XLF Options History — October 2024 In October 2024, XLF traded between $44.83 and $47.63. ATM implied volatility averaged 18.7%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.1% (HV 20d: 13.6%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.65.
Notable Days 2024-10-31 : Highest Volume — 368,967 contracts2024-10-07 : Largest IV spike — 17.4% change2024-10-31 : Highest IV Rank — 74.0%2024-10-31 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $46.47 $44.83 $47.63 $45.14 $46.69 Max Pain $44.48 $44.00 $45.00 $45.00 $45.00 ATM IV 18.7% 16.1% 21.3% 16.4% 21.3% Expected Move 5.6% 4.7% 7.4% 4.9% 7.4% HV 20d 13.6% 12.0% 15.1% 13.0% 15.1% HV 60d 15.5% 12.8% 16.3% 15.6% 13.0% IV Rank 54.8% 36.2% 74.0% 38.1% 74.0% IV Percentile 92.3% 80.2% 99.6% 81.3% 99.6% Term Structure -0.1% -1.6% 3.0% -0.3% -0.6% VWIV 20.3% 17.4% 25.1% 17.8% 25.1% Skew 25d 4.4% 3.6% 5.5% 3.6% 4.8% Skew 10d 9.6% 8.0% 11.7% 8.0% 9.7% Call IV 25d 16.8% 14.0% 18.9% 14.6% 18.9% Put IV 25d 21.2% 18.2% 23.8% 18.2% 23.8% Bid-Ask Spread % 4.54 1.63 58.54 2.41 2.55 Gamma HHI 0.12 0.08 0.21 0.10 0.10 Net GEX 40.1M -44.2M 143.1M -6.4M -44.2M Net DEX -4.56B -6.40B -2.70B -3.26B -4.01B Net VEX -33.7M -37.6M -30.3M -36.2M -36.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.65 0.40 4.35 2.89 0.78 Total Volume 173,093.174 37,018 368,967 58,507 368,967 Total OI 6,143,115.913 5,802,354 6,534,525 5,802,354 6,534,525
Daily Data (23 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 2024-10-01 $45.14 $45.00 16.4% 4.9% 13.0% 38.1% 17.8% 3.6% -0.3% -6.4M -3.26B -36.2M 2.89 2.41 15,051 43,456 2,042,819 3,759,535 2024-10-02 $45.03 $45.00 16.1% 4.7% 13.0% 36.2% 17.4% 3.8% 3.0% -20.8M -3.17B -35.2M 1.29 2.01 69,902 89,897 2,049,252 3,776,656 2024-10-03 $44.83 $44.00 17.3% 5.5% 12.6% 45.0% 19.8% 4.2% 2.7% -39.0M -2.70B -37.6M 4.35 1.63 20,212 87,877 2,080,596 3,814,958 2024-10-04 $45.66 $44.00 16.9% 5.2% 12.8% 42.1% 19.4% 4.4% 3.0% 28.5M -4.03B -35.0M 0.72 1.84 60,858 43,834 2,078,703 3,860,446 2024-10-07 $45.05 $44.00 19.9% 5.8% 12.6% 63.8% 19.3% 5.5% 0.1% -32.0M -3.15B -35.6M 0.74 1.65 21,311 15,707 2,060,874 3,861,753 2024-10-08 $45.42 $44.00 19.5% 5.8% 12.1% 60.8% 21.4% 4.9% 0.4% 2.7M -3.74B -34.6M 0.86 1.75 28,823 24,698 2,073,611 3,865,976 2024-10-09 $45.77 $44.00 19.3% 5.5% 12.0% 59.7% 19.0% 4.9% -0.3% 37.2M -4.22B -34.0M 2.15 1.96 35,889 77,105 2,098,859 3,879,914 2024-10-10 $45.56 $44.00 19.7% 5.3% 12.2% 62.3% 17.8% 5.0% -1.4% 17.0M -3.91B -35.0M 1.29 1.82 41,892 53,882 2,122,917 3,915,602 2024-10-11 $46.55 $44.00 18.7% 5.2% 14.1% 55.4% 20.0% 4.3% -1.0% 143.1M -5.27B -31.8M 0.60 58.54 155,044 92,720 2,139,147 3,947,201 2024-10-14 $46.78 $44.00 18.5% 5.3% 13.8% 53.7% 19.5% 4.6% -0.6% 124.5M -5.24B -32.1M 2.32 2.29 88,009 204,138 2,139,985 3,935,957 2024-10-15 $46.91 $44.00 18.9% 5.4% 13.8% 56.2% 19.4% 4.2% -0.7% 132.8M -5.44B -32.1M 0.45 2.15 164,666 74,688 2,183,682 4,107,448 2024-10-16 $47.48 $44.00 19.4% 5.6% 14.2% 60.5% 19.9% 4.6% -1.6% 111.0M -6.15B -30.6M 3.26 1.97 68,362 222,851 2,197,288 4,136,556 2024-10-17 $47.63 $44.00 17.4% 5.0% 13.9% 45.3% 21.2% 4.1% 0.4% 123.8M -6.35B -30.6M 1.42 1.88 127,304 180,488 2,236,819 4,194,227 2024-10-18 $47.63 $44.00 17.2% 5.0% 13.8% 44.3% 19.2% 3.6% -0.2% 77.6M -6.40B -30.3M 3.20 1.66 51,163 163,743 2,269,864 4,229,819 2024-10-21 $47.20 $45.00 18.0% 5.3% 14.2% 49.8% 18.9% 3.8% -0.5% 61.4M -4.96B -32.1M 1.47 2.80 48,303 71,133 2,098,240 3,909,016 2024-10-22 $47.19 $45.00 18.4% 5.5% 13.5% 52.9% 20.4% 4.0% -0.7% 60.6M -4.80B -33.4M 2.87 2.27 54,235 155,619 2,125,054 3,942,411 2024-10-23 $47.16 $45.00 18.8% 5.7% 13.3% 55.5% 20.5% 4.3% -0.8% 65.0M -4.96B -32.2M 0.74 2.08 51,089 37,684 2,165,846 3,996,749 2024-10-24 $47.14 $45.00 18.7% 5.7% 13.3% 55.3% 20.4% 4.1% -0.7% 74.0M -4.90B -32.8M 2.47 2.14 34,604 85,559 2,206,025 4,013,444 2024-10-25 $46.63 $45.00 19.6% 6.1% 14.1% 62.0% 21.0% 4.6% -1.0% -26.3M -4.14B -34.2M 0.61 2.50 100,438 61,317 2,231,928 4,054,518 2024-10-28 $47.23 $45.00 20.0% 6.6% 14.6% 64.6% 22.9% 4.5% -0.6% 24.8M -4.69B -34.6M 2.20 2.29 52,324 114,915 2,218,035 4,022,538 2024-10-29 $46.94 $45.00 19.1% 6.4% 14.9% 57.9% 22.3% 4.3% -0.3% -990.1K -4.64B -33.5M 0.40 2.04 177,780 71,854 2,233,658 4,083,896 2024-10-30 $47.11 $45.00 20.1% 6.9% 14.8% 65.4% 23.9% 4.4% -0.8% 8.5M -4.74B -34.3M 0.92 2.15 89,435 82,317 2,257,732 4,137,587 2024-10-31 $46.69 $45.00 21.3% 7.4% 15.1% 74.0% 25.1% 4.8% -0.6% -44.2M -4.01B -36.6M 0.78 2.55 206,783 162,184 2,324,348 4,210,177
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