XLI Options History — March 2016

In March 2016, XLI traded between $53.09 and $55.82. ATM implied volatility averaged 15.3%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.9% (HV 20d: 14.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.14.

Notable Days

  • 2016-03-29: Highest Volume — 260,627 contracts
  • 2016-03-11: Largest IV drop — 13.8% change
  • 2016-03-10: Highest IV Rank — 30.0%
  • 2016-03-02: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.48$53.09$55.82$53.09$55.54
Max Pain$53.50$50.00$55.00$50.00$55.00
ATM IV15.3%12.9%18.3%17.1%14.2%
Expected Move4.4%3.5%5.3%5.3%4.0%
HV 20d14.4%10.9%20.1%20.1%11.1%
HV 60d19.4%18.3%20.3%20.3%18.3%
IV Rank16.4%5.1%30.0%24.7%11.4%
IV Percentile46.2%11.1%72.2%67.1%33.7%
Term Structure0.3%-1.6%1.3%-1.6%0.8%
VWIV17.0%12.4%24.7%21.1%14.8%
Skew 25d4.9%2.5%6.6%5.6%3.7%
Skew 10d10.4%6.5%15.1%15.1%7.4%
Call IV 25d13.3%11.4%15.2%15.2%12.1%
Put IV 25d18.2%14.4%21.1%20.8%15.8%
Bid-Ask Spread %13.486.2727.9114.9410.76
Gamma HHI0.270.160.460.250.17
Net GEX35.3M3.0M73.9M27.3M20.4M
Net DEX-188.8M-529.8M9.4M-96.8M-29.1M
Net VEX-1.7M-2.8M-1.5M-1.6M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.148.281.372.48
Total Volume54,438.54514,687260,62737,37072,846
Total OI372,794.5296,753623,872307,180623,872

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$53.09$50.0017.1%5.3%20.1%24.7%21.1%5.6%-1.6%27.3M-96.8M-1.6M1.3714.9415,76921,60196,792210,388
2016-03-02$53.17$50.0016.8%5.3%18.0%23.1%19.2%6.1%0.2%35.1M-110.1M-1.5M1.1717.249,17210,71099,350202,996
2016-03-03$53.60$53.0016.5%4.5%17.6%22.0%24.7%6.3%0.2%44.6M-167.1M-1.5M0.3727.9147,46917,59399,435200,887
2016-03-04$53.78$53.0015.3%4.4%16.8%16.2%18.1%6.1%0.9%19.4M-354.7M-1.5M0.1815.6793,00316,637125,230209,543
2016-03-07$53.84$53.0016.1%4.8%15.9%20.1%16.6%6.6%-0.2%44.6M-254.2M-1.6M0.1421.0048,0986,519128,894201,472
2016-03-08$53.19$53.0017.8%5.1%16.5%27.7%20.8%5.2%-0.1%42.6M-164.8M-1.6M0.2610.6947,85612,284129,408202,247
2016-03-09$53.27$53.0017.0%5.1%16.5%24.0%22.6%5.5%0.6%45.6M-175.6M-1.5M1.849.596,22711,450129,608208,778
2016-03-10$53.21$53.0018.3%4.9%16.2%30.0%18.6%6.6%-0.9%48.5M-148.1M-1.6M2.1212.6214,85431,512131,061212,427
2016-03-11$54.05$53.0015.8%4.6%15.1%18.4%18.6%5.0%0.8%57.7M-273.6M-1.7M8.288.214,19134,711137,024236,680
2016-03-14$54.17$53.0015.4%4.4%14.6%16.8%19.2%5.1%0.7%72.3M-309.3M-1.6M6.166.272,53015,594137,413243,909
2016-03-15$53.99$54.0015.2%4.4%13.8%15.7%18.1%5.0%0.8%73.9M-260.2M-1.8M0.929.7318,61017,118150,678245,062
2016-03-16$54.41$54.0014.6%4.2%12.9%13.0%15.5%4.3%1.0%69.7M-317.8M-1.8M2.4524.004,78811,739149,273255,487
2016-03-17$55.37$54.0013.1%3.7%13.7%6.3%13.9%2.5%1.1%33.3M-529.8M-1.5M1.0019.0118,53718,573149,672257,835
2016-03-18$55.68$54.0012.9%3.6%13.6%5.1%13.2%3.9%0.8%30.7M-360.5M-1.6M1.4619.2020,69830,154129,961264,576
2016-03-21$55.82$54.0013.3%3.5%12.6%7.0%12.4%4.6%-0.4%15.9M-185.9M-1.6M2.4210.409,95924,08593,757202,996
2016-03-22$55.63$54.0013.9%3.8%12.0%9.8%13.9%4.1%0.0%12.1M-146.0M-1.7M1.358.706,2378,45096,865213,087
2016-03-23$55.32$54.0013.4%4.0%12.4%7.6%13.6%3.6%0.8%9.9M-106.6M-1.7M2.189.2616,53436,04297,675215,102
2016-03-24$55.08$55.0015.1%4.3%12.2%15.4%14.0%5.0%0.6%3.0M9.4M-1.9M0.5010.1565,69032,855109,882244,592
2016-03-28$55.13$55.0015.5%4.3%12.3%17.0%15.2%4.7%0.3%16.0M-10.8M-1.9M2.9911.546,06418,144124,334244,831
2016-03-29$55.46$55.0016.1%4.1%12.0%19.8%14.9%4.2%-0.5%25.9M-71.8M-2.0M5.8710.1137,913222,714124,928249,342
2016-03-30$55.73$55.0014.0%4.1%10.9%10.1%15.1%4.3%1.3%28.2M-91.3M-2.6M1.549.5412,63719,481155,308458,822
2016-03-31$55.54$55.0014.2%4.0%11.1%11.4%14.8%3.7%0.8%20.4M-29.1M-2.8M2.4810.7620,91851,928158,545465,327