XLI Options History — August 2019

In August 2019, XLI traded between $72.92 and $76.42. ATM implied volatility averaged 20.2%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.4% (HV 20d: 20.6%). Max pain ranged from $76.00 to $78.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.35.

Notable Days

  • 2019-08-23: Highest Volume — 48,859 contracts
  • 2019-08-05: Largest IV spike — 27.6% change
  • 2019-08-14: Highest IV Rank — 55.9%
  • 2019-08-14: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.68$72.92$76.42$76.42$75.76
Max Pain$76.27$76.00$78.00$78.00$76.00
ATM IV20.2%17.7%23.6%17.7%18.4%
Expected Move5.9%5.2%6.8%5.2%5.4%
HV 20d20.6%15.3%23.7%15.3%23.7%
HV 60d16.6%15.2%17.8%15.2%17.2%
IV Rank40.1%28.4%55.9%28.4%31.8%
IV Percentile75.4%61.5%92.5%63.1%61.5%
Term Structure-0.0%-1.0%1.1%-0.9%-0.2%
VWIV21.4%17.7%25.8%18.3%20.6%
Skew 25d5.8%4.4%7.0%4.9%5.4%
Skew 10d10.9%6.2%14.6%6.6%10.4%
Call IV 25d17.5%15.6%20.3%15.7%16.2%
Put IV 25d23.2%20.6%27.2%20.6%21.7%
Bid-Ask Spread %8.553.6219.1110.839.69
Gamma HHI0.100.070.150.080.10
Net GEX-24.3M-55.1M6.4M-17.7M6.4M
Net DEX130.9M-104.6M378.0M47.8M-104.6M
Net VEX-2.5M-2.7M-2.2M-2.2M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.258.892.193.47
Total Volume23,156.0456,81148,85930,64017,569
Total OI255,083.455195,820325,567195,820325,567

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$76.42$78.0017.7%5.2%15.3%28.4%18.3%4.9%-0.9%-17.7M47.8M-2.2M2.1910.839,59121,04984,346111,474
2019-08-02$75.94$78.0018.2%5.2%15.3%30.5%19.2%5.1%-0.3%-28.6M133.1M-2.4M4.286.407,34531,40888,147122,531
2019-08-05$73.83$77.0023.2%6.4%18.0%53.8%25.5%4.4%-0.6%-23.1M260.0M-2.3M2.708.288,36022,59587,981130,825
2019-08-06$74.73$77.0021.3%6.0%18.7%44.9%20.5%5.5%-0.5%-28.7M207.6M-2.5M1.869.416,91512,85893,794149,029
2019-08-07$74.83$76.0020.9%6.0%18.7%43.2%21.9%6.2%-0.2%-32.4M206.8M-2.6M4.749.763,57016,91899,137163,004
2019-08-08$76.08$76.0018.1%5.4%19.6%30.4%20.4%5.8%0.2%-22.4M35.2M-2.5M8.898.862,28120,272100,721153,831
2019-08-09$75.73$76.0018.6%5.4%18.4%32.8%20.4%5.9%0.2%-32.4M80.4M-2.5M3.2010.752,4877,950101,970163,069
2019-08-12$74.37$76.0021.2%6.4%19.3%44.5%21.5%7.0%1.1%-45.3M248.3M-2.4M2.427.394,33210,48099,954162,975
2019-08-13$75.20$76.0019.2%5.7%19.5%35.4%21.5%6.3%0.6%-42.7M106.0M-2.4M3.6019.114,18415,075102,247161,755
2019-08-14$73.12$76.0023.6%6.8%20.5%55.9%25.8%6.9%0.3%-50.1M378.0M-2.4M3.4410.778,07427,783104,089165,106
2019-08-15$72.92$76.0023.0%6.7%20.4%53.1%23.6%6.7%0.3%-55.1M362.0M-2.4M4.139.027,46530,833107,122160,362
2019-08-16$74.31$76.0020.2%6.0%21.5%40.1%21.2%5.9%1.1%-17.4M156.1M-2.4M2.468.024,08510,054110,763164,039
2019-08-19$75.12$76.0019.0%5.5%22.0%34.6%18.0%5.4%-0.4%-5.3M-2.3M-2.3M1.023.6212,77613,01794,156125,218
2019-08-20$74.73$76.0019.5%5.6%21.5%37.0%23.3%5.2%-0.7%-8.4M27.9M-2.4M4.265.211,2945,517103,207130,289
2019-08-21$75.03$76.0018.3%5.3%21.4%31.3%17.7%5.1%-0.2%-6.7M-4.2M-2.4M5.2912.361,5628,259101,841129,305
2019-08-22$75.24$76.0018.7%5.4%21.5%32.9%19.7%5.1%-1.0%-7.6M-13.3M-2.4M4.967.463,10315,392102,579133,561
2019-08-23$73.19$76.0022.7%6.5%23.3%51.7%24.5%6.3%0.2%-23.5M225.2M-2.4M3.2912.1811,39437,465104,459145,621
2019-08-26$73.38$76.0021.9%6.4%23.4%47.9%23.3%6.4%-0.1%-22.3M183.6M-2.4M2.304.032,1885,040107,407144,568
2019-08-27$73.42$76.0021.7%6.4%23.3%46.9%22.8%6.1%-0.2%-32.5M232.7M-2.6M4.404.643,47815,293110,806169,872
2019-08-28$74.08$76.0020.8%6.1%23.7%42.7%22.1%5.9%-0.1%-33.2M169.1M-2.7M0.634.3814,4809,187111,667178,059
2019-08-29$75.49$76.0018.5%5.3%23.7%32.1%18.5%5.4%0.1%-6.1M-56.2M-2.7M0.255.9229,2467,209124,840180,543
2019-08-30$75.76$76.0018.4%5.4%23.7%31.8%20.6%5.4%-0.2%6.4M-104.6M-2.7M3.479.693,93213,637139,903185,664