XLI Options History — July 2017

In July 2017, XLI traded between $68.10 and $69.53. ATM implied volatility averaged 10.8%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.3% (HV 20d: 9.4%). Max pain ranged from $68.00 to $68.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.40.

Notable Days

  • 2017-07-21: Highest Volume — 44,455 contracts
  • 2017-07-06: Largest IV spike — 11.7% change
  • 2017-07-06: Highest IV Rank — 27.6%
  • 2017-07-06: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.80$68.10$69.53$68.53$68.44
Max Pain$68.00$68.00$68.00$68.00$68.00
ATM IV10.8%10.1%12.3%11.3%10.1%
Expected Move3.0%2.8%3.5%3.1%2.8%
HV 20d9.4%7.3%10.3%9.3%7.3%
HV 60d9.0%8.6%9.7%9.3%8.7%
IV Rank11.7%4.5%27.6%17.1%4.5%
IV Percentile12.1%2.4%42.9%17.1%2.4%
Term Structure0.2%-0.3%0.8%0.5%-0.0%
VWIV11.4%9.6%14.1%12.1%10.5%
Skew 25d3.1%2.8%3.8%3.0%3.2%
Skew 10d6.7%5.5%7.9%6.3%7.4%
Call IV 25d9.6%8.9%10.8%10.3%9.0%
Put IV 25d12.7%11.9%14.6%13.3%12.3%
Bid-Ask Spread %5.422.3112.839.564.41
Gamma HHI0.140.110.170.170.11
Net GEX-19.2M-39.9M6.4M-16.4M-33.2M
Net DEX-148.8M-265.5M-21.6M-144.7M-81.2M
Net VEX-2.7M-2.9M-2.6M-2.6M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.401.506.941.504.60
Total Volume23,901.8512,62044,45516,39023,282
Total OI286,206.25240,034329,238240,034287,867

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$68.53$68.0011.3%3.1%9.3%17.1%12.1%3.0%0.5%-16.4M-144.7M-2.6M1.509.566,5539,83782,661157,373
2017-07-05$68.81$68.0011.0%3.0%8.9%14.2%14.1%3.1%0.3%-13.3M-176.3M-2.6M2.4112.833,7018,91985,411158,714
2017-07-06$68.10$68.0012.3%3.5%9.8%27.6%12.1%3.8%0.1%-19.8M-102.6M-2.7M2.083.9014,05729,25785,900159,022
2017-07-07$68.73$68.0011.5%3.2%10.2%18.6%11.9%3.2%0.0%-17.7M-158.6M-2.9M2.252.344,68710,55396,869180,035
2017-07-10$68.93$68.0011.3%3.3%10.2%17.0%14.0%3.4%0.3%-12.5M-182.4M-2.8M3.472.734,54915,78096,106179,536
2017-07-11$68.81$68.0011.7%3.3%10.2%21.0%12.2%3.5%0.0%-18.0M-160.8M-2.8M3.222.313,51711,31897,048187,251
2017-07-12$69.23$68.0011.5%3.3%10.3%19.5%12.4%3.1%0.0%-9.7M-210.9M-2.8M2.182.315,33311,61797,328188,835
2017-07-13$69.12$68.0010.9%3.2%10.3%12.8%11.1%2.9%0.3%-11.8M-201.5M-2.7M2.014.685,64511,36597,515190,476
2017-07-14$69.53$68.0010.1%2.9%10.3%4.7%10.7%2.9%-0.3%6.4M-265.5M-2.6M2.324.115,61713,02998,608191,491
2017-07-17$69.40$68.0010.6%3.1%10.3%10.1%9.7%3.0%-0.2%-5.7M-230.3M-2.6M3.394.543,21510,89697,920193,452
2017-07-18$69.21$68.0010.7%3.1%10.1%10.4%12.6%3.1%0.3%-6.9M-213.3M-2.6M3.505.127,03424,65498,468193,970
2017-07-19$69.27$68.0010.3%2.9%9.3%6.4%11.3%3.1%-0.1%-14.9M-204.8M-2.7M3.544.315,23318,515102,568206,811
2017-07-20$68.87$68.0010.1%2.9%9.1%4.6%10.4%3.0%0.4%-20.4M-169.6M-2.7M6.554.995,54436,293103,454208,190
2017-07-21$68.73$68.0010.2%2.8%9.2%5.7%10.8%2.9%0.8%-29.1M-120.2M-2.8M6.944.875,59638,859104,354224,884
2017-07-24$68.64$68.0010.5%3.0%9.2%8.9%9.6%3.0%0.3%-27.7M-97.0M-2.8M3.304.916,22020,51096,854191,011
2017-07-25$68.53$68.0010.2%2.8%9.2%5.4%11.0%2.8%0.3%-31.3M-80.8M-2.9M3.054.675,52416,85599,351193,425
2017-07-26$68.56$68.0010.2%2.8%8.8%5.9%9.7%3.0%0.4%-33.4M-86.9M-2.8M2.667.316,02216,015100,379193,663
2017-07-27$68.15$68.0011.0%3.1%8.7%14.0%10.6%3.0%0.3%-39.9M-21.6M-2.9M4.049.535,46422,057101,698195,133
2017-07-28$68.42$68.0010.2%2.8%8.3%5.9%12.1%3.0%0.1%-28.3M-67.5M-2.8M5.058.954,11920,796101,857198,637
2017-07-31$68.44$68.0010.1%2.8%7.3%4.5%10.5%3.2%-0.0%-33.2M-81.2M-2.8M4.604.414,15619,12699,239188,628