Below is the current makeup of the XLF. As you can see, there's been a bit of re-alignment in the portfolio with JPM and WFC carrying more of the load. This adjustment makes a lot of sense when you review a recent study by Bespoke which examined the 5-year CDS (credit default swap) prices of various financial companies. Wish I could just post the chart for comparison purposes, but that would be rude to Bespoke, a great site for enquiring market minds. The bottom line is that, based on Bespoke's study of US firms, MS, GS, AXP, UBS and C are at the highest risk of defaut and JPM, WFC and BAC are the lowest.
Now, if you watched Larry Williams' presentation on the I-Trade link I provided last week you know that Larry might consider this a marginal buy candidate based on the level of the open interest. This argument is supported somewhat by the recent short interest chart, although keep in mind the last date charted here is 12-15-2008, so we're a little behind the curve.
With the RSI2 clearly at oversold levels, selling the Feb 10 puts will put $.64 in your pocket, leaving you with the ETF at $9.36 if things get really nasty. Just something to consider. A buy/write on the Feb 11s will yield $.98.