XLI Options History — November 2019

In November 2019, XLI traded between $80.01 and $82.49. ATM implied volatility averaged 13.8%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.2% (HV 20d: 11.6%). Max pain ranged from $78.00 to $81.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 4.61.

Notable Days

  • 2019-11-21: Highest Volume — 54,590 contracts
  • 2019-11-15: Largest IV drop — 11.2% change
  • 2019-11-21: Highest IV Rank — 13.0%
  • 2019-11-13: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.63$80.01$82.49$80.01$81.98
Max Pain$79.88$78.00$81.00$78.50$81.00
ATM IV13.8%12.9%15.3%13.1%13.6%
Expected Move4.1%3.7%4.6%3.7%4.1%
HV 20d11.6%10.0%15.4%15.1%10.1%
HV 60d15.3%13.1%17.8%17.6%13.1%
IV Rank5.3%0.9%13.0%2.1%4.2%
IV Percentile12.1%0.8%40.5%2.0%7.5%
Term Structure0.2%-0.8%1.2%0.7%0.1%
VWIV15.4%13.1%17.9%15.2%15.4%
Skew 25d3.8%2.9%4.7%4.7%4.0%
Skew 10d7.8%5.5%13.1%13.0%7.1%
Call IV 25d11.9%10.7%13.1%10.7%11.8%
Put IV 25d15.7%14.1%17.1%15.3%15.8%
Bid-Ask Spread %5.231.8816.532.938.00
Gamma HHI0.090.070.330.330.08
Net GEX-6.4M-29.3M33.9M33.9M-23.0M
Net DEX-293.4M-421.9M-141.9M-308.4M-236.9M
Net VEX-2.5M-2.7M-2.2M-2.3M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.610.2733.293.220.27
Total Volume19,110.93,11054,59024,4003,110
Total OI298,737.6252,543340,602272,395324,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$80.01$78.5013.1%3.7%15.1%2.1%15.2%4.7%0.7%33.9M-308.4M-2.3M3.222.935,77918,62198,078174,317
2019-11-04$81.01$78.0013.7%4.4%15.4%5.0%16.2%4.6%0.5%224.1K-318.8M-2.2M5.033.695,39427,13790,150162,393
2019-11-05$81.38$80.0013.3%4.3%13.6%2.8%17.1%3.7%0.5%-13.7M-301.0M-2.3M2.834.065,46715,47193,104182,067
2019-11-06$81.19$80.0013.3%4.2%13.8%2.9%14.4%3.5%0.6%-13.5M-276.4M-2.3M2.342.256,88616,12995,554187,822
2019-11-07$81.56$80.0013.6%4.2%13.8%4.3%14.9%3.2%0.9%-11.8M-333.3M-2.3M1.032.2914,72315,21196,701189,996
2019-11-08$81.72$80.0013.5%4.1%11.4%3.8%15.3%3.4%0.5%5.1M-370.1M-2.4M0.662.296,7054,393106,277198,869
2019-11-11$81.81$80.0013.2%4.1%10.9%2.3%14.5%3.4%1.0%8.4M-384.2M-2.3M2.571.904,75912,242103,764194,695
2019-11-12$81.67$80.0014.0%4.2%10.8%6.4%15.2%3.4%0.4%6.0M-369.1M-2.4M2.781.914,29111,920105,938198,504
2019-11-13$81.47$80.0014.8%4.6%10.9%10.4%17.3%3.5%1.2%-3.5M-338.5M-2.4M6.572.082,81818,524106,934204,519
2019-11-14$81.70$80.0014.5%4.3%10.8%8.8%16.2%3.6%0.3%-6.3M-345.8M-2.5M1.561.937,84812,268108,262218,691
2019-11-15$82.16$80.0012.9%3.9%10.0%0.9%13.1%2.9%0.9%3.2M-421.9M-2.5M1.321.883,8415,089112,758227,844
2019-11-18$81.94$80.0013.9%4.1%10.2%6.0%14.9%3.6%-0.6%-279.5K-276.0M-2.5M1.465.788,13811,88497,899178,464
2019-11-19$81.99$80.0014.0%4.0%10.0%6.2%14.3%3.8%-0.5%-5.1M-265.5M-2.5M1.526.065,5118,39397,612188,805
2019-11-20$81.31$80.0014.6%4.2%10.7%9.3%15.5%3.9%-0.5%-21.0M-172.0M-2.7M5.5311.831,82410,087102,159195,320
2019-11-21$81.20$80.0015.3%4.4%10.8%13.0%17.9%4.1%-0.8%-29.3M-141.9M-2.7M33.2916.531,59252,998102,784202,289
2019-11-22$81.59$80.0014.5%4.2%10.7%8.8%16.5%4.6%-0.7%-21.9M-188.8M-2.6M14.458.841,72724,948102,933195,347
2019-11-25$82.19$80.0014.0%4.1%10.9%6.1%14.4%4.3%-0.2%-18.8M-241.3M-2.6M1.777.952,6564,70099,085207,783
2019-11-26$82.49$80.0013.0%3.9%10.9%1.3%15.1%4.1%0.2%-7.6M-303.4M-2.5M3.035.891,0093,055101,204208,834
2019-11-27$82.31$80.0012.9%3.9%11.0%1.1%14.5%3.9%0.1%-9.9M-274.0M-2.5M0.956.487,7137,357101,900210,869
2019-11-29$81.98$81.0013.6%4.1%10.1%4.2%15.4%4.0%0.1%-23.0M-236.9M-2.6M0.278.002,440670106,814217,414