XLF Options History — November 2024

In November 2024, XLF traded between $46.25 and $51.55. ATM implied volatility averaged 16.5%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 6.9% (HV 20d: 23.4%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2024-11-06: Highest Volume — 836,671 contracts
  • 2024-11-06: Largest IV drop — 17.1% change
  • 2024-11-04: Highest IV Rank — 75.6%
  • 2024-11-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.57$46.25$51.55$46.64$51.55
Max Pain$45.25$45.00$46.00$45.00$46.00
ATM IV16.5%14.4%21.5%20.9%14.4%
Expected Move4.8%4.1%7.2%7.2%4.2%
HV 20d23.4%13.2%26.0%13.9%24.1%
HV 60d17.3%12.7%18.3%12.7%18.0%
IV Rank39.1%23.7%75.6%71.1%23.7%
IV Percentile77.0%49.2%99.6%99.2%49.2%
Term Structure-0.2%-1.1%2.0%-1.1%-0.5%
VWIV17.1%14.8%24.1%24.1%15.7%
Skew 25d2.2%0.9%4.9%4.7%1.5%
Skew 10d5.8%3.3%10.6%9.9%4.1%
Call IV 25d15.9%14.3%19.0%19.0%14.3%
Put IV 25d18.1%15.5%23.7%23.7%15.7%
Bid-Ask Spread %2.111.652.942.322.49
Gamma HHI0.140.090.190.090.15
Net GEX279.9M-46.7M567.7M-12.5M508.9M
Net DEX-8.09B-10.56B-3.52B-4.13B-10.56B
Net VEX-34.9M-37.4M-29.9M-36.2M-35.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.202.411.020.48
Total Volume343,455.866,718836,671228,64366,718
Total OI7,711,3676,782,7668,405,4406,782,7668,405,440

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$46.64$45.0020.9%7.2%13.9%71.1%24.1%4.7%-1.1%-12.5M-4.13B-36.2M1.022.32112,924115,7192,477,9904,304,776
2024-11-04$46.25$45.0021.5%5.8%13.3%75.6%20.2%4.8%-0.6%-46.7M-3.52B-37.1M0.791.85136,200107,7882,500,4624,336,663
2024-11-05$46.55$45.0020.8%5.5%13.2%70.3%18.6%4.9%-0.9%-21.8M-4.04B-36.3M0.251.79241,05959,6222,547,5654,362,673
2024-11-06$49.55$45.0017.2%4.8%25.4%44.2%18.0%1.5%2.0%228.9M-8.77B-29.9M0.452.46575,720260,9512,696,5884,388,856
2024-11-07$48.89$45.0015.2%4.4%26.0%29.5%15.6%2.0%0.1%239.9M-7.90B-31.5M2.201.81204,267448,8192,876,2544,511,815
2024-11-08$49.20$45.0015.2%4.5%25.1%29.3%16.1%2.0%0.2%240.3M-8.11B-34.7M0.802.04127,031101,0822,999,9464,635,961
2024-11-11$49.89$45.0015.6%4.5%25.4%32.5%16.2%1.2%0.1%273.5M-9.38B-31.0M0.281.95387,363108,8952,975,5404,489,441
2024-11-12$49.73$45.0017.0%4.8%25.5%42.3%17.0%2.0%-0.4%267.5M-8.96B-33.6M0.352.38487,545168,9833,014,4664,558,496
2024-11-13$49.84$45.0015.5%4.5%25.3%31.7%17.3%1.3%0.2%332.0M-9.22B-34.8M0.851.65155,984133,0323,402,5244,684,270
2024-11-14$49.66$45.0015.4%4.4%25.4%30.9%16.6%1.4%-0.0%281.8M-8.90B-35.5M0.201.85326,49064,4433,445,0144,742,265
2024-11-15$49.86$45.0016.5%4.7%25.4%38.7%17.2%1.9%0.1%269.4M-8.93B-36.8M0.651.68211,903138,0293,536,9024,779,988
2024-11-18$50.00$45.0015.8%4.5%25.0%33.5%16.4%1.9%-0.3%254.9M-7.55B-34.8M0.672.03159,163107,4103,178,7434,314,868
2024-11-19$49.67$45.0016.5%4.8%25.2%39.2%17.1%2.5%-0.6%210.0M-7.01B-35.6M1.052.1674,31478,3883,255,4634,383,315
2024-11-20$49.58$45.0016.2%4.6%25.3%36.6%16.3%3.2%-0.0%181.7M-6.69B-36.6M0.522.2176,54939,7013,299,7804,417,964
2024-11-21$50.28$45.0016.4%4.7%25.6%38.3%16.7%1.8%-0.5%323.2M-8.20B-35.3M0.212.34353,97474,0153,304,3904,429,769
2024-11-22$50.69$46.0015.9%4.6%25.1%34.8%16.2%1.5%-0.1%395.2M-9.04B-37.4M0.322.94368,422118,9983,561,1314,507,418
2024-11-25$51.03$46.0015.3%4.4%24.9%30.5%15.6%1.3%-0.4%567.7M-9.99B-35.8M0.232.09211,91148,4813,777,3764,481,521
2024-11-26$51.20$46.0014.6%4.2%24.6%25.2%14.8%1.3%-0.3%546.1M-10.27B-35.2M0.322.12108,15834,6253,796,5144,498,196
2024-11-27$51.27$46.0014.5%4.1%24.6%24.6%16.1%0.9%-0.2%558.1M-10.53B-33.8M2.411.9780,395194,0453,841,4204,505,577
2024-11-29$51.55$46.0014.4%4.2%24.1%23.7%15.7%1.5%-0.5%508.9M-10.56B-35.9M0.482.4944,94721,7713,843,7184,561,722