XLI Options History — December 2017

In December 2017, XLI traded between $73.61 and $75.81. ATM implied volatility averaged 11.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.1% (HV 20d: 11.1%). Max pain ranged from $68.00 to $74.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.69.

Notable Days

  • 2017-12-01: Highest Volume — 86,549 contracts
  • 2017-12-04: Largest IV drop — 10.2% change
  • 2017-12-01: Highest IV Rank — 69.1%
  • 2017-12-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.80$73.61$75.81$73.67$75.70
Max Pain$71.95$68.00$74.00$71.00$74.00
ATM IV11.0%10.0%14.1%14.1%10.9%
Expected Move3.2%2.8%4.9%4.9%3.1%
HV 20d11.1%8.0%12.7%11.7%8.0%
HV 60d8.8%8.5%8.9%8.5%8.8%
IV Rank29.7%16.1%69.1%69.1%27.3%
IV Percentile41.9%17.1%93.7%93.7%43.3%
Term Structure0.2%-0.4%0.8%0.2%0.4%
VWIV12.1%10.2%17.9%17.9%11.5%
Skew 25d2.8%2.1%3.8%3.4%2.9%
Skew 10d5.7%4.5%7.2%6.2%5.7%
Call IV 25d10.1%9.1%12.6%12.6%9.6%
Put IV 25d12.9%11.4%16.1%16.1%12.5%
Bid-Ask Spread %4.912.6411.278.253.22
Gamma HHI0.180.080.350.080.13
Net GEX37.2M14.3M63.4M21.7M27.5M
Net DEX-436.4M-677.1M-214.7M-492.0M-342.4M
Net VEX-2.3M-2.6M-1.9M-2.5M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.485.600.684.58
Total Volume45,399.5526,17686,54986,54940,465
Total OI381,105.85321,206435,625383,668343,041

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$73.67$71.0014.1%4.9%11.7%69.1%17.9%3.4%0.2%21.7M-492.0M-2.5M0.688.2551,39635,153141,767241,901
2017-12-04$74.26$68.0012.6%3.8%11.9%50.2%13.1%3.8%0.1%39.2M-593.4M-2.4M3.045.3412,11736,860156,375242,436
2017-12-05$73.61$70.0012.6%3.4%12.5%50.2%12.8%3.3%0.3%20.7M-423.2M-2.6M2.095.9812,94227,092158,015263,607
2017-12-06$73.68$70.0012.4%3.4%12.5%47.4%12.3%3.0%0.0%14.3M-424.5M-2.5M2.144.5511,05823,625156,201270,509
2017-12-07$74.37$70.0011.6%3.4%12.7%37.3%13.1%2.6%0.4%36.0M-578.8M-2.5M2.913.889,69128,207160,944271,932
2017-12-08$74.62$70.0010.9%3.1%11.6%27.8%11.6%2.6%0.1%55.4M-653.6M-2.5M3.803.598,97534,128165,529266,801
2017-12-11$74.52$70.0010.7%3.0%11.7%25.2%11.8%2.8%-0.4%63.4M-610.7M-2.5M5.603.196,83938,287164,971260,714
2017-12-12$74.62$70.0010.5%2.9%11.5%22.5%10.7%3.3%-0.4%60.8M-627.1M-2.5M4.812.647,18434,552165,305265,205
2017-12-13$74.88$70.0010.0%2.9%11.4%16.1%11.8%3.1%0.2%62.7M-677.1M-2.4M1.657.3512,73921,046165,728266,589
2017-12-14$74.44$70.0010.5%3.1%11.3%22.9%11.7%2.1%0.7%63.0M-590.1M-2.5M0.484.3040,59719,625165,851269,774
2017-12-15$74.43$74.0010.3%3.1%11.1%19.5%10.2%2.2%0.8%33.9M-214.7M-2.4M0.793.6427,93222,094110,352272,602
2017-12-18$75.02$74.0010.5%3.0%10.9%22.1%11.1%2.9%0.0%45.4M-290.3M-2.2M1.4011.2719,90127,95095,376225,830
2017-12-19$75.11$74.0011.1%3.2%10.9%30.4%13.8%2.7%-0.1%38.9M-282.9M-2.3M3.235.1212,90241,66197,325237,625
2017-12-20$75.33$74.0010.6%3.0%10.8%23.4%11.2%2.7%0.2%43.6M-344.1M-2.2M0.935.2024,74423,008100,414246,011
2017-12-21$75.39$74.0010.2%2.9%10.8%18.4%10.7%2.4%0.3%20.4M-290.5M-2.2M2.805.437,19020,11789,523250,505
2017-12-22$75.40$74.0010.0%2.8%10.8%16.5%10.7%2.3%0.5%32.3M-312.7M-2.1M4.743.124,56121,61591,330250,747
2017-12-26$75.44$74.0010.6%3.0%10.8%24.0%12.4%2.6%0.1%16.1M-290.8M-2.1M2.833.308,89325,14485,977238,630
2017-12-27$75.65$74.0010.6%3.0%10.0%24.1%10.7%2.4%0.3%19.7M-333.6M-1.9M1.935.2120,59539,83087,910238,524
2017-12-28$75.81$74.0010.3%2.9%9.6%19.5%12.0%2.4%0.4%28.0M-354.9M-2.1M3.423.6310,69036,58698,994241,247
2017-12-29$75.70$74.0010.9%3.1%8.0%27.3%11.5%2.9%0.4%27.5M-342.4M-2.1M4.583.227,24733,218100,022243,019