XLI Options History — November 2015

In November 2015, XLI traded between $53.55 and $55.34. ATM implied volatility averaged 15.5%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.1% (HV 20d: 13.4%). Max pain ranged from $54.00 to $54.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 3.67.

Notable Days

  • 2015-11-13: Highest Volume — 78,584 contracts
  • 2015-11-13: Largest IV spike — 11.5% change
  • 2015-11-17: Highest IV Rank — 31.3%
  • 2015-11-13: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.67$53.55$55.34$54.89$54.82
Max Pain$54.00$54.00$54.00$54.00$54.00
ATM IV15.5%13.1%18.3%15.4%13.1%
Expected Move4.6%4.0%5.4%4.2%4.4%
HV 20d13.4%10.2%15.3%15.2%10.4%
HV 60d20.3%17.4%21.6%21.6%17.4%
IV Rank18.4%7.6%31.3%18.1%7.6%
IV Percentile56.6%17.9%81.7%63.1%17.9%
Term Structure0.3%-0.8%1.7%0.2%0.2%
VWIV17.0%12.9%23.5%16.6%15.8%
Skew 25d4.6%2.0%6.3%3.1%4.8%
Skew 10d9.0%7.0%10.9%9.3%7.0%
Call IV 25d13.3%11.6%16.0%13.2%12.3%
Put IV 25d17.9%15.3%21.3%16.4%17.0%
Bid-Ask Spread %13.628.3719.6716.5116.69
Gamma HHI0.160.110.250.140.13
Net GEX-30.0M-60.5M-495.9K-26.8M-20.2M
Net DEX43.6M-121.6M235.7M39.9M-8.7M
Net VEX-1.4M-1.5M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.670.6810.502.291.32
Total Volume26,615.4212,76578,58416,9753,815
Total OI324,959.526250,613396,511304,252250,613

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$54.89$54.0015.4%4.2%15.2%18.1%16.6%3.1%0.2%-26.8M39.9M-1.5M2.2916.515,16211,81368,652235,600
2015-11-04$54.74$54.0015.3%4.3%15.3%17.5%15.8%5.2%-0.6%-32.5M56.6M-1.5M1.4311.298,44412,10171,617242,039
2015-11-05$54.86$54.0014.4%4.4%15.0%13.4%17.3%3.3%0.7%-34.7M33.8M-1.5M1.1412.356,0686,91175,059247,323
2015-11-06$54.83$54.0014.3%4.3%14.2%13.3%17.0%2.0%0.4%-29.4M36.7M-1.5M3.2117.642,3627,57775,374247,900
2015-11-09$54.42$54.0015.9%4.9%14.5%20.4%14.1%4.5%1.4%-39.5M100.4M-1.5M1.6713.4913,67722,84574,786243,989
2015-11-10$54.40$54.0015.6%4.8%14.5%19.0%12.9%3.8%1.2%-40.9M95.4M-1.4M1.3215.8113,98718,52879,057244,745
2015-11-11$54.53$54.0014.8%4.4%13.9%15.5%12.9%5.7%0.6%-37.2M71.7M-1.4M0.6819.6713,9319,48779,179247,930
2015-11-12$53.78$54.0016.3%5.1%14.2%22.3%20.4%5.8%1.7%-60.5M224.5M-1.5M3.5014.076,58723,08284,331258,303
2015-11-13$53.55$54.0018.2%5.4%13.9%30.8%21.8%6.3%1.3%-53.7M235.7M-1.5M8.878.377,95970,62585,367247,370
2015-11-16$54.27$54.0018.1%5.2%14.4%30.1%18.7%4.5%-0.7%-59.2M126.7M-1.4M2.6515.719,24624,50186,486283,085
2015-11-17$54.16$54.0018.3%5.3%14.4%31.3%23.5%4.6%-0.7%-52.1M119.9M-1.4M10.5014.613,39935,70393,699288,997
2015-11-18$54.87$54.0016.8%4.8%14.9%24.6%19.9%4.3%-0.6%-28.3M-22.3M-1.4M9.1211.894,42840,37294,017293,841
2015-11-19$55.13$54.0016.3%4.6%14.9%21.9%21.0%4.1%-0.0%-8.0M-89.8M-1.3M8.7711.704,48239,32994,641301,655
2015-11-20$55.34$54.0015.3%4.4%11.2%17.8%16.3%4.3%-0.8%-495.9K-121.6M-1.3M2.9311.258,32224,37894,587301,924
2015-11-23$55.09$54.0014.3%4.3%11.3%13.2%14.2%5.9%1.5%-7.7M-26.8M-1.2M1.9615.214,5338,87176,373185,685
2015-11-24$55.00$54.0014.2%4.3%11.4%12.5%16.8%4.7%-0.0%-16.2M-3.9M-1.2M2.4514.238011,96479,411192,082
2015-11-25$54.98$54.0013.3%4.0%10.5%8.6%14.0%5.1%-0.1%-14.0M-13.2M-1.2M2.579.644,60911,83380,168193,018
2015-11-27$55.10$54.0013.8%4.2%10.2%11.0%14.9%4.8%-0.2%-9.6M-26.5M-1.2M3.258.663,28210,67981,145194,183
2015-11-30$54.82$54.0013.1%4.4%10.4%7.6%15.8%4.8%0.2%-20.2M-8.7M-1.1M1.3216.691,6472,16875,817174,796