XLI Options History — January 2016

In January 2016, XLI traded between $47.99 and $52.41. ATM implied volatility averaged 21.5%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.0% (HV 20d: 19.5%). Max pain ranged from $51.00 to $53.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 6.38.

Notable Days

  • 2016-01-12: Highest Volume — 70,018 contracts
  • 2016-01-29: Largest IV drop — 13.6% change
  • 2016-01-20: Highest IV Rank — 59.7%
  • 2016-01-20: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.53$47.99$52.41$52.25$49.95
Max Pain$51.58$51.00$53.00$53.00$51.00
ATM IV21.5%17.8%24.7%19.1%18.1%
Expected Move6.1%5.0%7.1%5.4%5.0%
HV 20d19.5%17.8%22.2%18.7%22.2%
HV 60d16.3%15.3%17.6%15.4%17.6%
IV Rank44.9%28.0%59.7%33.6%29.4%
IV Percentile90.1%78.2%98.0%84.9%78.2%
Term Structure-0.3%-1.5%0.3%-0.0%0.2%
VWIV22.6%17.1%26.3%23.6%17.1%
Skew 25d6.4%4.5%8.2%5.2%4.5%
Skew 10d12.2%8.7%17.5%10.8%9.8%
Call IV 25d18.6%15.3%21.0%16.5%16.2%
Put IV 25d24.9%20.1%29.1%21.6%20.7%
Bid-Ask Spread %15.399.6520.5712.1519.21
Gamma HHI0.160.120.230.200.19
Net GEX-24.7M-46.4M-4.5M-31.1M-4.5M
Net DEX367.4M103.2M748.2M234.8M103.2M
Net VEX-866.7K-1.1M-717.4K-1.0M-925.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.380.5019.2116.240.50
Total Volume34,660.8959,29170,01850,7309,291
Total OI208,467.316116,558324,584215,285144,346

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$52.25$53.0019.1%5.4%18.7%33.6%23.6%5.2%-0.0%-31.1M234.8M-1.0M16.2412.152,94347,78763,834151,451
2016-01-05$52.41$53.0017.8%5.1%17.9%28.0%22.0%4.7%-0.1%-42.8M253.3M-1.1M11.1111.462,59328,79664,249178,377
2016-01-06$51.56$53.0019.4%5.3%18.6%35.0%20.9%5.7%-0.1%-46.3M363.6M-1.0M1.1514.3521,00224,09664,343179,628
2016-01-07$50.41$53.0021.9%6.3%19.3%46.9%23.1%6.5%-0.5%-40.8M496.2M-962.9K19.2112.443,36064,53375,025182,960
2016-01-08$49.68$52.0023.6%6.4%19.7%54.6%26.3%8.2%-0.3%-38.4M621.1M-917.4K11.4015.273,27237,29273,203199,682
2016-01-11$49.81$52.0021.3%5.9%19.7%43.8%21.0%6.6%-0.5%-40.4M583.0M-810.5K8.9112.702,91625,98673,077187,416
2016-01-12$50.14$52.0020.6%5.8%19.4%40.6%19.7%5.1%-0.7%-46.4M570.2M-830.6K0.6817.6241,64828,37073,705196,380
2016-01-13$48.98$51.0022.9%6.4%20.7%51.1%22.9%7.7%-0.2%-26.5M652.8M-848.8K14.7019.503,83856,413100,626204,601
2016-01-14$49.51$51.0022.1%6.5%21.2%47.7%23.6%6.7%-1.0%-45.0M654.2M-877.7K6.6818.275,26335,131101,543223,041
2016-01-15$48.66$51.0024.3%6.9%20.1%57.8%26.0%7.6%-1.5%-7.7M748.2M-822.0K4.0520.579,32837,778103,392217,463
2016-01-19$48.75$51.0023.3%6.6%19.9%53.3%24.4%6.6%-0.3%-7.3M213.5M-780.2K3.5220.234,20714,80845,65893,633
2016-01-20$48.03$51.0024.7%7.1%19.3%59.7%25.9%8.1%0.3%-10.3M251.1M-743.5K4.0418.744,81619,45047,57394,618
2016-01-21$48.32$51.0023.2%6.6%19.4%52.7%24.7%7.4%0.0%-13.5M250.1M-758.4K2.1813.777,63516,65948,70097,573
2016-01-22$48.63$51.0021.2%6.1%18.7%43.6%21.7%6.0%-0.3%-17.4M234.9M-753.2K4.2812.773,55115,21252,11296,799
2016-01-25$47.99$51.0022.4%6.5%17.8%49.1%21.1%7.7%-0.0%-14.4M206.9M-717.4K1.279.6510,75713,62530,33186,227
2016-01-26$48.87$51.0020.6%5.9%19.6%40.7%22.5%5.0%0.3%-11.8M174.4M-782.1K2.3015.215,44712,54538,96088,263
2016-01-27$48.35$51.0021.2%6.1%19.7%43.3%19.5%6.9%0.2%-13.0M189.2M-901.1K2.1417.415,71912,22245,41794,812
2016-01-28$48.70$51.0021.0%6.1%19.5%42.5%23.5%4.8%-0.2%-12.4M179.7M-904.0K6.9411.072,55417,71445,79596,066
2016-01-29$49.95$51.0018.1%5.0%22.2%29.4%17.1%4.5%0.2%-4.5M103.2M-925.8K0.5019.216,1823,10945,98198,365