Financial Select Sector SPDR Fund (XLF)

Is protection on XLF cheap or dear today, where has the money been placed, how did the past month play out, and how did the judgments we filed on XLF settle? Updated after every close, with right and wrong judgments alike left on the record.

Data date 10.07 · close 53.96 (—) · −7.91% from the 52-week high

Where it stands today

One-year IV percentile61 / 100

Where one-month protection (30-day implied volatility) sits within its past-year range, 0 the cheapest and 100 the dearest. Protection on XLF is now in the pricier part of the past year.

30-day / one-year implied vol (%)17.33 / 19.58

The one-year sits 2.25 points above the 30-day, the usual shape: a longer policy covers more.

Expected move this week±1.1% ±0.58

Centred on the previous close of 54.01, option prices imply 53.43 to 54.59 at this week's expiry. A close outside it at expiry means the option sellers lose.

Put ÷ call (volume / open interest)0.66 / 1.46

Calls outtraded puts. It counts contracts, not direction: a put buyer may be insuring shares they own.

Levels from high to low, with distance from the close:

Flip level	57.14	+5.89%	Above it, dealer hedging damps moves; below it, hedging amplifies them.
Call wall	55	+1.93%	The strike with the most call open interest: an upside target someone has already made a down payment on.
Expected move, high	54.59	+1.16%	Centred on the previous close: the implied top at this week's expiry.
Put wall	54	+0.07%	The strike with the most put open interest: protection someone already paid for.
Close	53.96
Expected move, low	53.43	−0.98%	Centred on the previous close: the implied bottom at this week's expiry.

Data date 10.07. Updated once after each trading day's close; spot is the official close.

The last 30 trading days

Close, flip level, put wall and call wall, day by day: which side of the walls price is on, and whether the walls moved.

One-year and 30-day implied vol, day by day. The short line jumping while the long line holds means only the near-term event is being repriced; the long line rising too means the whole story is.

Shown: the last 30 trading days. Earlier records are in Chapter V (walls) and Chapter VII (implied vol) of the options page.

III

Today's big prints

No XLF contract made today's leaderboard.

Data date only. The board for every name is in Chapter IV of the options page.

Every case we filed on it

Each judgment is written down with its test before the fact, settled by that test, and left standing when wrong. These are all the cases that name XLF, none removed. Open one for the original filing.

4cases since 09.17

4settled

0open

09.25The rate shock lands on regional banks first, tech laterAlso: KREHolds, right at the line

Settlement
Holds, right at the line: at 15:47 on October 2 one-month insurance on the regional bank fund was 27.47 against 27.26 for one year, only 0.21 above (0.73 on October 1). To be plain: by the original wording the call should have been withdrawn on September 28, when one-month dipped below one-year (25.95 against 26.40); the settlement was then moved to October 2 and a one-day touch was not counted, as disclosed in the issue.

Original filing and test, archived verbatim in Chinese

09.25 Filed (confidence: Leaning)
利率冲击最先落地在地区银行，科技股排在后面：同日 MOVE 104.58→96.00、标普 cm30 −0.65，地区银行 KRE cm30 反而 24.83→27.89（+3.06）高于 cm365 25.91，整周 +5.65；XLF 2026-10-16 54.5P 成交 70097 张对持仓 592（118 倍）
Test: 10-02 前 KRE cm30 回落到 cm365 之下（15:45 主枪）⇒ 收回；09-28 晨 XLF 54.5P 结算 OI 留存 (OI−592)/70097 <50% ⇒ 那半是过路钱，收回

09.28 Settled
收回：09-28 15:45 主枪地区银行 KRE cm30 27.89→25.95，回落到 cm365 26.40 之下，碰到收回条件①；条件②晨读 XLF 2026-10-16 54.5P 结算持仓 592→70606，留存 99.9%，未触发。错在把地区银行当成最先受冲击的对象：它股价跌 1.4%，保护却退价；加保集中到大银行（GS +2.00、WFC +1.73、BAC +1.12、JPM +1.04，cm30 全部高于 cm365）
Result: 收回

09.28 Corrected
作废 09-28 写入的开奖行：这条判断的开奖日是 10-02，09-28 只是地区银行一个月保险第一次落到一年期之下（25.95 对 26.40，只低 0.45 点）；本周有 PCE、美光财报和非农，一天碰线不作数，照原定 10-02 按 15:45 读数开奖
Result: 作废开奖（09-28 开奖行提前写入，照原定 10-02 开奖）

10.02 Settled
成立（贴线）：10-02 15:47 地区银行 KRE 一个月保险 cm30 27.47 对一年期 cm365 27.26，仍在一年期之上，只高 0.21（10-01 高 0.73）。照实记：按立案原文「10-02 前 cm30 回落到 cm365 之下即收回」，09-28 已碰线（25.95 对 26.40）；当日 Klay 定开奖日照旧 10-02、一天碰线不作数（见 09-28 更正行），正文已照实披露
Result: 成立（贴线·按 09-28 改定的开奖规则；按立案原文 09-28 即应收回）

09.22The thirty and forty thousand contracts on both sides of the March 2027 expiry draw edges around a bank position, not a direction.confirmed

Settlement
confirmed

Original filing and test, archived verbatim in Chinese

09.22 Filed (confidence: Leaning)
金融板块 2027 年 3 月上下两边各三四万张，是有人在给一年半以后的银行仓位画边，不是赌方向：55 看涨成交 38006 张对持仓 1.77 倍，同到期 54 看跌 37768 张对持仓 5.15 倍，另有 2027-06 75C 10998 张
Test: 09-23 晨结算 OI 两档留存都 >50% ⇒ 是留下来的结构；任一档 <50% ⇒ 当天进出，收回。🔴 最晚取数日 09-23

09.23 Settled
成立结清：09-23 晨结算 OI 两档留存都远过 50%。2027-03-19 55C 从 21482 增到 47327（ΔOI 25845 ÷ 当日成交 38006 ＝ 68.0%）；同到期 54P 从 7339 增到 41268（ΔOI 33929 ÷ 37768 ＝ 89.8%）。上下两边的钱都过夜留了下来，是给一年半以后的银行仓位框区间的结构，不是当天进出
Result: 成立

09.18Stocks price the hike as an event and bonds as three or four moreAlso: GS, JPM, BAC, C, WFCWithdrawn

Settlement
Withdrawn: Goldman one-year implied vol fell from 36.15 to 33.52, through the 34.14 line; the other layers got dearer while bank insurance stayed flat.

Original filing and test, archived verbatim in Chinese

09.18 Filed (confidence: Leaning)
股票把加息定价成一次事件，债市按三四次算，中间那道缝落在银行：2y 4.7433% 一周 +11.79bp、掉期 10 月 15bp / 12 月累计 35bp / 明年中峰值约 4.7%；GS cm365 一周 +4.51 全表第一、收 942 跌破 200 日线 948.67、一周 −8.47%；XLF 三档两年期看跌 72222 张留 99%；09-18 又有人买 XLF 12.18 57–59C 35766 张
Test: 09.30 前 GS cm365 回落到 09-11 的 34.14 以下，或 XLF 收回 57 ⇒ 银行只是决议日的一次性重定价，收回。cm365 只引 15:45 主枪

09.23 Settled

Result: 收回

09.17Short bank insurance was gone while long insurance was boughtAlso: GS, JPM, BAC, C, WFC, KREconfirmed

Settlement
confirmed

Original filing and test, archived verbatim in Chinese

09.17 Filed (confidence: Leaning)
银行短的保险退了，长的有人买：五家 cm30 全退回 09.15 以下（GS −3.58 / KRE −3.28 / C −3.01 / JPM −2.03 / BAC −1.66 / WFC −1.40）；XLF 近月 P 66120 / C 9481（6.97x）；长天期 2027-01 50P 25214（OI 65721）/ 2027-12 50P 25008（OI 7972）/ 2028-12 45P 22000（OI 13603），行权价低 10.5%–19.5%，三档各两万多张像一个买家铺梯子；股价 XLF −0.09 / KRE 0.00 在全市场 +1.13% 的日子没跟
Test: 09-18 晨行情尺核三档 OI 未增 ⇒ 当天进出，收回；09.24 前 XLF 收回 57 上方 ⇒ 股价半句收回。🔴 OI 最晚取数日 09-18

09.24 Settled
成立结清：股价半句未触发收回，XLF 09-17 起收盘 55.88 / 55.86 / 55.90 / 54.80 / 54.54 / 54.53，最高 55.93（09-16）以下，从没回到 57；长的半句 09-18 晨已成立（三档 OI 65721→90528 / 7972→32972 / 13603→35103，留 99%）。全案成立：银行短的保险退了、长的有人买，金融板块股价也没跟上
Result: 成立

Cases for every name are in Chapter III of the options page. The ledger is append-only; a revision is a new row.