XLI Options History — February 2018

In February 2018, XLI traded between $73.37 and $79.50. ATM implied volatility averaged 18.9%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.6% (HV 20d: 21.5%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 4.55.

Notable Days

  • 2018-02-09: Highest Volume — 141,676 contracts
  • 2018-02-05: Largest IV spike — 47.1% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.52$73.37$79.50$79.50$76.82
Max Pain$79.11$78.00$80.00$80.00$78.50
ATM IV18.9%14.2%25.5%14.2%17.3%
Expected Move5.5%4.3%7.2%4.3%5.4%
HV 20d21.5%9.2%25.2%9.2%25.2%
HV 60d14.8%9.3%16.2%9.3%16.1%
IV Rank66.7%39.8%100.0%70.8%51.3%
IV Percentile97.1%92.5%100.0%95.2%94.8%
Term Structure-0.4%-1.1%0.1%0.1%-0.3%
VWIV20.3%16.0%28.2%16.0%19.2%
Skew 25d6.0%3.5%11.3%3.5%5.6%
Skew 10d12.2%5.3%24.9%7.1%10.1%
Call IV 25d16.7%12.9%22.5%12.9%15.6%
Put IV 25d22.7%16.4%32.4%16.4%21.2%
Bid-Ask Spread %11.555.9624.3611.6110.97
Gamma HHI0.110.080.200.090.16
Net GEX-80.9M-106.3M-32.3M-32.3M-94.2M
Net DEX502.4M-18.3M1.02B-18.3M375.9M
Net VEX-3.9M-4.5M-3.0M-3.0M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.551.8110.773.082.04
Total Volume64,740.10529,059141,67652,85030,619
Total OI447,739333,374535,417333,374449,614

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$79.50$80.0014.2%4.3%9.2%70.8%16.0%3.5%0.1%-32.3M-18.3M-3.0M3.0811.6112,94139,90996,280237,094
2018-02-02$78.02$80.0016.3%4.7%11.6%98.6%17.0%4.2%-0.1%-83.5M300.3M-3.4M4.6511.1914,79368,852103,623259,436
2018-02-05$74.98$80.0024.0%6.5%18.2%100.0%22.6%6.0%-1.0%-61.6M780.7M-3.8M6.3524.3613,29184,34493,592277,929
2018-02-06$75.78$80.0022.4%6.1%18.6%89.3%21.7%6.3%-1.0%-72.1M685.6M-3.9M2.9421.3927,41480,46199,880301,108
2018-02-07$76.21$80.0019.2%5.5%18.6%68.5%19.7%5.7%-0.0%-81.5M603.4M-4.0M3.288.4217,01355,794113,286308,942
2018-02-08$73.37$80.0025.5%7.2%22.6%100.0%24.6%8.8%-0.3%-62.5M1.02B-3.9M3.9622.2413,60853,877113,958313,245
2018-02-09$73.85$80.0024.2%6.7%22.1%92.0%28.2%11.3%-1.0%-68.0M1.02B-4.1M10.7716.9612,038129,638115,686324,147
2018-02-12$74.99$80.0021.2%6.0%22.7%74.3%22.4%7.7%-0.6%-104.3M926.8M-4.5M5.1214.2510,50553,763115,852394,360
2018-02-13$75.19$80.0020.5%5.9%22.8%70.2%20.6%6.5%-0.6%-106.3M884.1M-4.4M3.196.5813,12341,821118,517396,297
2018-02-14$76.14$78.0017.7%5.1%23.3%53.5%18.4%5.6%0.0%-102.3M647.0M-4.2M4.697.318,54340,067125,096403,416
2018-02-15$77.18$78.0017.8%5.2%23.9%53.9%21.2%5.6%-1.1%-89.6M371.9M-3.8M7.989.539,97279,561125,984377,052
2018-02-16$77.46$78.0017.5%5.1%23.9%51.9%19.4%5.1%-0.8%-89.9M350.8M-3.9M5.265.9611,59860,950127,121408,296
2018-02-20$76.60$78.0018.2%5.4%24.2%56.5%19.8%5.9%-0.2%-87.8M430.5M-4.1M3.196.7410,74034,210101,018342,049
2018-02-21$76.62$78.5018.1%5.3%24.2%55.5%19.9%5.9%-0.4%-88.9M416.7M-3.9M4.7212.208,42139,781100,975346,477
2018-02-22$77.04$78.5017.6%5.2%24.3%52.6%19.1%5.4%-0.4%-87.9M356.4M-3.9M4.397.367,16131,418104,026358,155
2018-02-23$77.61$78.5015.6%4.6%24.5%40.9%18.9%5.4%-0.3%-98.7M211.4M-3.7M5.727.908,17446,754105,876360,455
2018-02-26$78.66$78.5015.4%4.7%24.7%39.8%18.0%4.5%-0.2%-55.8M20.8M-3.4M1.817.4310,62819,221100,319342,390
2018-02-27$77.89$78.5016.8%5.2%24.9%47.7%19.3%5.3%-0.2%-70.7M154.0M-3.5M3.347.076,69322,366102,824342,666
2018-02-28$76.82$78.5017.3%5.4%25.2%51.3%19.2%5.6%-0.3%-94.2M375.9M-3.7M2.0410.9710,05720,562104,555345,059