XLF Options History — July 2024 In July 2024, XLF traded between $41.19 and $43.88. ATM implied volatility averaged 14.1%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.5% (HV 20d: 10.6%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.20.
Notable Days 2024-07-16 : Highest Volume — 368,153 contracts2024-07-12 : Largest IV drop — 5.9% change2024-07-24 : Highest IV Rank — 38.6%2024-07-30 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $42.65 $41.19 $43.88 $41.19 $43.88 Max Pain $41.41 $41.00 $42.00 $41.00 $42.00 ATM IV 14.1% 13.0% 15.1% 13.9% 14.9% Expected Move 4.1% 3.7% 4.5% 3.9% 4.4% HV 20d 10.6% 8.9% 12.4% 8.9% 12.2% HV 60d 10.5% 9.7% 11.0% 10.7% 10.9% IV Rank 28.6% 17.6% 38.6% 26.5% 36.9% IV Percentile 48.0% 16.3% 75.8% 42.9% 71.0% Term Structure -0.4% -5.0% 0.8% 0.0% -0.8% VWIV 14.7% 12.7% 16.8% 13.9% 15.4% Skew 25d 1.9% 0.7% 2.9% 2.6% 2.4% Skew 10d 4.5% 1.8% 6.8% 4.9% 6.8% Call IV 25d 13.4% 12.1% 14.6% 12.7% 14.3% Put IV 25d 15.3% 13.5% 16.8% 15.2% 16.7% Bid-Ask Spread % 2.64 1.89 7.34 2.40 3.12 Gamma HHI 0.14 0.10 0.16 0.10 0.15 Net GEX 123.7M 74.2M 177.9M 74.2M 131.9M Net DEX -4.04B -5.74B -2.27B -2.27B -5.09B Net VEX -33.4M -35.9M -30.6M -35.9M -32.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.17 4.26 0.67 1.76 Total Volume 140,275.636 34,878 368,153 96,178 109,247 Total OI 5,496,744.636 5,268,814 5,816,842 5,327,255 5,689,379
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 2024-07-01 $41.19 $41.00 13.9% 3.9% 8.9% 26.5% 13.9% 2.6% 0.0% 74.2M -2.27B -35.9M 0.67 2.40 57,620 38,558 2,084,589 3,242,666 2024-07-02 $41.61 $41.00 13.5% 3.7% 9.6% 22.8% 13.3% 2.9% -0.9% 121.2M -3.06B -34.1M 2.21 2.51 29,550 65,437 2,113,006 3,256,664 2024-07-03 $41.59 $41.00 13.5% 3.7% 9.5% 22.7% 12.7% 2.3% -0.7% 108.5M -2.82B -35.5M 0.69 2.65 33,853 23,221 2,120,468 3,271,706 2024-07-05 $41.50 $41.00 13.1% 3.9% 9.6% 19.0% 13.4% 2.0% 0.0% 128.5M -2.67B -35.2M 1.42 1.95 14,422 20,456 2,115,574 3,281,066 2024-07-08 $41.47 $41.00 13.4% 4.1% 9.6% 22.0% 13.4% 1.9% 0.8% 91.7M -2.60B -34.9M 0.85 2.07 76,642 64,767 2,090,945 3,189,734 2024-07-09 $41.78 $41.00 13.5% 3.8% 9.8% 22.2% 14.9% 1.9% 0.0% 110.6M -3.18B -33.3M 1.04 2.16 72,220 75,133 2,097,111 3,171,703 2024-07-10 $41.80 $41.00 13.7% 3.9% 9.6% 24.7% 13.6% 1.5% -0.2% 121.3M -3.15B -34.5M 0.42 1.89 106,172 45,052 2,127,173 3,202,972 2024-07-11 $42.22 $41.00 13.8% 3.9% 8.9% 25.6% 13.9% 1.3% -0.3% 153.5M -3.84B -33.4M 1.06 7.34 45,341 48,193 2,152,340 3,200,735 2024-07-12 $42.39 $41.00 13.0% 3.8% 9.0% 17.6% 13.1% 0.9% 0.4% 177.9M -4.19B -32.3M 0.88 2.39 90,863 80,281 2,157,474 3,228,135 2024-07-15 $42.91 $41.00 13.3% 3.8% 9.6% 20.7% 14.0% 0.7% 0.3% 142.1M -4.65B -31.6M 0.70 2.18 126,734 88,876 2,133,566 3,244,915 2024-07-16 $43.45 $41.00 13.9% 4.0% 10.0% 26.4% 16.0% 1.1% -0.5% 150.3M -5.43B -30.6M 0.17 2.00 315,046 53,107 2,224,052 3,268,167 2024-07-17 $43.78 $41.00 14.1% 4.0% 9.9% 28.2% 15.1% 0.9% -0.3% 160.2M -5.74B -31.0M 0.69 2.15 157,730 108,847 2,264,153 3,305,397 2024-07-18 $43.30 $41.00 14.7% 4.2% 11.1% 34.7% 15.5% 1.7% -0.6% 170.7M -5.09B -33.1M 1.17 2.30 124,924 146,726 2,315,197 3,358,912 2024-07-19 $42.84 $42.00 14.8% 4.2% 12.0% 35.0% 15.3% 2.0% 0.2% 101.3M -4.36B -34.5M 1.64 2.26 73,279 119,988 2,347,707 3,469,135 2024-07-22 $43.11 $42.00 14.1% 4.1% 11.9% 28.5% 14.3% 2.0% -0.5% 114.6M -4.40B -33.2M 0.84 2.75 55,283 46,441 2,239,445 3,324,683 2024-07-23 $43.22 $42.00 14.5% 4.1% 11.7% 32.6% 14.1% 1.1% 0.4% 126.9M -4.54B -33.1M 2.16 2.59 36,181 78,173 2,258,011 3,332,835 2024-07-24 $42.69 $42.00 15.1% 4.4% 11.9% 38.6% 15.8% 2.0% -5.0% 84.1M -3.64B -34.3M 4.26 2.43 14,699 62,681 2,268,640 3,316,392 2024-07-25 $42.91 $42.00 15.1% 4.4% 11.7% 38.4% 16.2% 2.0% 0.1% 95.7M -3.98B -34.2M 0.47 2.76 78,334 36,547 2,265,152 3,355,328 2024-07-26 $43.41 $42.00 14.5% 4.2% 12.0% 32.8% 16.3% 2.7% -0.1% 121.0M -4.61B -32.7M 1.50 2.90 51,415 77,183 2,232,108 3,364,626 2024-07-29 $43.36 $42.00 14.7% 4.3% 12.1% 34.8% 16.8% 2.5% -0.2% 108.8M -4.47B -32.7M 0.69 2.73 31,681 21,946 2,240,090 3,371,805 2024-07-30 $43.84 $42.00 15.0% 4.5% 12.4% 37.8% 16.6% 2.9% -0.2% 127.3M -5.11B -32.0M 1.15 2.66 38,738 44,477 2,255,549 3,379,077 2024-07-31 $43.88 $42.00 14.9% 4.4% 12.2% 36.9% 15.4% 2.4% -0.8% 131.9M -5.09B -32.2M 1.76 3.12 39,514 69,733 2,276,579 3,412,800
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