XLI Options History — June 2018

In June 2018, XLI traded between $71.58 and $76.69. ATM implied volatility averaged 14.4%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.1% (HV 20d: 13.3%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.53.

Notable Days

  • 2018-06-21: Highest Volume — 81,788 contracts
  • 2018-06-25: Largest IV spike — 16.6% change
  • 2018-06-27: Highest IV Rank — 57.1%
  • 2018-06-27: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.24$71.58$76.69$75.18$71.89
Max Pain$74.62$74.00$75.00$75.00$74.00
ATM IV14.4%12.0%18.3%13.6%16.6%
Expected Move4.2%3.5%5.3%4.1%4.7%
HV 20d13.3%12.3%14.9%13.7%12.3%
HV 60d17.3%15.5%18.9%18.9%15.5%
IV Rank33.8%19.6%57.1%29.0%46.9%
IV Percentile69.5%56.3%90.5%66.3%79.4%
Term Structure0.0%-0.3%0.6%-0.3%-0.0%
VWIV15.4%12.5%19.6%15.0%16.5%
Skew 25d3.5%2.8%5.0%3.5%3.9%
Skew 10d6.9%5.7%9.7%6.6%7.2%
Call IV 25d13.1%11.1%16.3%12.3%15.1%
Put IV 25d16.6%14.2%21.0%15.8%19.0%
Bid-Ask Spread %3.602.099.523.212.73
Gamma HHI0.140.090.600.110.15
Net GEX-41.3M-265.1M24.0M14.7M-97.7M
Net DEX200.7M-308.1M720.9M-39.7M655.1M
Net VEX-3.6M-4.2M-3.2M-3.3M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.835.751.724.34
Total Volume45,776.66723,57681,78829,14777,414
Total OI453,764.476334,129537,595472,150493,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$75.18$75.0013.6%4.1%13.7%29.0%15.0%3.5%-0.3%14.7M-39.7M-3.3M1.723.2110,70218,445176,188295,962
2018-06-04$75.18$74.0013.5%4.0%13.1%28.0%15.3%3.5%0.2%-10.6M-8.0M-3.3M1.654.8813,01121,500170,015280,834
2018-06-05$75.22$74.0013.1%3.9%13.1%26.0%13.2%3.1%0.4%-14.6M-394.1K-3.2M0.834.0220,95617,498168,613289,895
2018-06-06$75.85$74.0012.0%3.7%13.1%19.6%15.2%3.1%0.4%6.1M-163.2M-3.2M3.634.378,48230,749175,003298,010
2018-06-07$76.10$74.0012.4%3.7%12.8%21.9%15.4%2.8%0.2%8.2M-194.6M-3.4M5.754.717,16441,226177,318317,111
2018-06-08$76.33$75.0012.1%3.7%12.6%19.8%14.9%3.0%0.4%10.3M-229.0M-3.5M3.273.718,28727,067177,900341,527
2018-06-11$76.69$75.0012.7%3.6%12.6%23.7%13.5%2.9%-0.3%24.0M-308.1M-3.3M1.772.6310,77919,042177,573343,895
2018-06-12$76.46$75.0012.2%3.7%12.7%20.7%12.5%3.1%0.6%16.1M-259.9M-3.3M1.542.379,28614,290179,798350,153
2018-06-13$76.00$75.0012.6%3.7%12.7%22.8%13.5%3.1%0.2%2.7M-116.0M-3.3M1.219.5214,19117,138180,948350,294
2018-06-14$75.62$75.0012.5%3.5%12.8%22.1%14.8%3.0%-0.2%-35.2M1.1M-3.4M1.874.9118,73334,940182,160353,777
2018-06-15$75.07$75.0012.9%3.7%13.1%24.8%14.5%2.9%0.1%-265.1M294.3M-3.4M3.273.449,40730,717160,542377,053
2018-06-18$74.75$75.0013.8%4.0%12.9%29.8%14.2%3.2%0.0%-49.6M194.1M-3.5M2.722.287,30319,874102,505231,624
2018-06-19$73.16$75.0015.5%4.5%13.9%40.4%15.2%3.6%-0.1%-58.5M449.1M-3.5M1.062.2720,69921,905105,140235,644
2018-06-20$73.29$75.0014.5%4.2%13.6%34.3%14.3%3.4%0.0%-50.0M403.2M-3.5M1.042.1917,19017,913113,858235,934
2018-06-21$72.24$75.0016.7%4.8%14.3%47.4%16.7%4.2%-0.2%-47.6M539.6M-3.6M4.364.6815,27166,517125,439237,412
2018-06-22$72.73$75.0015.3%4.4%14.3%39.1%16.9%4.0%0.0%-48.8M436.9M-3.7M3.192.0914,91047,577135,361253,541
2018-06-25$71.76$75.0017.9%5.2%14.9%54.4%19.6%5.0%-0.1%-56.8M589.9M-3.7M4.164.0215,07462,714130,192255,871
2018-06-26$72.17$74.0016.6%4.6%14.3%46.5%16.0%4.3%-0.1%-67.9M579.8M-4.0M1.122.3221,17323,696140,373293,104
2018-06-27$71.73$74.0018.3%5.3%13.4%57.1%17.7%4.4%-0.2%-69.9M668.8M-4.1M2.882.7314,26341,011147,539301,519
2018-06-28$71.58$74.0018.0%5.1%12.8%55.2%18.4%4.3%-0.2%-76.3M720.9M-4.1M1.842.6018,69834,498155,836309,961
2018-06-29$71.89$74.0016.6%4.7%12.3%46.9%16.5%3.9%-0.0%-97.7M655.1M-4.2M4.342.7314,49862,916166,735326,897