XLI Options History — November 2016

In November 2016, XLI traded between $56.34 and $62.71. ATM implied volatility averaged 15.0%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 13.2%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2016-11-10: Highest Volume — 67,801 contracts
  • 2016-11-07: Largest IV drop — 17.3% change
  • 2016-11-04: Highest IV Rank — 52.2%
  • 2016-11-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.29$56.34$62.71$56.70$62.52
Max Pain$59.00$57.00$60.00$57.00$60.00
ATM IV15.0%12.4%19.3%17.9%12.9%
Expected Move4.5%3.7%5.8%5.7%4.2%
HV 20d13.2%8.1%15.4%9.2%13.5%
HV 60d12.8%10.8%13.7%10.9%13.6%
IV Rank24.7%7.8%52.2%43.4%11.0%
IV Percentile46.3%9.1%85.3%80.6%15.5%
Term Structure-0.1%-1.3%1.4%-0.4%0.2%
VWIV17.1%13.5%22.6%22.6%16.1%
Skew 25d4.7%3.3%6.6%6.3%3.3%
Skew 10d9.4%3.4%14.7%13.2%9.4%
Call IV 25d12.9%8.4%16.6%15.4%11.9%
Put IV 25d17.7%14.6%23.0%21.7%15.2%
Bid-Ask Spread %9.626.7417.4917.4910.28
Gamma HHI0.110.090.140.100.14
Net GEX7.0M-36.2M36.8M-27.4M30.6M
Net DEX-226.5M-500.2M295.5M243.4M-440.9M
Net VEX-2.5M-3.0M-2.2M-2.3M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.523.672.790.52
Total Volume37,627.38116,37067,80128,11439,226
Total OI439,582.619341,019526,799341,019512,579

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$56.70$57.0017.9%5.7%9.2%43.4%22.6%6.3%-0.4%-27.4M243.4M-2.3M2.7917.497,41820,69694,183246,836
2016-11-02$56.63$57.0017.7%5.8%8.8%42.2%21.3%5.8%-0.2%-31.0M259.4M-2.3M2.5614.644,80112,30797,648259,539
2016-11-03$56.34$58.0018.8%5.6%8.9%48.9%21.9%6.6%-0.6%-33.1M295.5M-2.3M2.827.705,53015,608100,670261,399
2016-11-04$56.49$58.0019.3%5.7%8.1%52.2%22.5%6.4%-0.6%-36.2M270.4M-2.4M3.529.443,62312,747103,302264,980
2016-11-07$57.75$58.0016.0%4.7%11.6%30.8%16.6%5.1%0.5%-17.6M111.7M-2.2M1.069.3910,86911,481102,557263,794
2016-11-08$58.31$58.0015.3%4.8%11.3%26.7%16.1%5.8%1.4%-8.4M24.4M-2.4M1.198.9418,30821,734109,407267,543
2016-11-09$59.69$58.0014.7%4.4%13.8%23.0%17.2%4.3%0.2%15.4M-189.3M-2.3M1.0213.1419,61119,961120,129276,139
2016-11-10$60.94$58.0014.3%4.4%15.3%19.9%16.1%4.2%1.1%17.7M-340.0M-2.2M1.628.6125,84941,952124,517281,981
2016-11-11$61.02$59.0015.0%4.5%15.3%24.9%18.1%4.8%1.1%12.3M-338.9M-2.3M1.9511.1321,37441,685137,342286,306
2016-11-14$61.28$59.0016.0%4.7%15.1%31.3%16.8%4.4%-1.3%2.6M-363.4M-2.4M2.038.1815,62231,781145,823312,442
2016-11-15$61.46$59.0015.5%4.5%15.1%28.1%16.7%4.2%-1.1%2.7M-380.4M-2.4M1.049.0524,24825,189152,913319,856
2016-11-16$61.15$60.0015.5%4.4%15.4%27.7%16.6%3.9%-0.6%-5.3M-369.4M-2.6M1.548.3721,63833,426169,795332,150
2016-11-17$61.29$60.0014.8%4.3%14.9%23.7%17.6%3.7%-0.9%16.1M-442.4M-2.6M2.159.179,63620,670181,748333,050
2016-11-18$61.30$60.0014.3%4.2%14.9%20.1%15.7%3.4%-1.1%18.3M-444.2M-2.7M2.097.3516,20633,878185,170341,629
2016-11-21$61.59$60.0013.2%3.9%14.9%12.9%14.8%4.0%-0.1%21.0M-351.9M-2.6M0.877.3020,55317,850164,122276,527
2016-11-22$61.93$60.0012.4%3.7%14.6%7.8%13.9%4.5%0.0%31.3M-418.8M-2.7M2.087.176,96714,479175,447287,600
2016-11-23$62.44$60.0012.4%3.8%14.7%8.2%13.5%5.5%0.1%34.6M-497.8M-2.6M3.679.0210,24437,646176,298290,329
2016-11-25$62.71$60.0012.8%3.9%13.8%10.3%14.1%6.2%-0.0%36.8M-500.2M-3.0M1.969.729,57818,774180,641314,427
2016-11-28$62.25$60.0013.4%4.3%14.5%14.5%14.9%3.9%0.1%33.8M-444.5M-2.8M1.426.747,96011,335179,339308,319
2016-11-29$62.30$60.0013.0%4.1%14.5%11.8%16.1%3.4%0.3%33.5M-439.5M-2.8M3.459.0810,71137,004179,731313,028
2016-11-30$62.52$60.0012.9%4.2%13.5%11.0%16.1%3.3%0.2%30.6M-440.9M-2.9M0.5210.2825,83213,394183,133329,446