XLI Options History — January 2017

In January 2017, XLI traded between $62.57 and $64.57. ATM implied volatility averaged 12.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.0% (HV 20d: 9.6%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 4.65.

Notable Days

  • 2017-01-25: Highest Volume — 136,510 contracts
  • 2017-01-17: Largest IV spike — 10.4% change
  • 2017-01-03: Highest IV Rank — 19.5%
  • 2017-01-03: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.34$62.57$64.57$62.57$63.43
Max Pain$63.90$62.00$65.00$62.00$64.00
ATM IV12.5%11.0%14.2%14.2%12.6%
Expected Move3.7%3.3%3.9%3.9%3.7%
HV 20d9.6%8.6%10.6%10.2%10.3%
HV 60d11.5%11.2%11.7%11.7%11.7%
IV Rank9.0%0.0%19.5%19.5%10.0%
IV Percentile16.9%0.0%45.6%45.6%18.7%
Term Structure0.1%-0.9%1.1%0.0%0.2%
VWIV14.0%12.6%15.8%14.9%15.1%
Skew 25d3.3%2.4%4.0%3.9%3.4%
Skew 10d6.9%4.4%9.3%7.8%6.2%
Call IV 25d11.3%10.0%12.6%12.6%11.5%
Put IV 25d14.6%13.0%16.6%16.6%14.9%
Bid-Ask Spread %9.797.1912.317.848.84
Gamma HHI0.200.150.280.150.20
Net GEX-28.1M-96.6M26.2M10.6M-89.2M
Net DEX-48.6M-281.4M325.9M-126.1M290.0M
Net VEX-3.3M-4.0M-2.7M-2.8M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.651.0218.413.268.61
Total Volume48,009.322,609136,51023,06848,445
Total OI578,033.05436,479791,886528,490498,319

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$62.57$62.0014.2%3.9%10.2%19.5%14.9%3.9%0.0%10.6M-126.1M-2.8M3.267.845,41817,650175,602352,888
2017-01-04$63.01$62.0013.4%3.7%10.5%14.6%13.7%3.5%0.2%24.5M-234.6M-2.7M2.0111.3311,29522,710178,010355,018
2017-01-05$62.75$64.0013.8%3.9%10.6%16.6%14.8%3.4%0.1%12.2M-166.0M-2.8M2.757.258,49723,356181,634364,071
2017-01-06$63.17$64.0012.7%3.8%8.6%9.9%13.5%2.7%0.3%26.2M-281.4M-3.0M3.2212.0712,24539,470186,138376,073
2017-01-09$62.69$64.0013.2%3.7%8.9%13.0%15.8%3.2%-0.0%2.3M-113.6M-3.2M2.048.8011,03522,476188,473396,802
2017-01-10$62.95$64.0012.6%3.7%8.9%9.3%14.7%2.8%0.4%11.7M-190.6M-3.0M2.7510.5111,93232,814187,608399,941
2017-01-11$63.22$64.0012.1%3.6%9.0%6.3%13.0%3.2%0.3%7.4M-191.4M-3.0M2.319.709,37021,627191,563413,353
2017-01-12$63.04$64.0012.4%3.7%9.1%8.0%15.3%3.4%0.4%11.7M-190.0M-3.1M7.6111.595,14039,111193,079417,041
2017-01-13$63.28$64.0011.6%3.6%8.8%2.7%14.1%3.5%1.1%10.7M-233.1M-3.0M17.247.665,997103,404193,570435,059
2017-01-17$62.68$63.0012.8%3.7%9.4%10.4%13.4%3.5%0.2%-56.9M91.0M-3.4M3.049.9814,04142,717192,164522,422
2017-01-18$63.01$65.0012.8%3.7%9.2%10.5%13.6%3.7%-0.3%-40.3M-1.9M-3.3M6.5111.688,15253,032198,174548,845
2017-01-19$63.41$65.0013.4%3.9%9.3%14.5%13.6%4.0%-0.9%-24.7M-104.5M-3.4M1.5111.7015,09422,720200,418578,354
2017-01-20$63.32$65.0012.2%3.6%9.0%6.6%13.9%3.4%-0.8%-56.1M-116.6M-3.3M2.4311.2814,64835,651203,548588,338
2017-01-23$63.08$64.0012.5%3.6%9.1%8.6%14.4%3.9%0.2%-96.6M325.9M-3.4M1.027.4117,97918,30191,929344,550
2017-01-24$63.74$64.0012.1%3.5%9.8%6.0%13.1%3.2%0.1%-74.3M122.7M-3.6M1.9212.3119,77737,917105,727352,155
2017-01-25$64.42$64.0011.0%3.3%10.4%0.0%13.1%2.6%0.2%-62.2M-16.7M-3.5M18.417.197,033129,477110,587372,305
2017-01-26$64.57$64.0011.7%3.5%10.4%4.5%12.6%2.4%0.1%-49.7M-27.2M-3.7M1.238.1410,14612,463113,156373,023
2017-01-27$64.45$64.0011.3%3.3%9.5%1.8%12.6%2.7%0.3%-50.0M2.5M-3.8M3.569.085,79720,638114,648374,867
2017-01-30$63.91$64.0012.3%3.6%10.1%7.8%14.3%3.5%0.2%-78.6M190.3M-4.0M1.6111.458,67913,932111,939379,270
2017-01-31$63.43$64.0012.6%3.7%10.3%10.0%15.1%3.4%0.2%-89.2M290.0M-4.0M8.618.845,04143,404114,856383,463