XLI Options History — May 2017

In May 2017, XLI traded between $65.35 and $67.52. ATM implied volatility averaged 11.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.1% (HV 20d: 9.3%). Max pain ranged from $65.00 to $66.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.32.

Notable Days

  • 2017-05-24: Highest Volume — 52,861 contracts
  • 2017-05-17: Largest IV spike — 27.1% change
  • 2017-05-17: Highest IV Rank — 41.1%
  • 2017-05-17: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.63$65.35$67.52$66.19$67.52
Max Pain$65.14$65.00$66.00$66.00$65.00
ATM IV11.4%10.1%14.9%11.6%10.9%
Expected Move3.4%3.0%4.3%3.2%3.3%
HV 20d9.3%8.2%10.8%9.6%9.2%
HV 60d10.1%9.6%10.7%10.3%9.6%
IV Rank9.8%0.0%41.1%7.8%6.6%
IV Percentile14.2%0.0%80.2%8.3%5.2%
Term Structure0.1%-1.6%1.8%-0.1%-0.2%
VWIV13.4%11.7%19.0%12.2%13.1%
Skew 25d2.9%2.2%4.0%2.9%3.0%
Skew 10d6.2%4.5%9.5%6.4%5.7%
Call IV 25d10.3%9.5%13.2%10.1%9.7%
Put IV 25d13.2%12.0%17.2%13.0%12.8%
Bid-Ask Spread %5.742.4613.096.915.87
Gamma HHI0.150.100.420.120.11
Net GEX18.8M-28.7M105.9M3.3M6.8M
Net DEX-249.3M-378.0M56.3M-183.5M-366.8M
Net VEX-2.9M-3.3M-2.5M-3.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.321.327.653.862.15
Total Volume27,044.86415,80952,86129,59920,442
Total OI411,543.591372,606456,922405,165389,886

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$66.19$66.0011.6%3.2%9.6%7.8%12.2%2.9%-0.1%3.3M-183.5M-3.3M3.866.916,09023,509147,046258,119
2017-05-02$66.44$66.0010.7%3.0%9.5%0.2%11.7%2.3%0.3%10.2M-241.1M-3.3M2.955.664,25212,536149,084259,839
2017-05-03$66.54$66.0010.6%3.1%9.4%0.0%12.0%2.6%0.6%12.2M-265.4M-3.2M2.8213.094,26412,032149,122260,705
2017-05-04$66.54$65.0010.6%3.4%9.4%0.4%12.2%2.2%0.5%12.4M-267.9M-3.1M3.208.865,08616,274149,290260,590
2017-05-05$66.87$65.0010.5%3.4%9.5%0.0%12.8%2.6%0.4%23.9M-355.2M-3.0M1.9411.518,72416,956149,956264,059
2017-05-08$66.65$65.0010.7%3.3%9.6%1.4%12.3%2.4%0.4%26.4M-318.5M-3.0M1.666.7710,33717,127151,787257,208
2017-05-09$66.83$65.0010.1%3.3%9.6%0.0%13.1%2.5%1.3%29.0M-347.3M-3.1M2.945.576,11517,980157,339261,626
2017-05-10$66.66$65.0010.6%3.2%9.7%3.6%15.4%2.8%0.5%30.2M-312.5M-3.0M4.873.263,73318,188156,336263,876
2017-05-11$66.69$65.0010.6%3.3%8.2%4.1%13.3%2.5%1.0%28.3M-290.0M-3.1M2.972.465,23215,555156,377265,045
2017-05-12$66.26$65.0011.2%3.5%8.5%8.7%14.1%2.6%1.8%16.8M-180.2M-3.0M5.702.744,28624,449156,950267,656
2017-05-15$66.57$65.0011.1%3.2%8.6%7.8%11.8%3.0%0.4%29.9M-240.2M-2.9M2.502.595,27313,164155,435273,582
2017-05-16$66.50$65.0011.8%3.4%8.5%13.9%11.9%2.8%-0.7%30.1M-218.2M-2.8M2.553.574,44911,360156,880273,822
2017-05-17$65.35$65.0014.9%4.3%10.8%41.1%14.7%4.0%-1.6%-21.4M56.3M-3.0M2.936.449,34227,392156,690273,995
2017-05-18$65.47$65.0014.6%4.2%9.4%38.4%19.0%3.7%-1.1%-28.7M51.8M-3.1M7.652.525,58342,686158,190280,459
2017-05-19$66.13$65.0013.1%3.8%10.1%25.4%15.5%3.6%-0.6%47.2M-152.2M-2.9M6.057.356,71640,621160,596296,326
2017-05-22$66.66$65.0011.9%3.5%9.4%14.8%12.3%3.4%0.0%465.3K-219.3M-2.8M1.324.6910,19313,506120,639251,967
2017-05-23$66.75$65.0011.9%3.5%9.1%15.3%12.6%3.3%-0.2%6.2M-253.2M-2.8M2.034.887,05814,294124,782251,737
2017-05-24$66.87$65.0011.4%3.4%9.2%10.4%13.8%3.2%-0.0%14.2M-286.2M-2.6M4.057.7610,47042,391125,699252,900
2017-05-25$67.36$65.0010.7%3.2%9.5%4.9%14.1%2.8%0.1%24.4M-356.4M-2.7M2.924.817,37821,547130,803279,577
2017-05-26$67.44$65.0010.6%3.1%9.3%3.8%12.7%2.8%0.3%105.9M-378.0M-2.6M3.074.386,61420,282132,617277,143
2017-05-30$67.47$65.0010.9%3.2%9.2%6.4%13.8%3.0%-0.1%6.4M-359.7M-2.5M2.884.645,54315,958125,212263,012
2017-05-31$67.52$65.0010.9%3.3%9.2%6.6%13.1%3.0%-0.2%6.8M-366.8M-2.5M2.155.876,49013,952126,095263,791