XLI Options History — March 2017

In March 2017, XLI traded between $64.36 and $67.11. ATM implied volatility averaged 12.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.8% (HV 20d: 11.4%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.86.

Notable Days

  • 2017-03-01: Highest Volume — 84,562 contracts
  • 2017-03-21: Largest IV spike — 17.2% change
  • 2017-03-27: Highest IV Rank — 29.8%
  • 2017-03-01: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.48$64.36$67.11$67.11$65.22
Max Pain$66.07$64.00$68.00$65.50$65.00
ATM IV12.2%10.8%14.1%12.5%12.1%
Expected Move3.5%2.9%4.0%4.0%3.0%
HV 20d11.4%9.8%13.0%9.8%10.1%
HV 60d10.2%9.8%10.6%10.0%10.3%
IV Rank11.3%0.0%29.8%13.4%11.2%
IV Percentile19.6%0.0%64.3%23.0%17.1%
Term Structure0.4%-0.6%2.3%-0.0%-0.0%
VWIV13.0%10.9%15.6%14.8%10.9%
Skew 25d2.7%1.4%3.4%2.6%2.6%
Skew 10d5.5%2.9%8.9%8.7%4.2%
Call IV 25d11.1%9.1%12.5%11.7%10.7%
Put IV 25d13.8%12.2%15.2%14.2%13.3%
Bid-Ask Spread %8.925.0315.338.246.83
Gamma HHI0.130.080.230.090.23
Net GEX-30.9M-55.7M-10.3M-15.7M-55.7M
Net DEX-28.3M-349.3M204.7M-349.3M17.1M
Net VEX-3.4M-3.7M-3.0M-3.0M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.861.888.264.132.90
Total Volume37,896.82620,12084,56284,56221,789
Total OI433,687.696311,700531,295478,228367,924

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$67.11$65.5012.5%4.0%9.8%13.4%14.8%2.6%-0.0%-15.7M-349.3M-3.0M4.138.2416,49868,064125,743352,485
2017-03-02$66.29$64.0012.3%3.9%11.1%12.0%14.7%2.4%0.1%-14.2M-200.5M-3.3M3.157.497,05422,216131,293355,595
2017-03-03$66.28$64.0011.8%3.7%10.9%7.1%15.6%2.3%0.3%-10.3M-217.5M-3.3M2.926.5310,04529,288132,842356,337
2017-03-06$66.22$68.0011.9%3.5%10.7%8.5%12.8%2.5%0.1%-13.9M-191.9M-3.4M2.287.008,97620,440135,874351,043
2017-03-07$65.92$68.0011.8%3.4%10.9%6.7%12.9%2.4%0.1%-16.7M-136.6M-3.3M2.958.067,91623,322136,018351,642
2017-03-08$65.72$68.0011.9%3.4%11.1%8.2%11.5%2.8%0.1%-21.2M-81.2M-3.5M5.835.088,09847,184138,066359,631
2017-03-09$65.44$67.0012.1%3.8%11.2%9.9%13.9%2.9%0.0%-30.6M-15.7M-3.6M3.1211.1914,06843,911139,261366,781
2017-03-10$65.75$67.0012.3%3.3%11.1%12.0%12.3%3.0%0.8%-39.6M-71.2M-3.6M2.759.8710,99830,240144,236387,059
2017-03-13$65.80$67.0011.4%3.3%10.8%3.3%11.5%3.1%0.2%-10.5M-115.1M-3.4M1.889.8111,54821,761141,686370,324
2017-03-14$65.20$67.0012.4%3.5%10.8%13.1%13.7%3.4%0.0%-20.4M16.2M-3.5M8.265.034,30835,567148,536374,125
2017-03-15$66.01$67.0011.6%3.3%11.7%5.2%12.1%2.2%-0.2%-15.9M-173.7M-3.5M4.3115.339,39740,514148,853380,190
2017-03-16$65.65$67.0011.2%3.2%11.7%1.4%12.7%2.6%0.2%-28.5M-134.9M-3.3M3.5412.348,61630,492149,718370,222
2017-03-17$65.69$67.0010.8%3.1%11.7%0.0%11.5%3.1%-0.6%-33.8M59.1M-3.4M1.909.7211,77322,411121,094384,296
2017-03-20$65.60$66.0011.1%3.2%11.7%2.9%11.9%2.4%1.7%-21.5M1.6M-3.4M2.845.596,38518,15496,510215,190
2017-03-21$64.54$66.0013.1%3.7%12.7%20.3%13.7%3.1%2.3%-37.7M146.8M-3.5M6.4813.505,71937,03296,623217,403
2017-03-22$64.83$66.0012.3%3.5%12.8%13.0%12.5%3.0%1.2%-37.3M115.9M-3.5M2.026.8911,31822,91398,686228,631
2017-03-23$64.66$65.0013.5%3.8%12.6%24.6%15.4%3.4%1.0%-39.6M149.0M-3.7M5.876.205,08129,835104,857233,592
2017-03-24$64.53$65.0013.8%3.9%12.5%27.0%13.7%3.4%0.6%-49.7M187.5M-3.7M3.3914.286,57922,323105,600248,298
2017-03-27$64.36$65.0014.1%3.6%12.3%29.8%14.1%2.5%0.0%-51.3M204.7M-3.6M2.909.819,82328,511103,436248,819
2017-03-28$65.04$65.0012.1%3.2%13.0%11.4%12.2%2.5%0.1%-47.1M62.0M-3.5M4.6612.304,16219,382106,693243,591
2017-03-29$64.94$65.0012.0%3.2%10.6%11.1%12.0%2.5%0.3%-54.9M77.1M-3.4M4.638.133,57216,548107,534246,217
2017-03-30$65.29$65.0011.6%2.9%10.1%6.9%12.0%1.4%0.5%-45.7M-1.3M-3.3M6.115.905,31532,481108,291243,972
2017-03-31$65.22$65.0012.1%3.0%10.1%11.2%10.9%2.6%-0.0%-55.7M17.1M-3.4M2.906.835,59116,198111,382256,542