XLI Options History — January 2020

In January 2020, XLI traded between $81.01 and $84.40. ATM implied volatility averaged 14.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.8% (HV 20d: 9.5%). Max pain ranged from $80.00 to $83.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2020-01-31: Highest Volume — 72,817 contracts
  • 2020-01-27: Largest IV spike — 18.8% change
  • 2020-01-31: Highest IV Rank — 65.1%
  • 2020-01-31: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.11$81.01$84.40$82.62$81.01
Max Pain$82.38$80.00$83.00$80.00$83.00
ATM IV14.3%11.9%19.3%12.8%19.3%
Expected Move4.1%3.5%5.7%3.5%5.7%
HV 20d9.5%7.7%13.8%9.4%13.8%
HV 60d10.6%9.9%11.9%11.9%11.0%
IV Rank24.0%5.2%65.1%10.0%65.1%
IV Percentile29.1%1.6%88.9%4.8%88.9%
Term Structure0.2%-0.5%0.5%0.5%0.3%
VWIV14.8%11.7%19.9%13.2%19.9%
Skew 25d4.1%2.6%6.4%4.1%6.4%
Skew 10d8.5%6.5%10.7%9.9%10.6%
Call IV 25d12.5%10.7%16.4%11.1%16.4%
Put IV 25d16.6%13.4%22.8%15.2%22.8%
Bid-Ask Spread %3.262.3611.1911.194.00
Gamma HHI0.120.070.310.110.09
Net GEX9.7M-61.1M49.9M17.0M-61.1M
Net DEX-187.0M-550.4M408.9M-263.8M408.9M
Net VEX-2.2M-3.0M-1.9M-2.2M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.317.251.391.60
Total Volume18,413.4293,75972,81711,87372,817
Total OI274,891.333201,815322,367276,901286,271

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$82.62$80.0012.8%3.5%9.4%10.0%13.2%4.1%0.5%17.0M-263.8M-2.2M1.3911.194,9646,90997,854179,047
2020-01-03$82.78$80.0013.9%3.8%9.3%17.1%15.6%4.7%0.3%15.5M-267.9M-2.3M1.253.1710,25912,80098,690184,866
2020-01-06$82.67$82.0014.6%4.0%9.3%26.6%14.2%4.8%-0.1%17.3M-254.0M-2.3M1.383.346,6609,21599,645183,150
2020-01-07$82.91$82.0014.2%4.0%8.0%24.1%14.4%4.1%-0.2%18.4M-282.2M-2.2M0.313.445,3131,672101,198188,722
2020-01-08$83.20$82.0014.0%4.0%7.8%21.9%13.6%3.7%-0.1%26.5M-348.3M-2.1M1.063.243,0763,249103,452189,210
2020-01-09$83.31$82.0013.2%3.9%7.7%15.9%13.2%3.5%-0.0%30.8M-367.1M-2.1M0.493.218,8694,351105,179190,858
2020-01-10$82.73$82.0013.9%3.8%8.1%21.5%13.0%3.8%-0.1%32.8M-306.4M-2.2M0.652.724,1182,657111,781194,049
2020-01-13$83.42$82.0012.9%3.8%7.8%13.2%13.8%3.4%0.3%38.9M-391.4M-2.0M1.492.441,5122,247108,091187,653
2020-01-14$83.51$82.0012.7%3.5%7.7%11.7%12.9%3.2%-0.5%40.6M-406.3M-2.0M2.022.402,2194,476110,395191,189
2020-01-15$83.49$83.0012.6%3.7%7.7%11.2%12.6%3.2%0.3%41.0M-415.0M-1.9M2.462.363,0877,605111,743193,511
2020-01-16$84.38$83.0012.1%3.5%8.4%6.9%11.7%2.9%0.4%44.5M-531.8M-1.9M2.052.375,07810,408113,256199,519
2020-01-17$84.40$83.0011.9%3.5%8.0%5.2%11.8%2.6%0.4%12.7M-550.4M-1.9M0.992.607,5017,440115,974206,393
2020-01-21$83.53$83.0013.2%3.8%9.1%15.7%14.9%3.5%0.1%8.1M-120.1M-1.9M7.252.592,23516,19570,557131,258
2020-01-22$83.10$83.0013.8%3.9%9.4%20.3%15.6%3.3%-0.2%-10.7M-43.5M-2.1M3.112.779,61029,91772,304140,717
2020-01-23$83.97$83.0013.2%3.8%9.8%15.6%16.3%3.5%0.1%-2.0M-120.7M-2.2M4.072.785,36921,87770,518168,541
2020-01-24$83.51$83.0014.9%4.3%9.9%29.4%16.4%4.3%0.1%49.9M-40.0M-2.4M2.903.192,1906,35673,853185,550
2020-01-27$82.13$83.0017.7%5.1%11.7%52.0%16.2%5.5%0.4%-33.6M159.8M-2.5M1.022.838,8739,02666,783169,179
2020-01-28$82.58$83.0016.3%4.7%11.9%40.6%17.4%4.8%0.5%-32.8M106.1M-2.5M0.802.526,1824,95671,484177,348
2020-01-29$83.09$83.0016.0%4.6%11.9%38.6%16.7%4.9%0.5%-25.4M31.1M-2.4M4.502.644,11918,53575,350179,270
2020-01-30$82.97$83.0016.4%4.7%11.9%41.6%17.1%5.2%0.4%-25.5M75.6M-2.7M6.452.684,39428,34677,005191,305
2020-01-31$81.01$83.0019.3%5.7%13.8%65.1%19.9%6.4%0.3%-61.1M408.9M-3.0M1.604.0028,04044,77779,174207,097