	32,644	95,169	2,192,371	3,230,719