XLI Options History — July 2019

In July 2019, XLI traded between $76.51 and $78.83. ATM implied volatility averaged 14.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.7% (HV 20d: 12.3%). Max pain ranged from $76.00 to $78.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.25.

Notable Days

  • 2019-07-01: Highest Volume — 43,741 contracts
  • 2019-07-17: Largest IV spike — 13.8% change
  • 2019-07-31: Highest IV Rank — 17.4%
  • 2019-07-31: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.75$76.51$78.83$77.48$78.13
Max Pain$77.45$76.00$78.00$76.00$78.00
ATM IV14.0%12.9%15.3%15.0%15.3%
Expected Move4.0%3.7%4.4%4.1%4.4%
HV 20d12.3%10.4%13.8%13.5%13.1%
HV 60d15.6%15.1%16.1%15.6%15.4%
IV Rank11.4%6.0%17.4%15.8%17.4%
IV Percentile25.5%7.5%46.4%39.3%46.4%
Term Structure0.1%-0.4%0.8%0.0%-0.1%
VWIV15.0%13.1%18.7%14.7%15.7%
Skew 25d3.6%2.9%4.3%4.0%3.5%
Skew 10d8.0%6.5%11.1%8.5%7.4%
Call IV 25d12.6%11.5%13.8%13.6%13.8%
Put IV 25d16.2%14.6%17.5%17.5%17.3%
Bid-Ask Spread %6.232.6010.156.369.19
Gamma HHI0.110.080.160.110.08
Net GEX-17.4M-81.7M16.6M-28.0M-7.0M
Net DEX-108.4M-255.4M58.4M-64.6M-106.7M
Net VEX-2.1M-2.2M-1.9M-2.2M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.8020.344.411.07
Total Volume17,079.4095,09543,74143,74110,707
Total OI235,450168,639291,096275,090190,261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$77.48$76.0015.0%4.1%13.5%15.8%14.7%4.0%0.0%-28.0M-64.6M-2.2M4.416.368,08035,66180,461194,629
2019-07-02$77.38$77.0014.2%3.7%11.1%12.1%13.3%3.8%0.1%-37.6M-51.9M-2.1M2.046.0212,88326,24980,825205,646
2019-07-03$77.73$77.0014.2%3.7%10.8%12.0%13.4%3.9%0.1%-21.5M-122.8M-2.2M4.577.454,90422,42785,414205,682
2019-07-05$77.38$77.0014.0%4.2%10.9%11.3%15.7%3.6%0.1%-18.3M-81.7M-2.1M1.349.184,1835,58983,924191,136
2019-07-08$76.84$77.0014.6%4.2%11.1%14.2%16.8%4.0%0.0%-51.2M-3.5M-2.0M4.275.391,2805,47078,525170,143
2019-07-09$76.60$77.0015.0%4.2%11.1%15.6%17.3%4.3%-0.4%-61.9M36.1M-2.0M20.345.441,24325,28479,371173,400
2019-07-10$76.51$77.0014.3%4.0%10.4%12.8%18.7%3.6%-0.4%-81.7M58.4M-2.1M3.115.002,7138,43179,446183,792
2019-07-11$76.94$77.0013.7%3.9%10.5%9.9%16.0%3.7%0.1%-66.2M-41.7M-2.0M3.869.552,5709,90980,800184,598
2019-07-12$78.34$77.0012.9%3.8%12.1%6.0%13.1%3.0%0.5%10.6M-244.2M-1.9M1.798.546,74912,08181,393190,860
2019-07-15$78.01$77.0013.2%3.8%12.3%7.6%13.7%3.3%0.1%6.3M-187.5M-1.9M1.364.232,7263,71679,029167,196
2019-07-16$78.66$77.0012.9%3.7%12.4%6.0%13.5%3.3%0.6%16.6M-255.4M-1.9M1.495.968,43412,59581,115169,664
2019-07-17$76.97$78.0014.7%4.2%13.8%14.3%14.0%3.8%-0.0%-28.1M-43.9M-2.1M2.447.177,95519,40985,418179,336
2019-07-18$76.97$78.0014.5%4.2%13.8%13.7%15.2%3.5%0.1%-26.5M-59.8M-2.1M5.6410.153,75221,15288,424176,057
2019-07-19$77.59$78.0014.1%4.0%13.0%11.5%15.4%3.7%0.8%1.7M-145.5M-2.1M3.473.644,26314,79089,085178,237
2019-07-22$77.52$78.0014.4%4.1%12.8%13.1%14.9%3.9%-0.1%-3.6M-101.9M-2.1M1.382.712,1442,95173,52495,115
2019-07-23$78.45$78.0013.4%3.9%13.3%8.6%16.0%3.5%0.2%2.4M-159.2M-2.1M1.422.693,9615,60673,67297,208
2019-07-24$78.83$78.0013.1%3.8%13.0%6.8%13.3%3.2%0.2%9.1M-195.0M-2.1M0.962.606,8406,55676,773101,358
2019-07-25$78.62$78.0013.8%3.9%13.1%10.1%13.9%3.2%0.2%7.2M-171.4M-2.1M2.157.855,46811,74577,176107,272
2019-07-26$78.58$78.0013.6%3.9%13.1%9.3%16.2%2.9%0.1%2.6M-162.9M-2.2M2.437.773,7999,24980,871112,947
2019-07-29$78.35$78.0013.7%3.9%12.9%9.9%14.4%3.3%0.0%-4.8M-130.4M-2.1M0.805.153,1842,55476,752106,202
2019-07-30$78.56$78.0014.3%4.1%12.9%12.7%14.5%3.3%-0.0%-3.0M-150.6M-2.2M1.164.963,0063,47978,967108,196
2019-07-31$78.13$78.0015.3%4.4%13.1%17.4%15.7%3.5%-0.1%-7.0M-106.7M-2.2M1.079.195,1645,54380,569109,692