XLI Options History — March 2018

In March 2018, XLI traded between $72.93 and $78.40. ATM implied volatility averaged 17.8%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.1% (HV 20d: 19.9%). Max pain ranged from $76.00 to $78.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2018-03-29: Highest Volume — 74,591 contracts
  • 2018-03-22: Largest IV spike — 25.8% change
  • 2018-03-23: Highest IV Rank — 81.6%
  • 2018-03-28: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.71$72.93$78.40$75.31$74.37
Max Pain$77.43$76.00$78.50$78.50$77.50
ATM IV17.8%14.1%22.4%19.3%19.4%
Expected Move5.2%4.2%6.5%6.4%5.6%
HV 20d19.9%16.3%26.0%25.9%20.8%
HV 60d17.6%16.4%19.9%16.5%19.9%
IV Rank53.9%32.1%81.6%62.8%63.7%
IV Percentile93.1%84.5%98.8%97.6%95.6%
Term Structure-0.1%-0.5%0.3%-0.5%0.0%
VWIV19.2%14.8%25.2%25.2%19.4%
Skew 25d5.4%4.0%6.9%6.4%5.8%
Skew 10d11.0%8.2%15.6%13.0%10.7%
Call IV 25d15.9%12.7%19.9%17.4%17.3%
Put IV 25d21.3%16.8%26.8%23.8%23.1%
Bid-Ask Spread %9.286.0016.1116.117.08
Gamma HHI0.160.070.320.180.10
Net GEX-63.8M-115.1M-35.1M-115.1M-63.1M
Net DEX355.9M-85.7M690.6M690.6M411.7M
Net VEX-3.6M-3.9M-3.1M-3.8M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.625.435.332.23
Total Volume42,043.28621,20574,59145,23274,591
Total OI411,292.19323,665496,330454,365403,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$75.31$78.5019.3%6.4%25.9%62.8%25.2%6.4%-0.5%-115.1M690.6M-3.8M5.3316.117,14338,089105,933348,432
2018-03-02$75.28$78.5018.4%5.8%26.0%57.4%20.8%6.7%-0.5%-71.0M690.2M-3.7M1.467.6814,01520,447106,530349,186
2018-03-05$76.12$76.0017.6%5.0%25.7%52.8%17.9%5.7%-0.0%-70.5M387.4M-3.6M1.198.039,68711,518108,125295,517
2018-03-06$76.29$76.0017.0%5.0%21.3%48.9%17.8%5.8%0.0%-74.0M346.0M-3.6M1.289.029,45412,104110,853296,283
2018-03-07$76.39$76.0017.1%5.0%21.0%49.9%20.5%5.5%-0.0%-68.3M321.1M-3.6M2.778.697,53820,901113,516297,126
2018-03-08$76.62$76.0016.7%4.7%20.9%47.3%18.5%5.0%0.1%-70.2M272.8M-3.4M1.679.2314,84924,763113,898304,390
2018-03-09$78.40$76.0014.1%4.3%16.9%32.1%15.0%4.2%0.3%-42.5M-85.7M-3.1M2.698.6212,79834,445118,968312,280
2018-03-12$77.61$76.0015.5%4.4%17.5%40.3%16.5%4.3%-0.4%-62.0M65.4M-3.3M1.5310.5324,54937,500117,260310,457
2018-03-13$77.11$78.0016.0%4.6%17.1%43.2%16.4%4.4%0.1%-75.9M195.6M-3.4M0.628.0718,06711,258133,622334,156
2018-03-14$76.25$78.0016.7%4.8%17.7%47.1%17.8%4.8%0.2%-108.4M365.8M-3.6M2.648.0117,81347,073136,772334,856
2018-03-15$76.53$78.0015.6%4.4%17.2%40.5%17.2%4.4%-0.2%-50.0M275.6M-3.5M1.858.2515,39628,560140,929355,401
2018-03-16$76.79$78.0014.3%4.2%16.5%32.9%14.8%4.0%0.3%-67.7M280.4M-3.5M2.3710.2311,91628,234131,127356,523
2018-03-19$76.07$78.0017.1%4.9%16.7%49.6%19.2%5.1%0.3%-35.1M167.1M-3.6M3.159.977,58323,871104,191219,474
2018-03-20$76.25$78.0016.7%4.8%16.3%47.2%16.3%5.1%0.1%-35.5M140.9M-3.5M5.436.0010,20855,474106,626224,049
2018-03-21$76.41$78.0016.1%4.6%16.3%43.8%17.0%4.8%-0.1%-40.6M144.4M-3.7M1.809.037,67513,804112,261241,112
2018-03-22$73.92$78.0020.3%5.8%19.9%68.7%21.2%6.1%-0.3%-53.6M523.2M-3.8M4.5211.428,01436,209114,825250,379
2018-03-23$72.93$78.0022.4%6.5%20.0%81.6%23.6%6.9%-0.3%-56.9M688.0M-3.9M3.7810.907,88529,798116,269263,746
2018-03-26$74.57$78.0019.7%5.7%21.2%65.6%21.3%6.1%-0.2%-61.7M434.6M-3.8M1.278.3522,07828,005111,832258,927
2018-03-27$73.51$78.0021.9%6.4%21.4%78.3%23.5%6.6%-0.3%-58.4M569.3M-3.8M1.6311.7017,55828,646117,800263,509
2018-03-28$73.28$77.5021.8%6.5%21.0%77.7%23.9%6.6%-0.3%-59.5M590.1M-3.7M1.658.0212,61420,779126,375269,689
2018-03-29$74.37$77.5019.4%5.6%20.8%63.7%19.4%5.8%0.0%-63.1M411.7M-3.8M2.237.0823,06751,524130,767273,165