XLI Options History — June 2017

In June 2017, XLI traded between $67.50 and $69.11. ATM implied volatility averaged 10.5%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.0% (HV 20d: 8.6%). Max pain ranged from $65.00 to $69.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2017-06-02: Highest Volume — 34,507 contracts
  • 2017-06-29: Largest IV spike — 8.5% change
  • 2017-06-29: Highest IV Rank — 22.1%
  • 2017-06-07: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.10$67.50$69.11$67.92$68.41
Max Pain$67.59$65.00$69.00$65.00$68.00
ATM IV10.5%9.7%11.8%10.4%10.8%
Expected Move3.1%2.8%3.3%3.3%2.9%
HV 20d8.6%6.3%9.9%9.4%9.4%
HV 60d9.1%8.5%9.7%9.6%9.3%
IV Rank7.0%0.0%22.1%2.2%11.9%
IV Percentile6.2%0.0%27.4%0.4%9.9%
Term Structure0.3%-0.1%0.9%0.0%0.3%
VWIV11.9%10.4%14.6%14.6%12.5%
Skew 25d3.0%2.4%3.5%2.6%2.9%
Skew 10d6.4%4.6%8.3%4.9%7.3%
Call IV 25d9.6%8.7%10.3%9.7%9.8%
Put IV 25d12.6%11.6%13.8%12.4%12.8%
Bid-Ask Spread %3.982.108.025.587.40
Gamma HHI0.140.080.220.110.16
Net GEX-3.6M-33.2M21.4M14.5M-18.4M
Net DEX-259.1M-479.9M-34.0M-428.7M-127.0M
Net VEX-2.5M-2.7M-2.3M-2.4M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.903.591.542.23
Total Volume22,109.09112,88234,50725,83414,437
Total OI325,508.227204,108421,838392,061247,668

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$67.92$65.0010.4%3.3%9.4%2.2%14.6%2.6%0.0%14.5M-428.7M-2.4M1.545.5810,18815,646127,370264,691
2017-06-02$68.30$65.009.8%3.0%9.5%0.0%12.6%2.6%0.1%21.4M-479.9M-2.5M3.384.297,87426,633132,609268,071
2017-06-05$68.04$69.0010.3%3.1%9.5%4.5%12.5%2.8%0.3%14.4M-418.0M-2.5M3.042.137,40922,554128,935270,761
2017-06-06$67.56$68.0010.8%3.1%9.9%8.3%12.9%2.9%0.2%3.5M-332.6M-2.6M2.082.237,90816,417127,851276,878
2017-06-07$67.50$68.0010.8%3.3%9.8%8.4%12.4%3.0%0.2%1.7M-326.5M-2.6M2.232.277,39716,473129,153278,565
2017-06-08$67.64$67.0010.8%3.1%9.8%8.1%11.9%2.9%0.2%17.6M-366.6M-2.5M1.092.567,9518,689129,456280,983
2017-06-09$67.84$67.0010.4%3.1%9.8%4.9%13.0%3.2%0.1%7.2M-381.4M-2.5M0.946.508,8688,322130,288282,956
2017-06-12$68.11$67.0010.6%3.2%9.5%6.8%10.4%3.2%0.4%17.2M-415.6M-2.4M0.902.178,0947,321129,371282,565
2017-06-13$68.41$67.009.7%3.1%9.5%0.0%12.1%3.4%0.9%19.0M-453.8M-2.4M1.512.105,1397,743131,148285,274
2017-06-14$68.30$68.009.7%3.0%9.5%0.0%11.6%3.3%0.8%16.4M-444.0M-2.3M2.563.337,08518,155131,472286,094
2017-06-15$68.71$68.0010.1%2.9%6.5%3.5%11.6%2.4%-0.1%9.9M-439.0M-2.4M0.994.3414,33714,207124,866296,972
2017-06-16$68.62$68.0010.0%2.9%6.7%3.1%11.3%3.2%-0.1%-7.6M-196.9M-2.4M1.764.359,51716,71692,465301,470
2017-06-19$69.11$68.009.8%2.8%6.3%1.3%11.7%2.9%0.5%-3.0M-220.1M-2.3M1.682.757,27612,21575,539128,569
2017-06-20$68.41$68.0010.2%2.9%7.3%4.6%10.8%3.1%0.4%-9.2M-168.1M-2.4M1.612.277,35411,81976,214130,601
2017-06-21$67.90$68.0010.9%3.1%7.9%9.9%11.0%3.4%0.2%-17.2M-95.6M-2.6M2.794.757,86621,96576,844139,141
2017-06-22$67.82$68.0010.8%3.1%8.0%9.5%10.9%2.9%0.3%-23.2M-66.0M-2.7M2.894.884,00811,59777,375151,612
2017-06-23$68.01$68.0010.6%3.0%7.6%8.0%11.5%3.0%0.5%-26.4M-84.0M-2.7M3.333.836,57521,88077,759151,415
2017-06-26$68.08$68.0010.7%3.0%7.6%8.6%11.0%3.0%0.3%-26.2M-89.8M-2.6M3.452.185,33918,43775,841150,266
2017-06-27$67.65$68.0011.5%3.2%8.0%14.9%13.4%3.3%0.1%-29.2M-38.9M-2.7M3.595.353,81513,67779,086154,767
2017-06-28$68.19$68.0010.9%3.0%8.5%12.6%11.0%2.9%0.2%-27.5M-94.4M-2.7M3.014.323,2369,73479,538159,237
2017-06-29$67.66$68.0011.8%3.3%8.7%22.1%11.7%3.5%-0.0%-33.2M-34.0M-2.7M2.368.027,29217,23580,173159,272
2017-06-30$68.41$68.0010.8%2.9%9.4%11.9%12.5%2.9%0.3%-18.4M-127.0M-2.7M2.237.404,4639,97484,162163,506