XLI Options History — April 2020

In April 2020, XLI traded between $55.82 and $65.81. ATM implied volatility averaged 43.7%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 26.8% (HV 20d: 70.6%). Max pain ranged from $58.00 to $66.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2020-04-09: Highest Volume — 26,440 contracts
  • 2020-04-06: Largest IV drop — 14.7% change
  • 2020-04-01: Highest IV Rank — 60.3%
  • 2020-04-01: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.24$55.82$65.81$55.82$64.17
Max Pain$61.43$58.00$66.00$66.00$62.00
ATM IV43.7%29.8%58.0%58.0%33.3%
Expected Move12.6%8.8%18.1%18.1%9.8%
HV 20d70.6%41.6%92.5%91.8%41.6%
HV 60d60.2%57.0%61.9%57.0%61.9%
IV Rank41.9%24.0%60.3%60.3%28.4%
IV Percentile89.4%83.3%94.8%94.8%83.7%
Term Structure-0.7%-6.9%0.6%-2.1%0.6%
VWIV44.9%30.3%66.5%66.5%35.0%
Skew 25d15.1%9.9%22.0%22.0%11.1%
Skew 10d30.2%21.8%54.4%54.4%21.8%
Call IV 25d37.0%25.6%51.5%51.5%27.8%
Put IV 25d52.1%35.5%73.5%73.5%39.0%
Bid-Ask Spread %6.913.8329.965.814.22
Gamma HHI0.070.040.260.040.06
Net GEX-5.3M-7.9M3.1M-6.4M-2.9M
Net DEX352.9M196.3M547.4M547.4M245.2M
Net VEX-1.9M-2.2M-1.6M-1.7M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.545.065.060.59
Total Volume10,038.1432,97826,4406,37210,209
Total OI232,601.19188,754265,319254,436218,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$55.82$66.0058.0%18.1%91.8%60.3%66.5%22.0%-2.1%-6.4M547.4M-1.7M5.065.811,0525,32087,996166,440
2020-04-02$56.88$58.0055.2%15.6%91.8%56.7%52.5%20.9%-0.2%-6.7M511.7M-1.7M1.446.902,2723,26388,937162,682
2020-04-03$55.98$58.0054.1%15.5%91.8%55.2%57.2%21.9%-6.9%-7.4M535.9M-1.6M4.186.931,1734,89890,063163,595
2020-04-06$59.92$58.0046.1%13.0%92.5%45.0%48.5%17.9%-1.1%-7.0M429.7M-1.8M2.345.843,4788,14182,065156,823
2020-04-07$60.81$58.0046.5%13.2%91.9%45.5%44.8%14.0%0.0%-6.3M398.2M-2.0M0.908.469,4028,44086,258162,487
2020-04-08$62.11$62.0045.4%12.9%90.8%44.0%41.5%16.3%-1.0%-6.0M355.3M-2.1M0.547.276,9983,76490,373166,634
2020-04-09$63.32$62.0044.0%12.9%83.0%42.3%50.0%15.0%0.3%-5.0M286.0M-2.2M2.286.408,05218,38894,048164,491
2020-04-13$61.47$62.0047.5%13.6%82.7%46.8%45.3%15.1%-0.7%-6.2M372.5M-2.0M2.624.988232,15591,857164,040
2020-04-14$62.64$62.0042.0%12.0%78.3%39.6%53.1%13.5%0.5%-5.9M336.1M-2.1M3.574.582,98010,63192,955172,364
2020-04-15$60.73$62.0044.7%12.8%79.4%43.1%41.9%14.7%0.1%-6.8M411.4M-1.9M2.555.081,4373,65994,203167,142
2020-04-16$60.11$62.0045.1%12.9%71.7%43.7%44.2%14.1%0.2%-7.9M425.8M-1.8M2.714.668222,22494,309165,002
2020-04-17$62.94$62.0040.9%11.8%72.3%38.3%40.4%13.1%-0.6%3.1M276.4M-2.0M1.034.585,9816,14994,800164,380
2020-04-20$61.50$62.0044.5%12.9%70.3%42.9%49.2%14.8%-0.8%-5.0M305.2M-1.9M4.224.851,1004,64571,366117,388
2020-04-21$60.12$62.0048.5%13.9%66.2%48.0%45.9%16.6%-1.5%-5.7M331.2M-1.8M1.985.152,7865,50871,856119,563
2020-04-22$60.80$62.0044.6%13.0%54.8%43.1%45.8%15.7%-0.9%-6.0M323.5M-1.9M0.675.961,9691,32172,616122,126
2020-04-23$61.32$62.0042.8%12.2%46.5%40.7%43.3%14.3%-1.0%-6.0M310.0M-1.9M3.065.982,8718,79473,737122,845
2020-04-24$61.75$62.0039.5%11.3%45.8%36.4%38.1%13.6%-0.8%-6.1M307.9M-1.9M2.484.473,8069,45375,390126,546
2020-04-27$63.45$62.0033.7%9.6%46.1%29.0%35.1%11.4%0.4%-4.0M266.8M-2.0M1.483.832,2783,36775,357129,011
2020-04-28$64.44$62.0032.5%9.6%46.3%27.4%33.5%11.0%0.2%-3.8M238.5M-2.1M1.169.128,66510,07576,098130,988
2020-04-29$65.81$62.0029.8%8.8%46.4%24.0%30.3%9.9%0.5%-2.8M196.3M-2.2M1.3529.965,3027,15078,385138,671
2020-04-30$64.17$62.0033.3%9.8%41.6%28.4%35.0%11.1%0.6%-2.9M245.2M-2.1M0.594.226,4113,79882,771135,967