XLI Options History — April 2018

In April 2018, XLI traded between $72.48 and $76.24. ATM implied volatility averaged 18.2%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 4.7% (HV 20d: 23.0%). Max pain ranged from $73.00 to $76.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2018-04-02: Highest Volume — 106,310 contracts
  • 2018-04-24: Largest IV spike — 18.7% change
  • 2018-04-02: Highest IV Rank — 84.1%
  • 2018-04-02: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.07$72.48$76.24$72.69$72.48
Max Pain$74.38$73.00$76.50$76.50$74.50
ATM IV18.2%15.0%22.8%22.8%17.1%
Expected Move5.3%4.3%7.0%7.0%5.1%
HV 20d23.0%20.0%24.8%22.2%20.0%
HV 60d21.5%20.3%22.5%20.3%22.5%
IV Rank56.4%37.2%84.1%84.1%49.6%
IV Percentile89.1%79.8%98.8%98.8%84.9%
Term Structure-0.2%-0.7%0.6%-0.3%0.0%
VWIV20.0%15.8%23.7%23.7%18.3%
Skew 25d4.9%3.6%6.5%6.5%4.6%
Skew 10d9.9%7.7%14.3%14.3%8.0%
Call IV 25d16.1%13.4%19.9%19.9%14.9%
Put IV 25d21.0%17.0%26.4%26.4%19.5%
Bid-Ask Spread %6.653.1315.397.8610.41
Gamma HHI0.090.060.210.060.13
Net GEX-49.8M-123.9M7.6M-50.8M-60.8M
Net DEX308.0M-204.8M704.8M604.8M481.3M
Net VEX-3.6M-3.9M-3.3M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.903.842.532.07
Total Volume54,222.76227,033106,310106,31046,901
Total OI460,647.476381,788535,315396,624425,318

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$72.69$76.5022.8%7.0%22.2%84.1%23.7%6.5%-0.3%-50.8M604.8M-3.7M2.537.8630,09376,217133,283263,341
2018-04-03$73.71$76.0020.8%6.3%22.5%71.7%22.8%6.0%-0.2%-50.2M457.3M-3.8M1.287.3921,49627,461133,002280,453
2018-04-04$74.16$76.0019.8%6.0%22.6%65.6%22.6%5.5%-0.2%-41.7M349.3M-3.8M3.6515.3916,09458,816138,159283,501
2018-04-05$74.82$74.0018.3%5.2%22.9%57.1%18.7%5.2%-0.1%-32.2M208.6M-3.8M3.368.8615,04250,599144,966305,869
2018-04-06$72.74$74.0021.4%5.8%24.8%75.4%22.2%6.0%-0.4%-83.7M704.8M-3.9M3.279.2418,31659,821151,326314,754
2018-04-09$73.01$74.0020.9%5.9%23.0%72.3%20.0%5.9%-0.3%-80.7M654.5M-3.9M1.356.4213,25817,852140,008330,116
2018-04-10$73.72$74.0020.4%5.6%23.3%69.3%22.2%5.4%-0.7%-74.4M500.4M-3.9M1.236.1714,26817,553146,442332,963
2018-04-11$73.16$73.0020.2%5.7%23.3%68.2%22.6%5.1%-0.2%-83.6M606.7M-3.8M0.9010.6919,86317,958152,279335,394
2018-04-12$74.38$73.0018.1%5.3%24.1%56.0%21.7%4.8%0.2%-64.2M293.7M-3.7M3.845.0618,55271,164157,841338,551
2018-04-13$73.96$73.0017.7%5.1%24.0%53.5%21.9%4.7%-0.1%-123.9M433.8M-3.8M2.217.9417,54838,733161,171362,333
2018-04-16$74.86$74.0015.9%4.5%24.5%42.5%18.1%4.4%0.2%-47.9M183.5M-3.5M1.863.3719,48036,212158,479337,392
2018-04-17$75.47$74.0015.4%4.4%24.5%39.6%16.8%3.9%-0.4%-16.8M-18.0M-3.5M2.493.319,98224,832169,109344,244
2018-04-18$76.24$74.0015.0%4.3%24.8%37.2%17.8%3.6%0.0%5.5M-204.8M-3.3M2.843.1315,00542,613169,915346,215
2018-04-19$76.04$74.0015.2%4.3%24.8%38.1%17.7%3.8%0.0%-6.5M-149.9M-3.5M1.257.4516,55820,750174,355360,960
2018-04-20$75.52$74.0015.5%4.4%21.7%40.2%15.8%4.2%0.6%7.6M-10.4M-3.4M1.463.8516,39323,870171,261359,407
2018-04-23$75.44$75.0015.9%4.6%21.0%42.5%17.3%4.3%-0.3%-9.2M-1.2M-3.4M2.073.558,79418,239127,217254,571
2018-04-24$73.14$75.0018.9%5.5%22.6%60.3%19.6%5.3%-0.6%-45.4M376.1M-3.5M1.806.4024,62744,429126,699257,128
2018-04-25$73.45$75.0018.6%5.4%22.1%58.9%20.0%4.9%-0.6%-46.7M315.7M-3.6M1.234.0523,35428,681137,057273,016
2018-04-26$73.35$74.5017.6%5.1%22.0%52.8%20.4%4.6%-0.5%-54.5M310.9M-3.7M2.385.6714,67834,939151,011280,590
2018-04-27$73.12$74.5017.1%5.0%21.4%49.6%20.7%4.3%-0.3%-85.5M371.9M-3.8M2.203.5214,86732,770152,355291,546
2018-04-30$72.48$74.5017.1%5.1%20.0%49.6%18.3%4.6%0.0%-60.8M481.3M-3.5M2.0710.4115,27731,624143,792281,526