XLI Options History — May 2020

In May 2020, XLI traded between $58.67 and $68.58. ATM implied volatility averaged 33.0%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 5.5% (HV 20d: 38.5%). Max pain ranged from $62.00 to $75.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2020-05-18: Highest Volume — 41,794 contracts
  • 2020-05-13: Largest IV spike — 17.7% change
  • 2020-05-04: Highest IV Rank — 34.3%
  • 2020-05-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.04$58.67$68.58$62.24$67.67
Max Pain$70.45$62.00$75.00$62.00$69.00
ATM IV33.0%29.3%37.8%36.2%30.7%
Expected Move9.5%8.3%11.1%11.0%8.5%
HV 20d38.5%31.5%43.4%43.4%41.0%
HV 60d63.2%62.0%64.9%62.0%63.7%
IV Rank28.1%23.3%34.3%32.2%25.1%
IV Percentile81.0%76.2%85.3%85.3%77.0%
Term Structure0.3%-0.5%1.4%0.3%0.1%
VWIV34.2%28.4%40.6%39.9%30.8%
Skew 25d10.6%8.1%13.7%12.2%9.1%
Skew 10d20.8%16.8%28.5%25.1%16.8%
Call IV 25d28.3%24.4%32.1%30.5%26.3%
Put IV 25d38.9%33.8%45.2%42.8%35.4%
Bid-Ask Spread %4.353.055.805.213.61
Gamma HHI0.090.060.160.070.09
Net GEX-4.5M-21.1M13.0M-7.3M-4.2M
Net DEX245.3M-101.2M464.9M320.2M-41.6M
Net VEX-2.1M-2.9M-1.7M-1.9M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.119.812.163.51
Total Volume17,735.853,29941,79410,54118,681
Total OI256,568.2214,056309,726221,663309,726

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$62.24$62.0036.2%11.0%43.4%32.2%39.9%12.2%0.3%-7.3M320.2M-1.9M2.165.213,3347,20783,731137,932
2020-05-04$61.44$75.0037.8%11.1%43.2%34.3%40.6%13.7%0.1%-7.0M348.2M-1.8M3.715.762,81110,43581,554132,502
2020-05-05$61.72$74.0035.5%10.0%36.2%31.2%36.5%12.4%0.4%-7.6M347.1M-1.9M1.345.391,4101,88982,685143,456
2020-05-06$60.95$74.0034.8%10.1%36.2%30.4%40.1%12.2%0.0%-9.1M378.7M-1.8M4.545.653,43215,58883,100145,694
2020-05-07$61.51$72.0032.8%9.4%35.5%27.8%35.3%11.3%0.9%-7.7M338.9M-1.8M2.254.341,7864,02383,806139,864
2020-05-08$63.12$72.0029.4%8.7%36.1%23.5%31.4%10.3%0.9%-10.1M283.7M-1.9M0.344.5110,1233,39283,671144,212
2020-05-11$62.47$72.0030.0%8.9%34.6%24.2%31.9%10.5%0.9%-7.9M313.9M-1.9M0.443.823,9041,71386,936149,895
2020-05-12$60.77$72.0032.0%9.2%35.3%26.8%34.2%10.2%-0.0%-11.8M379.3M-1.8M1.295.8010,31113,26990,264150,680
2020-05-13$58.67$72.0037.7%10.7%35.8%34.1%35.8%11.7%-0.4%-14.0M464.9M-1.7M9.814.322,24322,00998,700156,856
2020-05-14$59.41$72.0037.3%10.8%36.0%33.6%38.9%13.4%0.4%-14.6M430.8M-1.8M2.333.8311,14525,97298,968157,374
2020-05-15$59.23$70.0036.5%10.4%31.5%32.5%36.4%11.9%-0.5%-21.1M449.0M-1.8M1.103.292,5292,78997,200165,735
2020-05-18$63.69$70.0031.4%9.0%40.4%26.1%29.3%9.7%-0.4%-6.7M262.4M-2.0M0.113.6637,6974,09782,800149,572
2020-05-19$62.97$69.0033.6%9.6%39.7%28.8%35.1%9.8%1.2%434.8K235.7M-2.2M0.264.2415,0563,979113,337150,911
2020-05-20$63.84$69.0031.3%9.0%39.8%25.9%30.0%9.3%1.1%4.0M195.7M-2.3M0.243.6021,9725,191120,874155,660
2020-05-21$63.88$69.0032.1%9.2%39.7%26.9%32.5%9.7%0.2%3.2M194.1M-2.4M0.423.858,1053,429131,894159,757
2020-05-22$63.75$69.0031.2%8.9%39.7%25.8%32.1%8.8%1.4%4.2M200.3M-2.4M0.383.058,4723,256135,099160,467
2020-05-26$66.66$69.0029.3%8.3%41.7%23.3%31.0%8.1%0.5%13.0M898.9K-2.5M0.343.4418,2296,171140,708143,709
2020-05-27$68.58$69.0029.5%8.3%42.4%23.5%28.4%8.3%-0.3%7.7M-101.2M-2.7M0.394.5717,2686,778141,464140,676
2020-05-28$68.26$69.0031.0%8.7%42.0%25.5%32.6%9.1%-0.3%7.0M-94.7M-2.9M1.254.946,6788,344150,430149,465
2020-05-29$67.67$69.0030.7%8.5%41.0%25.1%30.8%9.1%0.1%-4.2M-41.6M-2.8M3.513.614,13814,543153,050156,676