XLI Options History — June 2019

In June 2019, XLI traded between $72.33 and $77.84. ATM implied volatility averaged 17.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.5% (HV 20d: 16.6%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.44.

Notable Days

  • 2019-06-24: Highest Volume — 57,940 contracts
  • 2019-06-04: Largest IV drop — 8.1% change
  • 2019-06-03: Highest IV Rank — 40.7%
  • 2019-06-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.86$72.33$77.84$72.33$77.26
Max Pain$75.60$75.00$76.00$75.00$76.00
ATM IV17.1%15.0%20.4%20.4%17.0%
Expected Move4.9%4.3%6.1%6.1%4.9%
HV 20d16.6%13.5%20.3%17.8%13.5%
HV 60d16.1%15.5%16.4%15.6%15.6%
IV Rank25.5%16.0%40.7%40.7%24.9%
IV Percentile57.6%39.7%78.2%78.2%56.7%
Term Structure-0.0%-0.5%0.7%-0.5%-0.3%
VWIV19.0%16.0%23.7%22.2%18.3%
Skew 25d4.4%3.9%5.0%5.0%4.5%
Skew 10d9.0%8.0%11.1%9.2%9.0%
Call IV 25d15.4%13.9%18.2%18.2%15.3%
Put IV 25d19.8%18.1%23.2%23.2%19.8%
Bid-Ask Spread %7.014.3612.944.8510.79
Gamma HHI0.120.100.160.130.10
Net GEX-50.4M-80.9M9.1M-80.9M-36.3M
Net DEX29.8M-366.6M543.7M543.7M-5.6M
Net VEX-2.4M-2.5M-2.1M-2.4M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.3919.507.232.45
Total Volume27,841.257,75257,94023,71120,132
Total OI322,772.1230,362361,790323,047305,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$72.33$75.0020.4%6.1%17.8%40.7%22.2%5.0%-0.5%-80.9M543.7M-2.4M7.234.852,88020,83191,140231,907
2019-06-04$74.12$75.0018.7%5.6%20.3%33.1%21.1%4.5%-0.2%-72.5M226.8M-2.4M1.567.138,56613,36793,000234,636
2019-06-05$74.83$75.0017.8%5.4%18.9%29.0%19.9%4.5%-0.1%-62.1M81.1M-2.4M3.144.778,62127,08197,627236,116
2019-06-06$75.17$75.0017.5%5.0%18.8%27.6%18.9%3.9%-0.2%-65.4M62.0M-2.5M6.0812.943,76922,90899,566260,123
2019-06-07$75.73$75.0017.1%4.7%19.0%25.5%18.1%4.1%-0.1%-35.5M-57.8M-2.4M6.177.802,93718,111100,630259,148
2019-06-10$75.94$75.0017.1%4.8%19.0%25.4%18.2%4.2%0.1%-38.6M-58.2M-2.3M1.046.959,2749,64996,164206,356
2019-06-11$75.13$75.0017.5%5.0%16.6%27.4%18.6%4.4%0.0%-51.8M71.8M-2.5M4.475.437,02731,396100,046211,484
2019-06-12$75.30$76.0016.8%5.0%16.0%24.0%18.7%4.3%0.7%-60.9M64.5M-2.5M3.145.972,3637,427104,404228,616
2019-06-13$75.55$76.0016.5%4.7%16.0%22.9%17.9%4.2%-0.2%-60.0M11.9M-2.4M3.486.832,0327,063104,955230,826
2019-06-14$75.51$75.0016.2%4.6%15.9%21.6%18.0%3.9%-0.3%-64.6M13.4M-2.4M4.608.832,42111,128105,173233,281
2019-06-17$75.31$76.0016.9%4.9%15.5%24.8%18.4%4.5%-0.3%-72.0M44.6M-2.3M4.084.361,5276,225103,383228,881
2019-06-18$76.58$76.0016.1%4.6%16.5%20.7%18.2%3.9%0.4%-36.0M-183.8M-2.2M6.287.235,61635,257107,704235,128
2019-06-19$76.69$76.0015.0%4.3%16.0%16.0%16.0%4.3%0.7%-39.5M-182.5M-2.2M0.438.1927,87012,023108,621242,265
2019-06-20$77.84$76.0015.1%4.3%16.5%16.4%16.4%4.1%-0.0%9.1M-366.6M-2.1M0.396.3535,70514,080114,763247,027
2019-06-21$77.27$76.0016.0%4.6%15.0%20.7%20.9%4.3%-0.3%-34.6M-70.3M-2.2M1.377.5312,61617,29195,124255,313
2019-06-24$76.97$76.0017.0%4.9%15.2%25.1%18.1%4.5%0.1%-24.5M-19.6M-2.2M19.504.652,82755,11368,364161,998
2019-06-25$76.40$76.0017.9%5.2%15.0%29.5%23.7%4.8%0.0%-61.4M162.2M-2.5M8.354.663,95433,00370,039204,281
2019-06-26$76.55$76.0017.7%5.1%14.8%28.5%21.2%4.9%-0.3%-60.6M135.9M-2.5M4.385.693,86716,93671,621219,859
2019-06-27$76.67$76.0017.4%5.0%14.8%26.9%17.8%4.3%0.0%-60.3M121.7M-2.4M0.769.2219,24814,68472,112218,469
2019-06-28$77.26$76.0017.0%4.9%13.5%24.9%18.3%4.5%-0.3%-36.3M-5.6M-2.4M2.4510.795,83114,30182,943222,349