XLI Options History — December 2018

In December 2018, XLI traded between $60.68 and $73.43. ATM implied volatility averaged 24.7%, placing in the 75.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.9% (HV 20d: 23.8%). Max pain ranged from $69.00 to $73.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2018-12-03: Highest Volume — 54,221 contracts
  • 2018-12-04: Largest IV spike — 23.9% change
  • 2018-12-21: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.52$60.68$73.43$73.43$64.30
Max Pain$71.75$69.00$73.00$73.00$69.00
ATM IV24.7%16.8%33.1%16.8%26.5%
Expected Move7.3%5.3%9.9%5.3%7.9%
HV 20d23.8%17.4%29.4%17.4%28.3%
HV 60d21.2%18.5%23.9%18.5%23.9%
IV Rank75.6%38.5%100.0%38.5%71.7%
IV Percentile93.8%65.9%100.0%65.9%97.2%
Term Structure-0.2%-1.5%0.7%0.1%-0.2%
VWIV26.1%19.0%34.7%19.0%29.9%
Skew 25d5.5%4.1%7.4%4.1%5.8%
Skew 10d10.1%7.1%12.7%7.1%12.3%
Call IV 25d22.4%15.0%29.8%15.0%24.1%
Put IV 25d27.9%19.2%37.2%19.2%29.8%
Bid-Ask Spread %4.452.2821.972.482.28
Gamma HHI0.100.070.150.140.09
Net GEX-14.2M-35.7M87.5M87.5M-11.3M
Net DEX589.8M-443.9M1.06B-443.9M334.4M
Net VEX-1.8M-2.6M-1.3M-2.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.313.920.370.93
Total Volume22,212.357,74254,22154,2217,742
Total OI439,191.7321,292506,878504,630325,223

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$73.43$73.0016.8%5.3%17.4%38.5%19.0%4.1%0.1%87.5M-443.9M-2.6M0.372.4839,54814,673272,058232,572
2018-12-04$70.41$73.0020.8%7.0%23.2%60.7%24.9%5.1%-0.1%4.4M339.3M-2.4M1.953.487,52914,667258,349238,156
2018-12-05$70.24$73.0021.5%7.4%23.0%64.6%26.1%5.3%-0.4%3.2M356.7M-2.4M2.3321.977,90718,456258,349238,156
2018-12-06$69.79$73.0021.0%6.0%22.1%62.0%23.1%5.1%0.0%-15.8M478.9M-2.2M1.533.3811,34217,302259,130239,096
2018-12-07$68.76$73.0021.9%6.3%22.5%66.7%24.5%5.3%0.1%-35.7M639.7M-2.1M2.384.456,79716,205262,019244,859
2018-12-10$68.27$73.0022.9%6.7%22.5%72.0%22.2%5.3%0.4%-28.0M663.8M-2.0M0.973.239,8659,612214,075236,384
2018-12-11$67.99$73.0022.5%6.5%21.6%69.9%21.3%5.4%0.2%-29.4M695.8M-1.9M0.582.909,6365,550214,213234,060
2018-12-12$68.48$73.0021.5%6.4%21.9%64.7%25.4%5.0%0.7%-29.6M643.7M-1.9M1.932.557,57614,607216,784236,000
2018-12-13$68.06$73.0021.1%6.1%21.9%62.4%23.6%4.3%0.4%-35.5M714.2M-1.8M2.413.644,26110,274219,409239,796
2018-12-14$66.83$73.0022.6%6.5%22.2%70.7%23.1%4.6%0.4%-26.4M839.5M-1.7M0.633.098,0335,094220,127238,855
2018-12-17$65.58$73.0025.1%7.2%22.7%84.2%23.6%5.7%-0.3%-25.4M864.7M-1.5M0.573.8322,36912,664213,817228,275
2018-12-18$66.49$71.0025.2%7.2%23.0%85.2%24.3%5.4%-0.9%-24.1M789.4M-1.8M0.313.189,3162,895231,231237,716
2018-12-19$64.99$71.0025.1%7.2%23.5%84.2%24.8%5.4%-0.2%-23.6M926.1M-1.6M0.544.4311,3536,157234,315238,215
2018-12-20$63.63$71.0027.2%7.8%24.1%96.1%27.7%5.7%-0.4%-20.6M1.01B-1.5M1.825.7210,16418,528241,871241,068
2018-12-21$62.44$71.0029.7%8.6%24.6%100.0%28.4%6.2%-1.5%-17.8M1.06B-1.4M1.284.0710,92213,950243,141245,179
2018-12-24$60.68$71.0033.1%9.9%25.4%100.0%34.7%7.4%-0.2%-14.3M595.6M-1.3M3.924.956,20724,308159,725161,567
2018-12-26$62.83$70.0030.4%9.0%29.4%88.6%31.8%6.8%-1.2%-17.0M508.6M-1.4M0.412.8816,5186,769160,648166,551
2018-12-27$63.43$69.0030.3%9.1%28.2%88.1%33.1%6.5%-0.5%-11.9M393.6M-1.5M1.053.565,4285,711174,806164,920
2018-12-28$63.67$69.0028.7%8.7%28.1%81.2%30.4%6.4%-0.4%-12.1M384.4M-1.5M0.742.948,2086,104177,232165,887
2018-12-31$64.30$69.0026.5%7.9%28.3%71.7%29.9%5.8%-0.2%-11.3M334.4M-1.4M0.932.284,0073,735164,361160,862