XLI Options History — August 2018

In August 2018, XLI traded between $74.82 and $77.67. ATM implied volatility averaged 13.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.0% (HV 20d: 13.3%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.40.

Notable Days

  • 2018-08-01: Highest Volume — 92,741 contracts
  • 2018-08-10: Largest IV spike — 13.3% change
  • 2018-08-01: Highest IV Rank — 36.2%
  • 2018-08-15: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.32$74.82$77.67$76.01$77.08
Max Pain$74.87$74.00$75.00$74.00$75.00
ATM IV13.4%11.8%14.8%14.8%13.2%
Expected Move4.0%3.7%4.4%4.4%3.9%
HV 20d13.3%10.5%15.2%15.0%11.1%
HV 60d13.5%13.0%13.8%13.8%13.1%
IV Rank27.3%17.9%36.2%36.2%26.6%
IV Percentile50.9%37.7%66.3%66.3%46.4%
Term Structure0.2%-0.5%1.5%-0.5%-0.1%
VWIV14.6%12.7%18.2%15.6%15.0%
Skew 25d3.1%2.2%3.5%3.2%3.4%
Skew 10d5.8%4.3%7.7%6.2%6.4%
Call IV 25d12.2%11.0%13.6%13.6%11.9%
Put IV 25d15.3%13.4%16.8%16.8%15.3%
Bid-Ask Spread %3.571.996.646.393.80
Gamma HHI0.120.080.350.100.12
Net GEX57.2M13.9M166.5M25.8M40.8M
Net DEX-395.4M-683.7M-40.4M-485.9M-372.1M
Net VEX-3.5M-4.0M-3.2M-3.7M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.394.180.980.79
Total Volume40,264.69616,01792,74192,74116,017
Total OI518,672.739400,808614,660548,799457,111

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$76.01$74.0014.8%4.4%15.0%36.2%15.6%3.2%-0.5%25.8M-485.9M-3.7M0.986.3946,92845,813236,679312,120
2018-08-02$75.80$74.0013.9%4.0%15.2%30.4%16.0%3.1%-0.2%35.4M-438.1M-4.0M4.152.8410,71444,452271,863329,548
2018-08-03$75.83$74.0013.5%3.7%15.2%27.9%13.0%2.9%-0.1%50.4M-463.8M-3.8M0.963.6524,73623,736260,549337,981
2018-08-06$75.93$75.0013.0%4.1%14.0%25.3%14.7%3.0%0.3%80.9M-469.6M-3.8M1.432.7715,56822,235255,688300,702
2018-08-07$76.49$75.0012.4%3.9%14.2%21.4%15.0%2.5%0.3%118.2M-683.7M-3.7M1.702.6215,13825,713260,803306,843
2018-08-08$76.26$75.0011.8%3.8%12.9%17.9%13.1%2.3%0.4%115.2M-597.0M-3.6M0.392.6326,32610,326263,561301,572
2018-08-09$75.87$75.0011.9%3.8%12.8%18.8%13.1%2.2%0.4%90.7M-477.9M-3.6M1.065.4210,86411,562273,766303,128
2018-08-10$75.15$75.0013.5%4.2%13.4%28.3%14.8%2.9%0.2%41.4M-186.7M-3.7M1.284.3824,57231,382275,116306,468
2018-08-13$74.82$75.0014.1%4.3%13.4%31.9%16.7%3.4%1.0%24.9M-58.6M-3.6M2.413.339,50522,929268,942298,842
2018-08-14$75.27$75.0013.3%4.2%13.4%26.9%16.0%3.2%1.3%43.5M-196.9M-3.5M1.782.588,95615,968270,206306,094
2018-08-15$74.88$75.0014.5%4.4%13.1%34.4%18.2%3.5%0.8%13.9M-40.4M-3.6M4.184.7911,52848,201272,332309,724
2018-08-16$75.83$75.0013.2%4.0%13.8%26.4%13.3%3.2%1.1%65.1M-380.1M-3.5M0.481.9939,23518,999277,220318,449
2018-08-17$76.35$75.0013.4%4.1%14.0%27.7%14.4%3.0%1.5%166.5M-629.7M-3.4M0.885.0323,48820,619293,145321,515
2018-08-20$76.80$75.0013.3%3.9%13.7%26.8%14.2%3.4%-0.3%26.9M-318.5M-3.3M1.232.5212,43815,243169,050231,758
2018-08-21$77.42$75.0013.5%3.9%13.8%28.2%13.8%3.5%-0.3%40.8M-424.7M-3.3M0.802.5131,27324,992172,802232,249
2018-08-22$76.76$75.0014.0%4.0%13.7%31.1%14.1%3.5%-0.4%38.2M-347.9M-3.5M1.616.6414,50123,381187,497240,967
2018-08-23$76.32$75.0013.9%4.0%13.4%30.3%12.7%3.3%-0.3%27.4M-223.7M-3.6M0.522.7321,19010,916192,228249,034
2018-08-24$76.65$75.0013.5%3.9%13.5%28.1%15.3%2.7%-0.3%53.7M-339.2M-3.5M2.422.7712,59630,492204,716249,901
2018-08-27$77.61$75.0013.2%3.8%13.6%26.2%14.1%3.0%-0.1%57.6M-521.5M-3.3M1.192.508,75010,417198,390244,473
2018-08-28$77.58$75.0013.3%3.9%11.5%26.8%14.7%3.0%0.1%55.9M-539.6M-3.2M0.993.2013,76413,690199,758250,577
2018-08-29$77.67$75.0012.7%3.8%10.5%23.1%13.2%2.8%0.1%66.8M-555.3M-3.3M0.453.5820,5989,223204,343254,106
2018-08-30$76.96$75.0013.5%4.0%11.1%28.0%13.7%3.4%0.0%35.1M-342.3M-3.4M0.623.4216,77910,335202,283255,374
2018-08-31$77.08$75.0013.2%3.9%11.1%26.6%15.0%3.4%-0.1%40.8M-372.1M-3.3M0.793.808,9737,044199,321257,790