XLI Options History — May 2016

In May 2016, XLI traded between $54.82 and $56.39. ATM implied volatility averaged 15.3%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.6% (HV 20d: 12.7%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.52.

Notable Days

  • 2016-05-05: Highest Volume — 81,791 contracts
  • 2016-05-25: Largest IV drop — 11.0% change
  • 2016-05-18: Highest IV Rank — 25.8%
  • 2016-05-04: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.60$54.82$56.39$56.39$55.99
Max Pain$55.38$55.00$57.00$57.00$56.00
ATM IV15.3%13.7%17.4%14.1%14.2%
Expected Move4.5%4.0%5.0%4.1%4.1%
HV 20d12.7%10.5%14.0%10.5%13.2%
HV 60d12.4%11.7%13.2%13.1%11.7%
IV Rank16.2%8.7%25.8%10.6%11.2%
IV Percentile44.3%20.2%67.1%31.0%28.2%
Term Structure0.3%-0.8%1.5%1.3%-0.3%
VWIV16.6%13.5%19.5%15.8%15.6%
Skew 25d4.2%3.1%5.3%4.3%4.3%
Skew 10d8.4%5.4%10.7%9.0%9.7%
Call IV 25d13.4%11.9%15.6%13.8%12.0%
Put IV 25d17.7%15.8%19.7%18.0%16.3%
Bid-Ask Spread %8.615.4911.467.589.43
Gamma HHI0.170.110.480.120.14
Net GEX-39.5M-162.9M8.5M-2.0M-18.7M
Net DEX236.3M34.8M465.9M34.8M146.0M
Net VEX-3.0M-3.3M-2.7M-2.8M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.520.2011.806.882.21
Total Volume38,236.38116,93881,79133,86127,725
Total OI617,589.857526,534720,085686,464568,367

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$56.39$57.0014.1%4.1%10.5%10.6%15.8%4.3%1.3%-2.0M34.8M-2.8M6.887.584,29729,564143,651542,813
2016-05-03$55.98$57.0015.2%4.4%10.6%15.8%16.1%4.0%0.5%8.5M110.4M-2.7M11.807.943,19237,660144,133543,485
2016-05-04$55.25$57.0016.6%5.0%11.7%22.2%18.7%5.0%-0.1%-21.4M296.3M-2.8M4.1211.4610,00841,273144,790550,038
2016-05-05$55.20$55.0016.5%4.8%11.3%22.0%19.5%5.3%-0.6%-41.3M360.1M-2.8M2.3010.2624,77357,018139,122574,954
2016-05-06$55.57$55.0015.4%4.3%11.4%17.0%18.5%4.3%1.1%-103.8M266.9M-2.8M7.859.156,50851,097143,326576,759
2016-05-09$55.37$55.0014.5%4.6%11.5%12.6%17.7%4.4%1.5%-61.9M322.7M-2.7M7.246.214,04529,285123,290415,620
2016-05-10$56.33$55.0015.5%4.4%12.7%17.3%17.5%3.1%0.9%-30.1M117.5M-2.7M8.018.296,32550,667123,754427,084
2016-05-11$55.91$55.0014.3%4.4%12.0%11.8%17.5%3.8%1.3%-16.9M126.1M-3.3M8.566.844,14435,486205,959447,795
2016-05-12$55.74$55.0014.9%4.3%12.0%14.6%17.7%3.8%0.2%-24.0M190.7M-3.3M6.139.743,67722,539206,702450,719
2016-05-13$55.07$55.0015.9%4.8%12.8%19.1%13.5%4.3%1.0%-162.9M409.7M-3.3M0.2011.3664,84313,036206,797459,347
2016-05-16$55.71$55.0015.3%4.4%13.4%16.5%15.8%4.5%1.0%-32.2M236.5M-3.0M2.4210.115,52513,381161,974442,904
2016-05-17$55.85$55.0015.7%4.5%13.3%18.3%15.8%3.7%0.1%-24.0M235.6M-3.0M2.705.494,91713,268161,569444,673
2016-05-18$55.23$55.0017.4%5.0%13.8%25.8%17.8%4.2%-0.8%-52.0M372.8M-3.0M0.6610.9331,39720,816162,495450,957
2016-05-19$54.82$55.0017.2%4.9%14.0%25.1%17.9%4.1%-0.0%-64.1M465.9M-3.2M1.438.856,9809,958188,623460,594
2016-05-20$55.01$55.0016.1%4.6%14.0%20.0%17.4%4.0%-0.1%-118.8M415.4M-3.1M1.385.8512,80717,638190,992456,520
2016-05-23$54.93$55.0015.4%4.5%13.8%16.9%16.9%5.2%0.0%-25.5M283.3M-2.9M5.086.544,07420,710174,502352,032
2016-05-24$55.54$55.0015.4%4.1%13.9%17.0%15.0%4.3%0.2%-13.5M174.6M-2.9M2.658.647,88520,899176,231352,874
2016-05-25$55.93$55.0013.8%4.1%13.8%9.1%15.4%4.3%0.1%-188.4K95.1M-3.0M6.518.325,24534,132180,164355,864
2016-05-26$55.79$55.0013.7%4.1%13.2%8.7%14.7%4.5%-0.7%-11.9M156.3M-3.1M3.067.656,01218,403180,845373,335
2016-05-27$55.93$56.0013.7%4.0%13.2%9.1%14.3%3.6%-0.3%-12.4M144.9M-3.0M3.6710.224,65617,099182,808380,926
2016-05-31$55.99$56.0014.2%4.1%13.2%11.2%15.6%4.3%-0.3%-18.7M146.0M-2.9M2.219.438,64719,078182,794385,573