XLF Options History — September 2024

In September 2024, XLF traded between $44.19 and $45.72. ATM implied volatility averaged 16.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 12.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.57.

Notable Days

  • 2024-09-11: Highest Volume — 307,542 contracts
  • 2024-09-06: Largest IV spike — 14.6% change
  • 2024-09-06: Highest IV Rank — 55.4%
  • 2024-09-10: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.98$44.19$45.72$45.25$45.22
Max Pain$43.90$40.00$45.00$40.00$45.00
ATM IV16.1%14.4%18.7%16.6%15.8%
Expected Move4.7%4.2%5.4%4.8%4.6%
HV 20d12.8%9.6%13.9%11.4%13.3%
HV 60d15.4%14.7%15.7%14.8%15.6%
IV Rank36.1%23.6%55.4%39.7%33.8%
IV Percentile76.7%53.6%92.1%83.3%77.0%
Term Structure0.3%-0.7%2.2%-0.2%2.2%
VWIV17.2%14.9%21.0%17.5%16.9%
Skew 25d3.7%2.2%5.5%4.2%3.3%
Skew 10d8.5%4.5%12.0%8.3%6.6%
Call IV 25d14.7%13.5%15.9%14.6%14.0%
Put IV 25d18.4%16.2%21.4%18.8%17.3%
Bid-Ask Spread %2.151.802.682.112.37
Gamma HHI0.130.100.170.170.11
Net GEX53.4M-34.4M132.3M116.8M-6.1M
Net DEX-4.79B-6.44B-2.72B-6.22B-3.30B
Net VEX-34.5M-36.8M-30.2M-30.2M-36.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.570.685.585.141.47
Total Volume183,408.3583,442307,542272,46683,442
Total OI6,244,792.455,610,8117,014,2536,077,9715,861,841

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$45.25$40.0016.6%4.8%11.4%39.7%17.5%4.2%-0.2%116.8M-6.22B-30.2M5.142.1144,411228,0552,357,1313,720,840
2024-09-04$45.41$40.0015.9%4.6%9.6%34.7%17.2%4.6%0.1%109.9M-6.20B-32.0M1.632.1362,502102,0182,385,4173,731,982
2024-09-05$44.98$44.0016.3%4.8%10.6%37.7%17.8%5.0%0.0%85.2M-5.69B-33.1M3.321.9451,766171,6752,410,5133,795,494
2024-09-06$44.25$44.0018.7%5.4%12.1%55.4%18.6%5.5%1.7%59.0M-4.45B-35.0M3.302.1257,231188,7672,408,7723,818,842
2024-09-09$44.97$44.0017.3%5.0%13.1%44.6%21.0%4.0%-0.3%83.9M-5.47B-33.8M2.032.0139,12879,4032,399,7453,820,300
2024-09-10$44.45$44.0017.6%5.4%13.6%47.1%19.9%4.8%1.2%59.1M-4.65B-35.6M3.762.0447,489178,7672,409,3313,866,483
2024-09-11$44.19$44.0017.6%5.1%13.7%47.1%17.4%5.1%0.1%30.7M-4.42B-34.7M2.302.6393,200214,3422,429,8383,956,459
2024-09-12$44.36$44.0016.8%5.0%12.9%41.2%18.0%4.5%1.0%59.1M-4.79B-34.1M2.322.5267,431156,7682,471,3343,966,987
2024-09-13$44.53$44.0016.4%4.6%12.6%38.2%16.6%3.8%-0.7%59.2M-4.88B-35.3M2.402.0263,878153,4852,501,6004,067,877
2024-09-16$45.02$44.0016.1%4.6%13.0%36.0%18.8%3.7%0.0%87.9M-5.54B-33.9M1.501.8054,01080,9742,490,5404,102,554
2024-09-17$45.22$44.0016.6%4.8%13.0%39.9%16.4%3.3%0.1%96.0M-5.87B-33.3M3.471.8238,872134,7702,507,6864,120,254
2024-09-18$45.22$44.0016.4%4.7%12.9%38.3%17.5%3.7%-0.1%85.4M-5.74B-35.2M5.582.6841,119229,3752,521,2594,234,727
2024-09-19$45.72$44.0015.2%4.4%13.3%29.5%16.0%2.7%0.3%132.3M-6.44B-33.5M1.001.93136,847136,3792,539,2444,330,461
2024-09-20$45.59$44.0014.6%4.2%13.3%25.0%15.7%2.3%0.2%61.0M-6.18B-34.7M2.341.8846,181108,2352,580,5114,433,742
2024-09-23$45.42$45.0014.5%4.2%13.2%24.3%15.0%2.4%0.1%12.1M-3.61B-34.5M1.252.5840,14550,1291,940,2303,670,581
2024-09-24$44.97$45.0014.4%4.2%13.7%23.6%14.9%2.7%-0.6%-15.2M-3.06B-35.2M1.052.2078,55882,4371,965,3493,698,164
2024-09-25$44.75$45.0015.1%4.4%13.8%28.9%15.9%3.2%0.1%-34.4M-2.72B-36.7M3.702.0725,12492,9542,006,5493,734,048
2024-09-26$44.98$45.0014.7%4.3%13.9%25.7%15.9%2.6%0.2%-13.3M-3.20B-35.3M0.682.2755,84338,1502,015,6833,780,861
2024-09-27$45.17$45.0015.6%4.5%13.7%32.0%16.6%2.2%-0.1%-137.8K-3.28B-36.8M3.221.8827,11187,1962,045,0293,797,591
2024-09-30$45.22$45.0015.8%4.6%13.3%33.8%16.9%3.3%2.2%-6.1M-3.30B-36.6M1.472.3733,74549,6972,037,4133,824,428