XLI Options History — July 2018

In July 2018, XLI traded between $71.56 and $76.90. ATM implied volatility averaged 14.8%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.5% (HV 20d: 13.2%). Max pain ranged from $72.00 to $74.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2018-07-09: Highest Volume — 100,610 contracts
  • 2018-07-12: Largest IV drop — 8.0% change
  • 2018-07-03: Highest IV Rank — 50.7%
  • 2018-07-02: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.93$71.56$76.90$71.58$76.90
Max Pain$72.95$72.00$74.00$74.00$73.00
ATM IV14.8%13.4%17.3%17.3%13.7%
Expected Move4.2%3.8%4.9%4.9%4.0%
HV 20d13.2%11.4%15.3%12.3%14.1%
HV 60d13.8%12.9%14.4%14.4%13.6%
IV Rank35.7%27.3%50.7%50.6%29.6%
IV Percentile65.9%54.8%83.3%83.3%57.1%
Term Structure0.1%-0.4%0.6%-0.0%-0.2%
VWIV15.5%13.5%19.7%19.3%14.4%
Skew 25d3.4%2.9%4.3%4.3%3.1%
Skew 10d6.7%5.4%9.0%8.1%5.6%
Call IV 25d13.4%12.2%15.4%15.4%12.6%
Put IV 25d16.9%15.4%19.7%19.6%15.7%
Bid-Ask Spread %3.172.158.222.443.31
Gamma HHI0.110.080.230.110.11
Net GEX-27.8M-109.8M59.3M-99.1M59.3M
Net DEX22.5M-780.9M885.4M825.2M-780.9M
Net VEX-4.1M-4.8M-3.4M-4.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.635.623.250.89
Total Volume55,866.47617,296100,61094,94279,638
Total OI543,358436,200611,015522,920505,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$71.58$74.0017.3%4.9%12.3%50.6%19.3%4.3%-0.0%-99.1M825.2M-4.5M3.252.4422,32372,619161,974360,946
2018-07-03$71.56$74.0017.3%4.9%12.3%50.7%19.7%4.3%0.0%-107.8M885.4M-4.8M5.624.505,88833,074175,607397,440
2018-07-05$71.85$73.0016.7%4.8%11.9%47.5%16.6%4.0%0.1%-109.8M795.3M-4.7M1.193.1824,00528,533177,110399,422
2018-07-06$72.19$72.0015.8%4.5%12.0%42.3%15.0%3.6%0.2%-82.8M651.1M-4.6M3.063.6018,57556,882194,359403,227
2018-07-09$73.49$72.0015.1%4.4%13.9%37.9%15.9%3.7%0.2%-54.5M167.7M-4.1M2.662.6427,49073,120175,480361,337
2018-07-10$73.72$72.0015.2%4.2%13.8%38.2%16.7%3.5%-0.3%-24.0M15.8M-4.1M1.552.2131,84449,503195,442362,594
2018-07-11$72.63$73.0016.2%4.5%14.6%44.2%17.2%3.9%-0.4%-71.0M409.3M-4.5M1.902.5622,63842,957204,624380,837
2018-07-12$73.35$73.0014.9%4.4%15.2%36.5%14.3%3.5%0.4%-49.6M157.5M-4.4M1.142.5411,30212,899211,728395,076
2018-07-13$73.76$73.0014.1%4.1%15.3%32.0%15.2%3.3%0.1%-37.2M-34.5M-4.3M1.302.267,5089,788214,966396,049
2018-07-16$73.45$73.0014.9%4.3%15.2%36.5%15.1%3.4%-0.4%-39.4M108.9M-4.1M1.132.3520,78123,532202,002365,006
2018-07-17$73.79$73.0013.8%4.0%15.3%29.9%15.2%3.2%0.1%-34.1M4.4M-4.0M1.152.5611,66713,440201,039376,871
2018-07-18$74.55$73.0013.4%3.8%13.6%27.5%15.3%2.9%0.5%275.9K-254.6M-3.9M1.532.2715,33223,417209,085375,224
2018-07-19$74.57$73.0013.8%3.9%13.6%29.9%15.0%3.0%0.5%6.8M-273.6M-3.9M2.233.4614,02731,309211,547370,646
2018-07-20$74.54$73.0013.4%3.8%12.4%27.3%14.5%3.2%0.6%-65.4M-241.7M-4.0M1.882.1510,95020,577217,006388,391
2018-07-23$73.97$73.0014.2%4.1%12.6%32.5%14.1%3.3%0.1%10.5M-66.6M-3.9M1.534.1523,37535,651172,808263,392
2018-07-24$74.21$73.0014.6%4.2%11.4%34.8%14.5%3.2%-0.0%6.8M-142.1M-3.9M2.882.9210,44030,112183,989270,343
2018-07-25$75.19$73.0013.7%3.9%12.1%29.4%13.5%3.2%-0.1%18.3M-369.5M-3.7M0.738.2226,94819,601183,866290,718
2018-07-26$76.01$73.0013.7%4.0%12.0%29.4%14.4%2.9%-0.0%33.5M-547.0M-3.5M0.862.5450,67343,612183,100296,276
2018-07-27$75.95$73.0013.7%3.9%12.0%29.6%13.7%3.3%0.0%38.6M-544.1M-3.6M0.633.2741,41826,173195,909296,206
2018-07-30$75.28$73.0014.5%4.2%12.7%34.4%15.0%3.5%-0.1%16.2M-293.3M-3.7M0.763.3628,11521,460199,389283,696
2018-07-31$76.90$73.0013.7%4.0%14.1%29.6%14.4%3.1%-0.2%59.3M-780.9M-3.4M0.893.3142,06737,571216,353289,438