XLF Options History — December 2024 In December 2024, XLF traded between $47.72 and $50.86. ATM implied volatility averaged 15.5%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.1% (HV 20d: 14.4%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2024-12-19 : Highest Volume — 579,061 contracts2024-12-18 : Largest IV spike — 18.7% change2024-12-19 : Highest IV Rank — 55.8%2024-12-19 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $49.32 $47.72 $50.86 $50.86 $48.25 Max Pain $43.57 $43.00 $47.00 $47.00 $43.00 ATM IV 15.5% 13.4% 18.8% 14.5% 17.4% Expected Move 4.6% 4.2% 5.4% 4.3% 5.0% HV 20d 14.4% 10.4% 25.0% 24.9% 14.0% HV 60d 18.1% 17.5% 18.9% 17.9% 18.6% IV Rank 31.9% 16.1% 55.8% 24.5% 45.3% IV Percentile 64.2% 21.4% 92.9% 52.8% 86.9% Term Structure 0.4% -0.6% 1.7% -0.1% 0.1% VWIV 16.4% 14.7% 20.2% 15.9% 16.8% Skew 25d 2.5% -0.4% 5.1% 1.8% 2.5% Skew 10d 6.0% -0.8% 11.8% 6.4% 5.7% Call IV 25d 14.6% 10.3% 17.7% 14.5% 16.4% Put IV 25d 17.2% 9.9% 21.9% 16.4% 19.0% Bid-Ask Spread % 2.14 1.75 2.84 2.15 2.27 Gamma HHI 0.11 0.08 0.14 0.13 0.09 Net GEX 144.3M -63.6M 391.7M 391.7M 27.1M Net DEX -5.89B -8.65B -3.44B -8.65B -3.76B Net VEX -34.1M -37.5M -32.3M -34.3M -33.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.24 2.41 0.47 0.34 Total Volume 195,688.429 76,405 579,061 188,919 78,141 Total OI 7,865,647.238 6,681,026 8,616,669 8,027,091 6,766,427
Daily Data (21 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 2024-12-02 $50.86 $47.00 14.5% 4.3% 24.9% 24.5% 15.9% 1.8% -0.1% 391.7M -8.65B -34.3M 0.47 2.15 128,284 60,635 3,658,855 4,368,236 2024-12-03 $50.50 $47.00 13.4% 4.3% 24.8% 16.1% 15.4% -0.4% 1.1% 311.4M -8.07B -32.3M 1.06 2.07 88,262 93,773 3,705,467 4,388,468 2024-12-04 $50.36 $47.00 13.8% 4.2% 25.0% 19.2% 15.3% 2.4% 0.6% 288.3M -7.68B -33.9M 0.58 2.21 183,617 106,459 3,717,493 4,406,779 2024-12-05 $50.55 $43.00 14.2% 4.3% 12.1% 22.1% 15.4% 1.9% 0.5% 341.5M -8.17B -33.8M 0.71 1.96 83,377 59,482 3,787,652 4,408,371 2024-12-06 $50.39 $43.00 13.8% 4.3% 10.9% 19.3% 15.0% 1.6% 0.3% 355.1M -7.83B -33.1M 0.45 1.91 102,983 45,923 3,823,976 4,419,041 2024-12-09 $49.84 $43.00 14.4% 4.4% 11.6% 23.9% 16.1% 1.4% 0.8% 228.5M -6.88B -34.3M 0.49 2.09 85,697 42,407 3,771,781 4,411,130 2024-12-10 $49.72 $43.00 15.1% 4.5% 10.5% 29.0% 15.6% 1.7% 0.3% 206.7M -6.84B -33.1M 0.50 1.76 162,297 80,839 3,813,549 4,431,573 2024-12-11 $49.80 $43.00 14.6% 4.4% 10.5% 25.0% 15.9% 1.9% 0.8% 206.2M -6.87B -33.7M 1.05 1.83 97,135 102,411 3,838,878 4,463,211 2024-12-12 $49.70 $43.00 14.8% 4.4% 10.5% 26.3% 18.0% 1.7% 0.8% 173.1M -6.80B -33.4M 2.41 1.79 41,206 99,175 3,852,124 4,504,603 2024-12-13 $49.48 $43.00 14.6% 4.5% 10.5% 25.2% 15.5% 1.9% 1.7% 59.3M -5.97B -35.1M 1.71 1.88 36,349 62,252 3,864,355 4,567,010 2024-12-16 $49.47 $43.00 15.5% 4.5% 10.4% 31.4% 16.1% 2.5% -0.2% 109.2M -6.08B -33.6M 0.71 1.75 83,443 59,597 3,837,969 4,567,354 2024-12-17 $49.11 $43.00 15.4% 4.5% 10.6% 31.0% 16.8% 2.2% 0.0% 447.6K -5.71B -32.6M 1.29 2.06 139,956 180,688 3,872,135 4,576,290 2024-12-18 $47.72 $43.00 18.3% 5.2% 14.4% 52.2% 20.2% 4.1% 0.7% -63.6M -3.44B -34.5M 1.04 2.84 197,225 205,828 3,964,421 4,647,212 2024-12-19 $47.98 $43.00 18.8% 5.4% 14.7% 55.8% 19.2% 4.3% -0.3% -47.5M -3.89B -35.8M 0.24 2.26 468,039 111,022 3,968,890 4,607,335 2024-12-20 $48.66 $43.00 17.4% 4.9% 14.7% 45.3% 18.0% 5.1% 0.7% 20.4M -5.13B -37.5M 0.63 2.28 123,071 77,585 4,051,234 4,565,435 2024-12-23 $48.38 $43.00 16.4% 4.7% 14.3% 38.4% 15.6% 3.8% 0.5% 81.0M -4.00B -34.4M 0.46 2.24 170,647 78,315 2,847,268 3,833,758 2024-12-24 $48.91 $43.00 15.1% 4.3% 14.7% 28.8% 14.7% 3.2% 0.5% 104.5M -4.83B -33.9M 0.64 2.04 46,464 29,941 2,808,140 3,879,488 2024-12-26 $49.06 $43.00 15.3% 4.2% 14.7% 30.3% 15.5% 3.1% 0.5% 122.0M -4.88B -34.7M 0.87 2.49 52,255 45,430 2,819,415 3,889,543 2024-12-27 $48.58 $43.00 16.7% 4.7% 14.9% 40.1% 17.8% 3.3% 0.6% 79.0M -4.19B -34.8M 1.08 2.80 53,921 58,347 2,835,029 3,899,344 2024-12-30 $48.42 $43.00 16.8% 4.8% 14.5% 41.1% 16.4% 3.4% -0.6% 36.3M -3.96B -34.0M 0.56 2.23 55,933 31,046 2,833,571 3,905,782 2024-12-31 $48.25 $43.00 17.4% 5.0% 14.0% 45.3% 16.8% 2.5% 0.1% 27.1M -3.76B -33.9M 0.34 2.27 58,274 19,867 2,852,789 3,913,638
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