XLI Options History — May 2018

In May 2018, XLI traded between $71.35 and $76.40. ATM implied volatility averaged 15.0%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.3% (HV 20d: 15.4%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2018-05-01: Highest Volume — 104,647 contracts
  • 2018-05-29: Largest IV spike — 18.7% change
  • 2018-05-01: Highest IV Rank — 54.2%
  • 2018-05-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.22$71.35$76.40$71.71$74.46
Max Pain$74.91$74.00$75.00$74.00$75.00
ATM IV15.0%13.4%17.8%17.8%14.7%
Expected Move4.5%4.0%5.5%5.5%4.5%
HV 20d15.4%11.6%19.6%19.6%13.5%
HV 60d19.4%18.3%22.3%22.3%18.8%
IV Rank37.3%27.3%54.2%54.2%35.3%
IV Percentile74.5%66.3%88.9%88.9%72.6%
Term Structure-0.1%-0.7%0.7%-0.1%-0.5%
VWIV16.1%14.0%19.7%18.9%16.1%
Skew 25d3.4%2.7%4.3%4.2%3.4%
Skew 10d6.6%5.3%9.2%8.3%6.9%
Call IV 25d13.7%12.2%15.9%15.7%13.6%
Put IV 25d17.1%15.1%20.0%20.0%17.0%
Bid-Ask Spread %4.262.647.063.874.22
Gamma HHI0.100.080.150.150.09
Net GEX-32.8M-97.9M17.4M-66.4M-27.4M
Net DEX121.2M-294.7M874.3M624.5M142.7M
Net VEX-3.6M-4.1M-3.4M-3.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.534.944.211.85
Total Volume45,620.31819,884104,647104,64727,887
Total OI496,302.955433,977564,281438,637455,161

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$71.71$74.0017.8%5.5%19.6%54.2%18.9%4.2%-0.1%-66.4M624.5M-3.5M4.213.8720,10584,542151,422287,215
2018-05-02$71.35$74.0017.4%5.3%19.4%51.4%19.7%4.1%-0.1%-97.9M874.3M-3.8M2.877.0618,99354,501159,820342,311
2018-05-03$71.40$75.0017.4%5.3%19.0%51.6%18.2%4.1%-0.5%-97.1M799.7M-3.8M1.835.8326,86249,261172,910342,969
2018-05-04$72.34$75.0016.4%5.0%17.1%45.3%19.5%3.6%0.0%-80.8M531.2M-4.1M2.804.539,86727,614191,666356,785
2018-05-07$72.66$75.0016.6%4.8%17.2%46.6%18.4%3.6%0.2%-70.7M420.4M-4.0M2.135.2710,25221,855174,523347,423
2018-05-08$73.25$75.0016.3%4.9%17.1%45.2%16.5%3.5%0.4%-60.1M271.8M-4.0M1.466.8419,25328,023176,779346,048
2018-05-09$73.99$75.0015.1%4.5%17.2%37.8%17.1%3.1%0.7%-43.6M73.5M-3.7M4.945.009,48546,842175,066344,348
2018-05-10$74.57$75.0014.7%4.3%16.4%35.4%16.6%3.0%0.4%-33.9M-29.4M-3.7M1.174.5217,12320,012166,413346,108
2018-05-11$74.69$75.0014.2%4.2%16.3%32.2%15.9%2.7%0.6%-31.5M-77.2M-3.6M1.684.1015,31825,769170,099348,803
2018-05-14$74.60$75.0014.2%4.1%15.7%32.3%14.3%3.0%0.0%-30.8M-28.8M-3.5M1.303.6822,42429,116168,138347,615
2018-05-15$74.19$75.0015.2%4.4%15.5%38.6%15.5%3.3%-0.4%-49.5M113.7M-3.7M1.654.6312,97121,414179,124360,507
2018-05-16$74.60$75.0014.1%4.0%15.1%31.9%14.7%3.2%-0.0%-26.3M-29.2M-3.5M2.043.888,93318,235181,547361,349
2018-05-17$74.85$75.0013.9%4.0%15.2%30.6%15.4%3.1%-0.4%-17.7M-93.9M-3.5M3.362.6413,84246,499182,635362,570
2018-05-18$75.42$75.0013.8%4.0%15.3%29.9%14.1%2.8%-0.7%3.0M-199.3M-3.6M2.072.6713,95528,884184,131380,150
2018-05-21$76.40$75.0013.7%4.0%15.9%29.2%14.0%3.3%-0.1%17.4M-294.7M-3.4M0.532.8936,06519,227158,648275,329
2018-05-22$75.61$75.0014.1%4.2%11.6%31.8%14.8%3.4%0.2%6.0M-141.4M-3.5M0.893.8223,30020,674163,632276,642
2018-05-23$75.32$75.0013.7%4.1%11.7%29.6%14.2%3.1%-0.1%1.3M-87.1M-3.7M0.844.1323,50919,692177,194283,637
2018-05-24$75.82$75.0013.4%4.0%11.8%27.3%14.3%3.0%-0.0%12.7M-178.5M-3.5M3.212.947,48024,038169,920284,655
2018-05-25$75.67$75.0013.4%4.0%11.8%27.8%14.6%2.9%-0.1%4.0M-127.5M-3.6M2.123.406,36313,521170,474289,639
2018-05-29$74.48$75.0015.9%4.9%12.8%42.8%17.0%4.3%-0.7%-25.4M145.7M-3.6M1.374.6313,86818,997167,423285,179
2018-05-30$75.41$75.0014.3%4.3%12.6%33.0%15.4%4.0%-0.4%-6.6M-43.3M-3.5M1.733.129,91817,158167,015285,643
2018-05-31$74.46$75.0014.7%4.5%13.5%35.3%16.1%3.4%-0.5%-27.4M142.7M-3.4M1.854.229,77218,115169,412285,749