XLI Options History — July 2016

In July 2016, XLI traded between $55.72 and $58.84. ATM implied volatility averaged 13.4%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 7.0% (HV 20d: 20.4%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.98.

Notable Days

  • 2016-07-08: Highest Volume — 75,865 contracts
  • 2016-07-05: Largest IV spike — 13.1% change
  • 2016-07-05: Highest IV Rank — 19.0%
  • 2016-07-05: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.81$55.72$58.84$56.28$58.10
Max Pain$57.75$56.00$58.00$56.00$58.00
ATM IV13.4%12.2%16.0%14.2%12.8%
Expected Move3.9%3.5%4.5%3.9%3.6%
HV 20d20.4%11.1%23.3%22.1%11.1%
HV 60d16.0%15.6%16.1%15.6%15.6%
IV Rank6.8%0.7%19.0%10.4%3.2%
IV Percentile12.8%1.2%51.6%21.0%4.4%
Term Structure0.2%-0.6%1.0%0.4%0.2%
VWIV14.7%11.9%20.9%13.9%12.2%
Skew 25d3.9%2.9%4.7%4.0%3.8%
Skew 10d8.9%6.2%11.4%10.4%9.0%
Call IV 25d11.8%10.7%13.8%12.8%11.4%
Put IV 25d15.8%14.4%18.5%16.8%15.1%
Bid-Ask Spread %9.966.9014.4014.406.90
Gamma HHI0.150.110.210.110.19
Net GEX7.0M-53.4M37.8M-14.6M22.3M
Net DEX-102.6M-369.9M263.4M70.7M-96.7M
Net VEX-3.2M-3.5M-2.9M-3.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.687.263.761.03
Total Volume50,375.3529,61975,86566,09055,337
Total OI562,960.45532,096643,251571,924553,617

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$56.28$56.0014.2%3.9%22.1%10.4%13.9%4.0%0.4%-14.6M70.7M-3.4M3.7614.4013,89652,194146,429425,495
2016-07-05$55.72$58.0016.0%4.5%22.2%19.0%20.9%4.7%0.0%-41.4M263.4M-3.5M6.819.748,36957,010127,131409,831
2016-07-06$55.98$58.0015.2%4.5%22.2%15.2%17.6%4.7%0.3%-53.4M250.5M-3.4M2.077.049,95520,566125,409423,137
2016-07-07$56.12$58.0015.2%4.5%22.1%15.0%16.7%4.6%0.1%-44.7M187.8M-3.3M1.5810.5220,86032,928128,875425,954
2016-07-08$57.24$58.0013.5%4.0%23.3%7.4%15.3%3.7%0.3%-2.3M-57.4M-3.3M2.3110.0222,94752,918141,561441,745
2016-07-11$57.61$58.0013.5%3.7%23.0%7.5%15.5%3.8%-0.6%6.9M-120.0M-3.1M1.589.8423,21736,701140,746435,224
2016-07-12$58.14$58.0013.3%3.9%22.7%6.3%18.4%3.7%0.2%24.5M-230.7M-3.1M1.959.4618,05535,261150,120446,062
2016-07-13$58.27$58.0012.5%3.9%22.7%2.8%15.8%4.3%1.0%24.6M-259.5M-3.1M1.4310.3926,87438,429149,727449,775
2016-07-14$58.72$58.0013.3%3.8%22.8%6.4%14.4%4.7%-0.1%35.3M-369.9M-3.1M2.8110.1015,48743,473166,954455,069
2016-07-15$58.68$58.0012.7%3.6%22.8%3.7%13.9%2.9%-0.2%37.8M-367.9M-3.2M2.709.929,80226,435178,322464,929
2016-07-18$58.64$58.0012.9%3.7%22.6%4.7%14.8%3.5%0.4%15.4M-216.3M-3.1M7.269.505,54640,244152,391384,350
2016-07-19$58.60$58.0012.8%3.7%22.5%4.3%14.9%3.6%0.1%22.0M-225.2M-3.3M6.019.346,93641,716166,390382,991
2016-07-20$58.84$58.0012.2%3.5%22.5%1.3%13.6%3.3%0.1%17.7M-225.8M-3.0M4.669.386,44830,048147,636384,460
2016-07-21$58.19$57.0013.6%3.9%23.0%7.6%14.7%3.8%0.1%11.4M-102.8M-3.2M5.3710.726,12332,875149,899383,126
2016-07-22$58.27$57.5012.2%3.5%22.7%0.7%12.8%3.5%0.7%13.8M-102.4M-3.1M3.6110.106,42123,198150,554391,837
2016-07-25$57.97$57.5013.4%3.8%17.6%6.2%11.9%3.9%0.4%8.6M-49.4M-3.2M1.8110.2011,78521,312150,027389,550
2016-07-26$58.43$57.5013.0%3.7%13.8%4.3%11.9%4.5%0.2%14.5M-153.3M-2.9M0.6811.2930,99220,971146,952390,990
2016-07-27$58.19$57.5013.4%3.9%13.4%6.1%12.3%3.6%0.4%16.5M-119.0M-3.3M0.959.4227,27425,833166,182382,938
2016-07-28$58.26$58.0012.7%3.6%12.4%2.7%13.2%4.0%0.4%26.2M-128.2M-3.2M1.1610.9422,73426,337170,063382,761
2016-07-29$58.10$58.0012.8%3.6%11.1%3.2%12.2%3.8%0.2%22.3M-96.7M-3.2M1.036.9027,29728,040169,944383,673