XLI Options History — March 2019

In March 2019, XLI traded between $73.09 and $76.59. ATM implied volatility averaged 15.3%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.2% (HV 20d: 11.1%). Max pain ranged from $73.00 to $77.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2019-03-11: Highest Volume — 78,571 contracts
  • 2019-03-22: Largest IV spike — 19.8% change
  • 2019-03-25: Highest IV Rank — 27.4%
  • 2019-03-07: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.56$73.09$76.59$76.59$75.05
Max Pain$75.86$73.00$77.00$73.00$77.00
ATM IV15.3%14.0%17.5%14.1%14.2%
Expected Move4.5%4.0%5.4%4.2%4.2%
HV 20d11.1%9.4%13.8%9.4%13.8%
HV 60d18.9%15.9%22.2%22.2%16.0%
IV Rank17.3%11.4%27.4%11.7%12.3%
IV Percentile41.0%27.0%61.1%27.4%30.6%
Term Structure0.1%-0.6%0.5%0.0%0.3%
VWIV17.5%14.3%22.3%18.0%16.5%
Skew 25d4.3%3.3%5.6%4.2%3.6%
Skew 10d9.0%7.0%11.3%9.6%8.0%
Call IV 25d13.7%12.3%15.3%12.5%12.4%
Put IV 25d17.9%15.9%20.8%16.7%16.0%
Bid-Ask Spread %10.942.1749.372.1717.65
Gamma HHI0.190.090.730.110.21
Net GEX-54.0M-286.5M12.2M-9.2M12.2M
Net DEX78.4M-373.1M421.6M-373.1M-84.6M
Net VEX-3.1M-3.3M-2.9M-3.0M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.4210.292.382.17
Total Volume34,869.04812,80978,57130,89529,733
Total OI400,326.952315,441497,107444,443367,454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$76.59$73.0014.1%4.2%9.4%11.7%18.0%4.2%0.0%-9.2M-373.1M-3.0M2.382.179,15421,741168,408276,035
2019-03-04$76.17$73.0015.1%4.7%9.9%16.2%17.3%4.7%0.0%-12.0M-291.7M-2.9M2.172.769,85121,417166,187246,592
2019-03-05$75.83$73.0014.8%4.6%10.0%14.9%18.2%4.9%0.4%-21.7M-218.2M-3.0M2.632.4914,15937,258172,119252,978
2019-03-06$75.06$73.0016.2%5.0%10.3%21.2%19.3%4.8%0.0%-40.6M-1.3M-3.2M3.312.1910,28434,049180,502271,485
2019-03-07$74.40$73.0016.9%5.4%10.9%24.4%22.3%5.6%0.0%-49.3M178.4M-3.2M4.496.4811,23650,489185,253281,664
2019-03-08$74.13$73.0017.2%5.2%10.5%26.1%18.7%5.4%0.0%-54.8M244.6M-3.3M2.3249.3723,53454,581184,083285,739
2019-03-11$74.88$77.0015.2%4.3%11.0%16.8%19.0%4.6%0.0%-23.9M-51.9M-3.0M6.533.7010,43168,140180,346268,594
2019-03-12$74.35$77.0014.8%4.4%11.1%14.9%16.1%4.5%0.5%-33.3M163.4M-3.3M3.129.5811,54635,997184,405294,729
2019-03-13$74.91$77.0014.4%4.2%10.1%13.0%16.2%4.5%-0.0%-38.5M-29.4M-3.2M2.0217.557,51015,139189,251303,797
2019-03-14$74.74$77.0014.9%4.3%9.8%15.6%16.5%3.8%-0.6%-74.6M15.8M-3.1M0.424.3024,99810,484190,672306,435
2019-03-15$73.99$77.0014.6%4.3%10.3%14.1%14.3%3.7%0.3%-286.5M421.6M-3.0M1.539.578,94413,643156,608310,944
2019-03-18$74.74$77.0014.0%4.0%10.2%11.4%15.5%3.6%0.3%-31.0M102.9M-3.0M0.6211.2618,36811,370118,760196,681
2019-03-19$74.26$77.0014.4%4.3%10.4%12.9%15.2%3.7%-0.3%-40.1M175.6M-3.0M0.8712.888,8617,670119,202204,089
2019-03-20$74.08$77.0014.6%4.3%10.3%14.2%16.4%3.6%0.0%-43.7M200.7M-3.1M1.8315.846,63412,167124,571205,880
2019-03-21$74.72$77.0014.5%4.2%10.8%13.7%16.0%3.3%0.0%-24.4M50.9M-3.0M2.466.954,36310,747126,284207,891
2019-03-22$73.09$77.0017.4%4.9%12.9%27.0%17.4%4.6%-0.4%-159.7M388.3M-3.1M10.2910.883,79038,980128,284214,078
2019-03-25$73.19$77.0017.5%4.9%12.6%27.4%18.6%4.5%-0.0%-54.5M292.2M-3.1M2.0415.765,75611,720118,328204,806
2019-03-26$73.42$77.0016.0%4.7%12.7%20.3%19.4%4.0%0.2%-58.2M231.6M-3.1M1.979.174,9739,781121,917208,879
2019-03-27$73.81$77.0015.6%4.5%12.9%18.6%18.1%4.0%0.2%-52.9M160.4M-3.1M2.058.854,1948,615125,264214,220
2019-03-28$74.28$77.0015.0%4.5%13.3%15.8%17.5%4.2%0.2%-37.7M69.4M-3.1M1.8410.3510,54419,399126,215217,237
2019-03-29$75.05$77.0014.2%4.2%13.8%12.3%16.5%3.6%0.3%12.2M-84.6M-3.1M2.1717.659,37320,360134,374233,080