XLI Options History — December 2019

In December 2019, XLI traded between $79.77 and $82.06. ATM implied volatility averaged 13.3%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.6% (HV 20d: 10.7%). Max pain ranged from $77.00 to $81.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2019-12-03: Highest Volume — 85,301 contracts
  • 2019-12-06: Largest IV drop — 10.5% change
  • 2019-12-03: Highest IV Rank — 18.8%
  • 2019-12-03: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.26$79.77$82.06$80.90$81.44
Max Pain$78.71$77.00$81.00$81.00$80.00
ATM IV13.3%11.3%16.5%15.2%13.6%
Expected Move3.9%3.2%5.1%4.8%3.8%
HV 20d10.7%9.0%11.5%9.0%9.8%
HV 60d13.4%11.6%14.0%13.4%11.6%
IV Rank6.0%0.0%18.8%12.1%15.0%
IV Percentile13.3%0.0%54.0%40.9%14.7%
Term Structure0.3%-0.5%0.8%-0.1%0.4%
VWIV14.4%11.1%18.9%16.5%16.2%
Skew 25d4.2%3.2%5.6%5.0%5.6%
Skew 10d8.0%6.1%11.7%7.7%11.7%
Call IV 25d11.6%9.8%14.6%13.3%11.5%
Put IV 25d15.8%13.5%20.0%18.3%17.1%
Bid-Ask Spread %8.754.1416.8215.868.23
Gamma HHI0.120.080.490.090.09
Net GEX22.0M-40.2M137.5M-29.8M6.7M
Net DEX-251.0M-543.7M77.8M-81.0M-116.3M
Net VEX-2.5M-3.0M-2.2M-2.7M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.106.051.162.83
Total Volume21,206.8575,59885,30112,5377,997
Total OI332,705.381247,456391,502313,524270,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$80.90$81.0015.2%4.8%9.0%12.1%16.5%5.0%-0.1%-29.8M-81.0M-2.7M1.1615.865,8056,732103,560209,964
2019-12-03$79.77$81.0016.5%5.1%9.3%18.8%18.9%5.4%-0.5%-40.2M77.8M-2.8M1.196.8038,94646,355107,924210,088
2019-12-04$80.22$80.0015.6%4.9%9.4%14.2%18.7%4.7%0.4%-19.9M-79.9M-3.0M1.086.004,7875,186144,237229,590
2019-12-05$80.03$77.0014.8%4.4%9.4%10.3%14.7%4.3%0.5%-21.7M-60.1M-2.9M0.9716.827,1386,899147,666227,910
2019-12-06$81.17$77.0013.3%3.9%10.6%2.7%14.0%3.8%0.3%2.2M-338.1M-2.8M3.798.835,94422,522151,950231,544
2019-12-09$80.83$77.0013.8%4.1%10.7%5.4%13.9%4.0%0.4%19.6M-287.0M-2.7M1.006.606,6686,686150,470218,371
2019-12-10$80.67$77.0014.4%4.1%10.7%8.3%18.0%3.9%-0.1%12.9M-256.1M-2.7M1.745.533,8886,773150,213220,782
2019-12-11$81.13$77.0014.1%4.1%10.9%6.9%17.2%4.7%0.3%26.4M-323.7M-2.7M2.987.3010,87032,404152,767223,904
2019-12-12$81.98$77.0013.5%3.9%11.5%3.8%14.5%4.4%0.4%52.0M-543.7M-2.6M0.8214.0916,01813,058158,263218,220
2019-12-13$81.74$78.0012.7%3.6%11.5%0.0%17.2%4.0%-0.1%84.1M-523.6M-2.5M2.4311.5515,39637,400166,446225,056
2019-12-16$81.69$78.0012.4%3.5%11.3%0.0%12.7%3.3%0.6%49.3M-451.1M-2.4M1.415.972,3243,274151,000214,221
2019-12-17$81.66$78.0011.7%3.4%11.3%0.0%11.8%3.2%0.5%56.9M-454.8M-2.3M0.176.0739,9676,918151,803215,298
2019-12-18$81.27$78.0012.4%3.6%11.4%3.3%12.4%3.4%-0.0%4.0M-296.1M-2.3M0.764.144,6963,564133,815219,141
2019-12-19$81.47$78.0012.2%3.5%11.1%2.3%12.4%3.5%-0.2%13.4M-329.7M-2.3M0.104.9714,5451,422135,303219,444
2019-12-20$81.52$79.0011.6%3.2%11.1%0.0%11.3%3.9%0.7%137.5M-237.2M-2.3M0.4014.808,1023,230118,175219,607
2019-12-23$82.06$80.0011.3%3.2%11.2%0.0%11.1%3.7%0.6%34.4M-235.7M-2.2M1.7111.133,3535,71990,248157,208
2019-12-24$81.74$80.0012.0%3.4%10.9%3.3%13.3%3.9%0.5%24.7M-194.5M-2.3M2.617.612,1215,53392,448161,553
2019-12-26$81.88$80.0011.4%3.2%10.9%1.0%11.3%3.8%0.8%25.6M-214.1M-2.2M0.366.385,4151,97293,763166,848
2019-12-27$81.87$80.0012.4%3.5%10.9%6.1%13.3%4.5%0.3%17.8M-209.0M-2.2M6.057.301,91711,60398,254168,184
2019-12-30$81.47$80.0013.6%3.9%10.9%13.4%13.4%5.1%0.4%5.5M-116.9M-2.3M0.927.856,3625,83592,183169,044
2019-12-31$81.44$80.0013.6%3.8%9.8%15.0%16.2%5.6%0.4%6.7M-116.3M-2.4M2.838.232,0865,91196,460173,888