XLI Options History — March 2020

In March 2020, XLI traded between $48.64 and $76.56. ATM implied volatility averaged 59.3%, placing in the 79.0% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 2.9% (HV 20d: 62.2%). Max pain ranged from $67.00 to $81.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2020-03-06: Highest Volume — 34,059 contracts
  • 2020-03-05: Largest IV spike — 32.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.07$48.64$76.56$75.12$59.16
Max Pain$73.09$67.00$81.00$81.00$67.00
ATM IV59.3%29.2%88.8%34.5%45.4%
Expected Move17.3%8.8%25.4%10.7%15.8%
HV 20d62.2%31.6%94.0%31.7%91.5%
HV 60d39.2%20.6%56.1%20.6%55.9%
IV Rank79.0%44.1%100.0%69.2%44.1%
IV Percentile98.4%93.7%100.0%99.6%93.7%
Term Structure-1.6%-7.5%19.3%-2.4%19.3%
VWIV60.2%29.3%92.0%38.0%54.1%
Skew 25d23.9%11.4%34.1%12.0%18.8%
Skew 10d47.3%22.4%77.8%22.4%29.0%
Call IV 25d49.3%24.7%71.6%28.5%41.5%
Put IV 25d73.3%36.1%102.5%40.5%60.4%
Bid-Ask Spread %11.703.7634.735.718.20
Gamma HHI0.060.040.110.070.04
Net GEX-15.1M-35.7M-3.1M-33.9M-5.8M
Net DEX815.8M427.0M1.12B716.8M477.1M
Net VEX-2.2M-3.4M-707.6K-3.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.658.061.211.91
Total Volume17,595.1825,95434,05923,50610,888
Total OI325,192.909208,453390,743352,447249,062

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$75.12$81.0034.5%10.7%31.7%69.2%38.0%12.0%-2.4%-33.9M716.8M-3.3M1.215.7110,62012,886109,533242,914
2020-03-03$74.62$81.0033.8%10.9%31.6%67.2%38.7%13.6%-1.0%-33.9M753.6M-3.3M1.075.9614,32615,363115,573248,183
2020-03-04$76.56$80.0029.2%8.8%32.3%53.5%29.3%11.4%-1.0%-34.4M547.9M-3.4M1.533.769,04613,801124,035248,004
2020-03-05$73.03$79.0038.7%10.3%34.9%81.7%37.6%16.0%-1.7%-34.6M867.6M-3.4M2.015.949,67219,485129,813256,113
2020-03-06$72.02$79.0044.1%11.9%34.7%98.0%43.2%22.6%-1.2%-35.7M952.4M-3.3M3.139.218,24625,813132,912257,831
2020-03-09$66.53$78.0055.6%15.3%43.0%100.0%49.7%28.4%-0.0%-21.9M1.07B-2.8M5.218.473,49718,208123,091245,666
2020-03-10$68.58$77.0049.8%13.6%45.3%87.0%46.7%29.2%-1.8%-26.4M1.01B-2.9M1.379.236,5688,972125,129244,133
2020-03-11$65.24$75.0061.2%16.3%47.0%100.0%56.3%34.1%-6.6%-18.8M1.09B-2.6M8.0610.991,58712,795129,872243,047
2020-03-12$58.90$75.0076.6%20.7%55.8%100.0%72.6%26.3%-4.3%-10.7M1.12B-2.0M7.2611.602,32916,906129,939242,082
2020-03-13$61.25$75.0068.8%18.8%59.4%88.1%60.6%27.4%-6.6%-11.6M1.11B-2.1M1.028.835,7105,852131,652239,418
2020-03-16$56.99$72.0081.3%23.2%62.3%100.0%70.3%30.1%-4.4%-7.9M1.06B-1.8M1.526.433,9906,056128,129232,329
2020-03-17$57.32$72.0077.7%22.2%62.7%94.9%66.7%28.5%-3.9%-7.8M1.07B-1.7M0.947.086,1335,790129,468231,824
2020-03-18$52.41$70.0088.8%25.4%66.9%100.0%92.0%30.9%-6.6%-5.4M1.04B-1.3M6.4512.982,78517,957132,783231,257
2020-03-19$54.34$70.0074.6%21.4%69.9%81.8%72.3%27.9%-0.0%-6.3M1.05B-1.4M1.308.942,5903,364135,176234,521
2020-03-20$51.80$70.0066.9%19.4%70.2%71.8%66.9%25.8%-2.4%-4.9M1.06B-1.0M2.5234.733,2898,281135,298234,611
2020-03-23$48.64$69.0069.0%20.2%71.5%74.5%68.6%23.1%-2.1%-3.1M609.2M-707.6K2.236.161,9524,35066,032146,036
2020-03-24$54.32$69.0054.1%18.0%86.0%55.3%58.9%23.0%4.3%-4.4M563.5M-1.1M0.659.7411,4297,46169,308139,145
2020-03-25$59.05$68.0058.9%18.2%93.3%61.5%73.7%22.5%-0.7%-5.2M469.1M-1.8M3.778.756,26623,62678,160143,830
2020-03-26$60.50$67.0063.6%19.8%94.0%67.6%76.5%23.6%-7.5%-6.0M427.0M-2.1M6.2127.472,04512,70381,912153,800
2020-03-27$59.40$67.0068.6%21.5%93.3%74.0%76.9%27.6%-1.6%-7.1M451.3M-2.1M1.2829.493,5614,57082,612163,967
2020-03-30$59.73$67.0064.2%19.2%91.5%68.3%75.6%23.8%-3.0%-5.8M438.9M-2.0M1.6017.806,28210,04481,476154,568
2020-03-31$59.16$67.0045.4%15.8%91.5%44.1%54.1%18.8%19.3%-5.8M477.1M-1.9M1.918.203,7417,14785,661163,401