XLI Options History — February 2020

In February 2020, XLI traded between $72.03 and $85.28. ATM implied volatility averaged 19.5%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.7% (HV 20d: 17.9%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.87.

Notable Days

  • 2020-02-27: Highest Volume — 68,787 contracts
  • 2020-02-28: Largest IV spike — 31.3% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.06$72.03$85.28$81.08$72.03
Max Pain$81.82$81.00$83.00$83.00$81.00
ATM IV19.5%13.7%44.8%18.4%44.8%
Expected Move5.7%4.0%14.1%5.3%14.1%
HV 20d17.9%13.8%27.4%13.8%27.4%
HV 60d13.1%11.0%18.8%11.0%18.8%
IV Rank50.3%19.4%100.0%57.9%100.0%
IV Percentile65.6%19.0%100.0%84.1%100.0%
Term Structure-0.4%-3.3%0.6%-0.3%-3.3%
VWIV20.4%14.6%46.5%18.2%46.5%
Skew 25d5.6%4.3%10.3%5.9%10.3%
Skew 10d9.8%7.1%13.5%8.9%13.2%
Call IV 25d16.9%12.2%39.6%15.6%39.6%
Put IV 25d22.5%16.5%49.9%21.6%49.9%
Bid-Ask Spread %2.621.496.502.226.50
Gamma HHI0.100.070.130.110.07
Net GEX-24.6M-63.6M5.5M-63.6M-26.3M
Net DEX138.1M-269.1M929.4M377.8M929.4M
Net VEX-2.9M-3.2M-2.7M-3.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.725.700.722.23
Total Volume27,320.7374,27368,78725,24558,445
Total OI349,175.105291,729383,266318,085339,197

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$81.08$83.0018.4%5.3%13.8%57.9%18.2%5.9%-0.3%-63.6M377.8M-3.2M0.722.2214,66310,58285,845232,240
2020-02-04$82.66$83.0016.3%4.6%15.5%41.0%17.2%4.9%-0.2%-41.3M111.4M-3.1M4.062.663,56214,46695,322238,358
2020-02-05$83.95$83.0015.4%4.2%16.5%33.3%15.2%4.7%-0.2%-17.3M-103.1M-2.9M1.632.8911,22318,31896,250244,444
2020-02-06$84.31$81.0014.6%4.3%16.5%27.3%15.3%4.6%-0.4%-8.2M-164.4M-2.9M2.401.8710,63725,51399,788257,768
2020-02-07$83.80$81.0015.3%4.4%16.6%33.2%16.9%4.9%-0.1%-16.8M-73.1M-3.1M2.292.014,80710,986104,337265,982
2020-02-10$83.98$81.0015.6%4.4%16.4%35.0%16.0%4.9%-0.2%-20.1M-67.1M-3.0M4.321.793,93817,00798,524253,806
2020-02-11$84.48$81.0015.4%4.5%16.3%33.4%16.8%4.9%0.3%-16.6M-127.9M-3.0M2.991.832,4857,422100,788267,580
2020-02-12$85.28$81.0013.7%4.1%16.6%19.4%16.1%4.3%0.6%1.4M-269.1M-2.7M2.714.532,9568,019100,736271,524
2020-02-13$84.66$82.0014.7%4.2%16.9%28.0%16.7%4.4%-0.1%-10.7M-163.4M-2.8M2.521.721,2153,058101,232277,051
2020-02-14$84.56$82.0014.2%4.0%16.5%23.7%14.6%4.3%-0.4%5.5M-157.8M-2.8M2.771.875,22714,499102,053281,213
2020-02-18$84.17$82.0015.0%4.3%16.5%30.2%15.1%4.8%0.1%-21.6M-77.4M-2.7M2.321.621,6043,721100,277271,357
2020-02-19$84.22$82.0014.7%4.2%16.1%28.0%16.7%4.4%0.1%-16.7M-94.1M-2.7M4.451.491,5436,869100,095273,702
2020-02-20$83.95$82.0015.3%4.4%16.0%33.2%15.2%5.0%0.2%-31.6M-28.6M-2.7M1.581.967,33511,607100,515276,640
2020-02-21$83.62$82.0017.1%4.8%15.7%47.2%18.3%5.9%0.5%-23.3M46.7M-2.8M2.842.075,44215,449103,972278,570
2020-02-24$81.41$82.0022.1%6.5%18.2%88.1%23.4%7.8%-0.6%-43.1M326.5M-3.0M5.152.348,05841,50582,247209,482
2020-02-25$78.24$82.0027.6%8.2%22.2%100.0%29.0%5.8%-1.2%-41.9M641.7M-3.0M1.913.6623,34744,52386,385216,528
2020-02-26$77.53$82.0027.1%8.1%22.1%97.2%28.6%5.1%-1.2%-41.8M710.5M-3.0M1.892.9010,48519,79186,521219,327
2020-02-27$75.26$81.5034.1%10.3%23.7%100.0%32.8%9.6%-2.0%-33.7M805.1M-3.1M5.703.7610,26558,52294,398220,273
2020-02-28$72.03$81.0044.8%14.1%27.4%100.0%46.5%10.3%-3.3%-26.3M929.4M-3.2M2.236.5018,06840,377101,379237,818