XLI Options History — June 2016

In June 2016, XLI traded between $53.11 and $57.15. ATM implied volatility averaged 15.8%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.3% (HV 20d: 12.5%). Max pain ranged from $56.00 to $56.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.00.

Notable Days

  • 2016-06-30: Highest Volume — 128,604 contracts
  • 2016-06-24: Largest IV spike — 30.5% change
  • 2016-06-27: Highest IV Rank — 46.2%
  • 2016-06-27: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.87$53.11$57.15$55.92$55.95
Max Pain$56.00$56.00$56.00$56.00$56.00
ATM IV15.8%12.7%21.9%14.4%14.8%
Expected Move4.5%3.4%6.5%4.1%4.3%
HV 20d12.5%8.6%22.0%12.9%22.0%
HV 60d11.9%10.9%15.7%11.7%15.7%
IV Rank18.4%4.2%46.2%12.0%13.3%
IV Percentile44.2%6.0%86.9%31.0%30.2%
Term Structure-0.1%-1.9%1.1%-0.0%0.5%
VWIV18.2%13.1%23.5%15.0%18.0%
Skew 25d5.4%3.5%8.1%3.8%4.2%
Skew 10d11.3%6.7%16.8%8.5%16.8%
Call IV 25d13.4%10.8%18.4%12.3%13.4%
Put IV 25d18.8%14.7%26.1%16.0%17.7%
Bid-Ask Spread %11.436.5016.7712.7916.51
Gamma HHI0.160.100.270.140.10
Net GEX-20.2M-73.9M84.4M-24.8M-26.7M
Net DEX224.8M-149.3M588.0M160.9M173.5M
Net VEX-3.0M-3.4M-2.7M-3.0M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.5712.916.252.45
Total Volume57,779.72715,683128,60427,483128,604
Total OI538,847.273388,118647,180581,646508,816

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$55.92$56.0014.4%4.1%12.9%12.0%15.0%3.8%-0.0%-24.8M160.9M-3.0M6.2512.793,79323,690188,398393,248
2016-06-02$56.02$56.0013.7%3.8%12.0%8.9%13.1%3.9%-0.1%-23.9M136.5M-2.9M2.277.094,79210,891189,431389,788
2016-06-03$56.08$56.0014.0%3.7%12.0%10.1%14.0%3.5%0.1%-1.3M107.5M-2.8M2.2314.278,00517,851192,211388,953
2016-06-06$56.51$56.0013.3%3.4%12.0%7.0%16.5%3.8%-0.8%3.7M49.6M-2.7M1.908.869,90118,800183,454382,376
2016-06-07$56.75$56.0012.7%3.5%12.0%4.2%15.6%4.0%-0.3%30.9M-26.4M-2.7M0.9411.2118,43017,287190,227383,423
2016-06-08$57.13$56.0012.7%3.7%10.6%4.4%14.8%3.5%0.1%84.4M-149.3M-2.7M2.238.7210,63123,735202,704384,877
2016-06-09$57.15$56.0013.5%3.7%10.2%7.8%19.4%3.6%-0.1%74.7M-135.2M-2.9M3.969.865,61622,259203,404397,090
2016-06-10$56.54$56.0014.5%4.0%10.9%12.7%20.3%5.3%-0.4%-7.6M121.9M-3.0M0.5714.7755,95432,084203,314411,967
2016-06-13$55.90$56.0016.7%4.8%10.8%22.8%21.8%7.0%-0.5%-52.5M331.4M-3.1M2.9412.4713,61739,993191,609423,984
2016-06-14$55.86$56.0017.1%4.9%10.0%24.5%19.8%6.4%-0.0%-69.1M333.7M-3.1M5.248.919,77051,201195,390430,039
2016-06-15$55.86$56.0016.3%4.7%10.0%20.9%16.8%6.1%-0.8%-73.9M359.9M-3.1M2.2716.7712,14427,511195,326442,098
2016-06-16$56.03$56.0015.9%4.5%9.1%18.8%18.3%4.9%0.5%-53.9M293.9M-3.1M7.369.177,77957,261200,515442,795
2016-06-17$55.73$56.0016.0%4.5%8.9%19.3%18.8%5.6%1.1%-50.4M405.5M-3.1M5.3813.7312,11965,238192,100455,080
2016-06-20$56.25$56.0015.7%4.6%9.3%18.0%21.4%6.4%0.2%-20.3M185.3M-2.9M4.2411.1710,23643,39682,021306,097
2016-06-21$56.22$56.0016.2%4.7%9.3%20.5%19.4%6.1%0.1%-19.8M185.4M-2.9M4.416.5010,62546,81687,054305,492
2016-06-22$56.07$56.0017.2%5.3%8.6%25.2%19.7%7.2%-0.0%-27.0M232.3M-3.0M4.738.889,94047,04493,437316,680
2016-06-23$56.65$56.0016.0%4.7%9.0%19.5%17.1%7.6%-0.2%-18.5M140.0M-2.9M6.0912.5211,49470,017104,003326,112
2016-06-24$54.54$56.0020.9%6.0%16.4%42.0%23.5%8.1%-1.9%-35.8M588.0M-3.0M4.7816.2218,20787,085110,658348,978
2016-06-27$53.11$56.0021.9%6.5%18.7%46.2%22.0%7.7%-0.1%-40.9M586.3M-3.0M2.2213.7619,40842,990112,505329,091
2016-06-28$53.97$56.0018.1%5.2%19.8%28.6%19.1%5.3%-0.4%-46.9M495.0M-3.0M12.9110.097,30394,301121,779339,856
2016-06-29$54.93$56.0015.8%4.6%20.9%18.0%17.2%4.6%0.2%-44.0M369.6M-3.4M2.537.2212,28831,048122,526385,734
2016-06-30$55.95$56.0014.8%4.3%22.0%13.3%18.0%4.2%0.5%-26.7M173.5M-3.3M2.4516.5137,30091,304124,906383,910