XLI Options History — November 2017

In November 2017, XLI traded between $70.21 and $74.47. ATM implied volatility averaged 10.7%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.4% (HV 20d: 8.3%). Max pain ranged from $71.00 to $71.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 5.96.

Notable Days

  • 2017-11-29: Highest Volume — 68,808 contracts
  • 2017-11-30: Largest IV spike — 13.9% change
  • 2017-11-15: Highest IV Rank — 54.2%
  • 2017-11-30: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.56$70.21$74.47$71.47$74.47
Max Pain$71.02$71.00$71.50$71.50$71.00
ATM IV10.7%9.5%12.9%11.3%11.7%
Expected Move3.3%2.8%3.9%3.3%3.9%
HV 20d8.3%7.3%10.9%7.3%10.9%
HV 60d7.7%7.3%8.5%8.4%8.2%
IV Rank24.4%9.0%54.2%24.2%37.6%
IV Percentile32.3%6.0%81.0%42.5%55.6%
Term Structure0.2%-0.6%1.0%0.1%-0.0%
VWIV12.1%10.0%18.3%11.8%18.3%
Skew 25d2.6%2.3%3.2%2.4%2.3%
Skew 10d5.4%4.4%6.6%4.5%5.4%
Call IV 25d9.9%8.4%11.8%10.6%11.1%
Put IV 25d12.5%11.2%14.9%13.0%13.4%
Bid-Ask Spread %4.012.767.997.995.99
Gamma HHI0.120.090.210.120.09
Net GEX-35.7M-62.0M27.7M-62.0M27.7M
Net DEX-122.9M-585.7M93.7M-42.4M-585.7M
Net VEX-2.5M-2.7M-2.2M-2.7M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.960.8612.848.741.37
Total Volume43,73119,98768,80844,13256,208
Total OI336,995.952320,531369,731335,031369,731

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$71.47$71.5011.3%3.3%7.3%24.2%11.8%2.4%0.1%-62.0M-42.4M-2.7M8.747.994,53039,60291,084243,947
2017-11-02$71.91$71.0010.8%3.3%7.5%18.9%12.4%2.4%0.4%-53.4M-122.6M-2.6M9.964.365,44054,17991,164244,109
2017-11-03$71.77$71.0010.5%3.3%7.6%16.5%12.1%2.3%0.2%-49.4M-95.1M-2.6M9.223.264,04037,25593,132252,532
2017-11-06$71.85$71.0010.2%3.2%7.5%13.7%11.4%2.4%0.9%-46.9M-127.8M-2.5M7.033.994,46731,39191,379238,402
2017-11-07$71.97$71.0010.3%3.2%7.5%19.4%12.5%2.7%1.0%-41.9M-149.9M-2.5M5.053.914,93224,92592,860238,965
2017-11-08$71.85$71.0010.1%3.1%7.5%16.9%11.7%2.5%0.9%-49.4M-130.7M-2.6M7.972.993,08724,60094,467239,339
2017-11-09$70.99$71.0011.2%3.4%8.4%31.1%12.3%2.8%0.7%-58.0M2.2M-2.6M12.843.944,77061,25494,490239,399
2017-11-10$71.06$71.0011.2%3.4%8.4%31.3%11.8%2.5%0.9%-44.7M13.5M-2.7M11.963.144,54454,35594,959259,400
2017-11-13$70.81$71.0011.7%3.4%8.4%37.6%12.0%2.7%-0.3%-46.0M5.9M-2.7M12.412.943,78046,91793,480238,542
2017-11-14$70.64$71.0011.8%3.4%8.3%38.9%12.3%2.8%0.2%-47.9M27.5M-2.7M4.272.807,69332,86093,783238,615
2017-11-15$70.21$71.0012.9%3.7%8.5%54.2%12.2%3.0%-0.5%-50.6M93.7M-2.7M5.673.368,02145,48993,167238,661
2017-11-16$70.90$71.0011.1%3.2%9.3%30.8%11.5%2.9%0.0%-44.4M-20.4M-2.5M2.333.3014,60934,07893,854237,441
2017-11-17$70.55$71.0010.8%3.1%8.4%25.9%12.4%2.5%0.5%-48.3M15.5M-2.6M1.572.7615,37124,105104,671240,639
2017-11-20$70.82$71.0010.3%3.0%8.5%20.0%13.1%3.2%0.1%-29.2M-58.6M-2.6M5.743.564,84227,80799,407221,124
2017-11-21$71.30$71.009.8%2.8%8.6%14.0%10.0%2.6%-0.2%-30.9M-132.5M-2.5M1.453.968,14311,844101,031222,172
2017-11-22$71.42$71.009.5%2.8%8.0%9.0%10.2%2.9%-0.0%-43.3M-164.2M-2.4M4.724.565,40225,523105,253222,574
2017-11-24$71.41$71.0010.0%2.9%7.9%16.2%11.2%2.8%0.3%-58.2M-135.4M-2.5M6.305.374,08925,776106,810231,266
2017-11-27$71.57$71.009.7%3.1%8.0%12.3%10.1%3.0%0.3%-7.2M-192.1M-2.4M4.113.446,73527,708105,511226,759
2017-11-28$72.56$71.0010.7%3.3%9.2%24.5%11.6%2.4%-0.6%8.2M-324.7M-2.2M1.474.8519,90129,271108,372228,722
2017-11-29$73.28$71.0010.2%3.5%9.6%19.0%13.2%2.3%-0.4%26.7M-456.3M-2.3M0.863.7737,07531,733122,899232,803
2017-11-30$74.47$71.0011.7%3.9%10.9%37.6%18.3%2.3%-0.0%27.7M-585.7M-2.2M1.375.9923,73332,475130,481239,250