XLF Options History — August 2024

In August 2024, XLF traded between $40.83 and $45.61. ATM implied volatility averaged 16.0%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.2% (HV 20d: 20.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.76.

Notable Days

2024-08-28: Highest Volume — 338,404 contracts
2024-08-02: Largest IV spike — 27.9% change
2024-08-05: Highest IV Rank — 100.0%
2024-08-05: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.35	$40.83	$45.61	$43.09	$45.61
Max Pain	$40.18	$40.00	$42.00	$42.00	$40.00
ATM IV	16.0%	12.8%	24.8%	16.2%	14.3%
Expected Move	4.6%	3.7%	7.1%	4.9%	3.9%
HV 20d	20.2%	14.2%	21.7%	14.2%	15.9%
HV 60d	14.5%	11.5%	15.2%	11.5%	14.6%
IV Rank	37.0%	11.4%	100.0%	49.3%	22.5%
IV Percentile	62.0%	10.3%	100.0%	82.1%	56.7%
Term Structure	-0.1%	-1.1%	0.7%	-0.6%	-0.4%
VWIV	17.0%	13.5%	27.4%	19.0%	14.6%
Skew 25d	4.3%	2.7%	9.0%	3.3%	7.0%
Skew 10d	9.4%	5.9%	19.8%	6.8%	12.7%
Call IV 25d	14.0%	9.3%	20.9%	14.8%	9.3%
Put IV 25d	18.3%	14.1%	29.9%	18.2%	16.3%
Bid-Ask Spread %	4.44	1.87	47.39	2.72	2.62
Gamma HHI	0.13	0.07	0.22	0.11	0.16
Net GEX	77.6M	-31.8M	159.4M	66.4M	159.4M
Net DEX	-4.19B	-6.79B	-478.8M	-3.71B	-6.79B
Net VEX	-33.2M	-39.2M	-28.9M	-35.7M	-29.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.31	5.48	5.15	2.06
Total Volume	153,359.773	48,359	338,404	142,997	155,469
Total OI	5,902,660	5,700,648	6,099,306	5,736,203	6,024,488

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
2024-08-01	$43.09	$42.00	16.2%	4.9%	14.2%	49.3%	19.0%	3.3%	-0.6%	66.4M	-3.71B	-35.7M	5.15	2.72	23,249	119,748	2,282,010	3,454,193
2024-08-02	$42.00	$42.00	20.7%	6.4%	17.2%	93.8%	23.1%	5.8%	-0.7%	-25.5M	-2.01B	-37.3M	2.71	47.39	73,774	199,802	2,289,378	3,484,987
2024-08-05	$40.83	$40.00	24.8%	7.1%	20.0%	100.0%	27.4%	9.0%	-0.0%	-31.8M	-478.8M	-39.2M	1.50	2.90	131,789	197,581	2,304,126	3,471,426
2024-08-06	$41.72	$40.00	20.2%	5.5%	21.4%	66.4%	20.8%	5.7%	-0.5%	16.5M	-2.11B	-37.8M	1.49	2.89	51,286	76,241	2,410,064	3,495,312
2024-08-07	$41.66	$40.00	20.8%	5.8%	21.4%	70.4%	22.1%	5.4%	-0.0%	5.8M	-1.73B	-38.4M	1.70	2.46	71,095	121,099	2,397,327	3,539,100
2024-08-08	$42.25	$40.00	18.6%	5.4%	21.7%	54.0%	18.8%	5.0%	0.3%	40.8M	-2.88B	-37.3M	1.30	2.38	36,653	47,642	2,432,162	3,580,072
2024-08-09	$42.39	$40.00	16.5%	5.0%	21.7%	39.0%	17.0%	3.8%	0.1%	60.5M	-3.21B	-35.8M	2.08	2.20	33,371	69,569	2,432,374	3,608,476
2024-08-12	$42.09	$40.00	17.9%	5.1%	21.3%	49.2%	17.7%	5.1%	-0.1%	18.1M	-2.55B	-36.0M	1.73	2.36	17,706	30,653	2,395,476	3,590,829
2024-08-13	$42.47	$40.00	16.1%	4.8%	21.0%	36.2%	16.7%	4.5%	0.7%	41.5M	-3.16B	-35.0M	1.15	1.92	39,141	45,080	2,400,714	3,591,542
2024-08-14	$43.11	$40.00	15.2%	4.4%	21.6%	29.4%	14.9%	3.7%	0.1%	100.8M	-4.33B	-33.3M	0.79	2.32	58,572	46,474	2,409,628	3,606,844
2024-08-15	$43.50	$40.00	14.0%	4.1%	21.5%	20.8%	15.1%	3.3%	0.5%	144.8M	-5.08B	-31.6M	1.09	2.03	69,616	75,655	2,426,381	3,635,605
2024-08-16	$43.70	$40.00	13.4%	3.8%	21.2%	16.4%	14.3%	3.1%	0.3%	111.6M	-5.21B	-31.8M	5.48	2.26	27,759	152,228	2,428,557	3,670,749
2024-08-19	$43.95	$40.00	12.8%	3.7%	21.2%	11.4%	14.9%	2.7%	0.1%	116.0M	-5.09B	-30.2M	0.97	1.87	33,227	32,227	2,197,370	3,503,278
2024-08-20	$43.78	$40.00	13.1%	3.7%	21.2%	13.7%	13.5%	3.1%	0.1%	97.8M	-4.85B	-31.4M	1.71	2.34	19,659	33,670	2,223,336	3,528,293
2024-08-21	$43.78	$40.00	13.5%	3.9%	20.7%	17.1%	15.1%	4.0%	0.1%	93.0M	-4.78B	-31.5M	3.88	2.53	20,863	80,915	2,232,619	3,543,902
2024-08-22	$44.00	$40.00	14.6%	4.2%	20.7%	25.0%	14.8%	3.6%	0.2%	95.3M	-5.05B	-31.0M	1.13	2.15	40,135	45,317	2,239,131	3,562,398
2024-08-23	$44.36	$40.00	13.6%	3.9%	20.5%	17.3%	13.7%	3.0%	0.4%	112.3M	-5.54B	-30.3M	0.95	2.62	81,155	76,966	2,264,050	3,590,390
2024-08-26	$44.58	$40.00	13.8%	3.9%	20.5%	18.7%	14.0%	3.8%	-1.0%	115.0M	-5.58B	-29.6M	0.83	2.17	115,147	95,440	2,239,229	3,601,253
2024-08-27	$44.75	$40.00	13.9%	4.0%	20.2%	19.8%	14.6%	3.8%	-1.1%	115.9M	-5.76B	-28.9M	0.38	2.24	107,653	40,826	2,234,114	3,640,458
2024-08-28	$44.89	$40.00	14.1%	4.0%	20.2%	21.0%	18.2%	3.9%	-0.1%	114.3M	-5.80B	-29.9M	0.31	2.53	257,465	80,939	2,252,615	3,644,287
2024-08-29	$45.25	$40.00	14.3%	3.9%	19.0%	23.0%	13.7%	2.8%	-0.4%	138.8M	-6.43B	-30.0M	0.34	2.69	180,042	61,017	2,333,402	3,666,575
2024-08-30	$45.61	$40.00	14.3%	3.9%	15.9%	22.5%	14.6%	7.0%	-0.4%	159.4M	-6.79B	-29.2M	2.06	2.62	50,755	104,714	2,350,635	3,673,853