XLI Options History — November 2018

In November 2018, XLI traded between $69.57 and $73.20. ATM implied volatility averaged 20.6%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.6% (HV 20d: 22.2%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2018-11-26: Highest Volume — 99,776 contracts
  • 2018-11-07: Largest IV drop — 16.4% change
  • 2018-11-20: Highest IV Rank — 81.6%
  • 2018-11-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.38$69.57$73.20$71.20$72.57
Max Pain$73.71$73.00$75.00$74.00$74.00
ATM IV20.6%17.7%24.5%21.0%18.6%
Expected Move6.2%5.3%7.0%6.6%5.9%
HV 20d22.2%17.0%25.0%24.7%17.0%
HV 60d17.3%16.7%18.3%16.8%18.3%
IV Rank60.4%44.7%81.6%62.7%48.6%
IV Percentile88.5%78.2%98.8%92.1%78.6%
Term Structure-0.2%-1.7%1.1%-0.1%-0.5%
VWIV22.4%19.4%25.6%24.3%19.9%
Skew 25d5.0%4.2%5.9%5.1%4.5%
Skew 10d10.0%8.5%11.8%11.0%9.2%
Call IV 25d18.4%15.9%21.5%18.6%16.7%
Put IV 25d23.4%20.2%27.5%23.7%21.2%
Bid-Ask Spread %5.022.247.445.976.96
Gamma HHI0.100.070.130.090.13
Net GEX7.8M-27.2M73.6M-27.2M73.6M
Net DEX233.3M-243.2M537.1M514.5M-243.2M
Net VEX-2.9M-3.3M-2.2M-3.0M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.191.961.900.36
Total Volume55,410.1924,71999,77670,27175,413
Total OI513,218.857405,782596,694497,380527,363

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$71.20$74.0021.0%6.6%24.7%62.7%24.3%5.1%-0.1%-27.2M514.5M-3.0M1.905.9724,24346,028204,880292,500
2018-11-02$71.14$74.0021.4%6.8%24.8%64.5%25.6%5.4%-0.0%-25.5M537.1M-3.1M1.964.6113,60526,700218,316306,136
2018-11-05$71.39$75.0021.3%6.3%24.8%64.2%22.8%5.5%-0.2%-23.7M412.5M-3.0M1.273.2721,07126,830208,018293,000
2018-11-06$71.99$75.0021.4%6.1%25.0%64.6%21.7%5.4%-0.3%-11.5M268.4M-3.1M0.713.1955,19439,024217,019301,045
2018-11-07$73.20$73.0017.9%5.3%23.4%45.7%19.7%4.3%0.0%27.1M-123.3M-3.2M1.064.6538,63541,103259,952316,326
2018-11-08$72.96$73.0017.7%5.3%22.6%44.7%21.2%4.4%0.0%30.9M-50.8M-3.3M1.755.1828,71550,265269,520315,643
2018-11-09$72.66$73.0018.4%5.3%22.6%48.3%19.4%4.6%0.0%27.8M6.9M-3.3M1.526.2621,23432,318279,972316,722
2018-11-12$71.20$73.0021.2%6.2%23.4%63.6%20.9%5.5%0.5%5.7M370.9M-3.1M0.744.5314,22610,493278,274286,515
2018-11-13$71.29$73.0021.0%6.3%22.9%62.6%22.6%5.5%1.1%6.1M374.3M-3.1M1.076.2413,37214,344276,950287,146
2018-11-14$71.28$73.0021.5%6.4%22.9%65.2%24.6%5.5%1.0%7.0M362.6M-3.0M0.924.6621,76419,974278,048289,607
2018-11-15$71.92$73.0021.3%6.2%22.5%64.0%24.5%5.1%0.5%25.3M133.4M-3.1M1.115.1025,52828,449287,603282,356
2018-11-16$72.10$73.0020.1%5.9%22.6%57.5%21.4%4.7%0.7%16.2M102.8M-2.9M0.855.2144,99438,267285,584289,307
2018-11-19$70.83$74.0021.9%6.3%23.4%67.3%23.8%5.5%-1.3%-10.1M319.5M-2.6M0.933.6117,44916,218187,443218,339
2018-11-20$69.57$74.0024.5%7.0%23.5%81.6%24.7%5.9%-1.6%-22.0M492.0M-2.5M0.903.0434,52731,109192,408224,633
2018-11-21$69.93$74.0022.3%6.4%22.0%69.4%22.8%5.4%-1.4%-12.4M419.4M-2.4M0.772.2419,03014,565203,241224,387
2018-11-23$69.73$74.0023.0%6.7%22.0%73.1%23.1%5.5%-1.7%-17.2M439.2M-2.4M0.646.6318,36111,758207,506228,103
2018-11-26$70.25$74.0020.6%6.2%21.7%59.9%22.2%5.0%-0.4%-14.0M375.2M-2.2M0.193.5683,65616,120201,371222,956
2018-11-27$70.09$74.0020.4%6.3%19.0%58.8%22.8%4.6%-0.4%5.8M322.2M-2.5M0.875.7316,41914,243266,866226,464
2018-11-28$71.66$74.0019.0%6.0%18.1%50.8%22.2%4.2%-0.6%43.2M-17.5M-2.7M0.517.3429,08914,848269,970229,435
2018-11-29$72.03$74.0019.1%5.9%17.5%51.2%20.3%4.6%-0.4%58.0M-116.4M-2.7M0.927.4428,34026,093274,582232,090
2018-11-30$72.57$74.0018.6%5.9%17.0%48.6%19.9%4.5%-0.5%73.6M-243.2M-2.8M0.366.9655,52619,887283,553243,810