XLI Options History — June 2020

In June 2020, XLI traded between $66.30 and $76.08. ATM implied volatility averaged 34.4%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 6.7% (HV 20d: 41.2%). Max pain ranged from $67.00 to $71.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2020-06-05: Highest Volume — 115,084 contracts
  • 2020-06-11: Largest IV spike — 23.8% change
  • 2020-06-11: Highest IV Rank — 38.8%
  • 2020-06-11: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.96$66.30$76.08$67.92$68.76
Max Pain$69.14$67.00$71.00$69.00$69.00
ATM IV34.4%28.6%41.3%30.2%32.8%
Expected Move9.9%8.2%11.7%8.6%9.3%
HV 20d41.2%38.1%47.4%39.0%40.1%
HV 60d50.7%40.1%63.0%63.0%40.1%
IV Rank29.9%22.3%38.8%24.4%27.8%
IV Percentile79.6%73.0%86.5%76.6%74.6%
Term Structure-0.2%-1.0%0.4%-0.2%-0.1%
VWIV33.9%28.6%40.0%32.9%31.1%
Skew 25d8.7%6.2%11.8%8.7%9.1%
Skew 10d15.6%4.7%20.0%16.5%17.3%
Call IV 25d30.8%25.8%37.9%26.6%29.1%
Put IV 25d39.5%32.7%48.7%35.3%38.2%
Bid-Ask Spread %5.983.639.813.635.38
Gamma HHI0.090.050.170.080.08
Net GEX9.8M-3.8M23.3M875.2K21.0M
Net DEX-45.7M-607.7M251.2M61.0M12.5M
Net VEX-3.2M-3.7M-2.8M-2.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.103.091.110.10
Total Volume29,154.3646,365115,0846,43929,945
Total OI356,079.773283,369412,953283,369362,915

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$67.92$69.0030.2%8.6%39.0%24.4%32.9%8.7%-0.2%875.2K61.0M-2.8M1.113.633,0493,390135,740147,629
2020-06-02$68.49$69.0029.5%8.5%38.5%23.5%29.1%8.2%-0.4%11.8M3.9M-2.8M0.843.639,9518,348150,297147,699
2020-06-03$71.49$69.0029.1%8.3%40.7%23.0%28.6%6.8%-0.7%17.6M-258.6M-3.1M0.134.4645,3156,107159,323155,153
2020-06-04$71.82$67.0028.6%8.4%40.1%22.3%28.7%7.0%0.4%23.3M-337.7M-3.2M0.445.2729,27712,964173,839159,594
2020-06-05$74.56$67.0028.8%8.2%41.4%22.6%29.4%6.2%-0.2%16.1M-579.1M-3.3M0.297.7789,12625,958183,951162,011
2020-06-08$76.08$68.0030.3%8.7%41.2%24.6%30.9%6.4%0.1%21.2M-607.7M-3.7M0.214.5316,3323,464200,843175,241
2020-06-09$74.62$68.0032.1%9.2%41.8%26.9%32.8%7.0%-0.1%16.2M-456.1M-3.6M0.216.0464,67213,279194,130171,704
2020-06-10$72.83$69.0033.4%9.4%41.5%28.5%32.6%6.2%-0.3%6.9M-201.0M-3.5M2.165.755,85512,654182,073182,361
2020-06-11$68.01$71.0041.3%11.7%47.4%38.8%40.0%6.9%-0.2%-3.8M210.5M-3.2M1.238.9318,70123,018186,078190,239
2020-06-12$68.51$69.0040.7%11.5%47.4%38.0%39.1%11.8%-1.0%2.6M152.9M-3.4M2.637.0610,17526,736202,920196,693
2020-06-15$69.06$69.0039.4%11.3%47.2%36.3%37.3%9.8%-0.9%6.3M81.0M-3.4M0.576.714,5002,557204,885194,330
2020-06-16$70.56$69.0038.2%10.9%41.0%34.8%37.0%10.1%-0.0%11.5M-66.6M-3.5M0.339.8123,0697,577205,833194,063
2020-06-17$70.33$69.0038.3%11.0%40.7%34.8%38.5%10.5%-0.8%13.2M-39.6M-3.5M0.707.143,7482,617209,043198,339
2020-06-18$69.97$69.0036.5%10.5%40.7%32.6%35.9%9.0%0.1%16.3M14.1M-3.3M1.744.834,3477,553209,585199,042
2020-06-19$69.44$70.0035.6%10.2%40.9%31.4%32.2%9.3%-0.3%2.6M76.7M-3.2M0.825.644,2553,475212,025200,928
2020-06-22$68.98$70.0034.4%9.9%41.1%29.9%34.6%9.3%0.3%3.7M93.2M-3.1M0.744.946,1834,554160,468144,102
2020-06-23$69.28$70.0032.3%9.3%38.1%27.1%36.0%9.1%0.3%4.1M92.3M-3.1M1.194.5714,24017,013162,571147,195
2020-06-24$66.99$70.0037.3%10.8%38.8%33.6%35.9%9.5%-0.1%1.4M218.6M-3.0M0.617.4317,27210,463167,646148,854
2020-06-25$67.17$70.0036.7%10.6%38.8%32.8%32.4%9.8%-0.2%4.8M190.3M-3.1M0.146.5426,5403,723183,056154,066
2020-06-26$66.30$70.0037.3%10.8%38.9%33.5%36.7%10.9%-0.5%3.9M251.2M-3.0M3.096.341,9886,139206,217155,610
2020-06-29$67.97$70.0035.4%10.4%40.0%31.2%34.9%9.5%-0.2%14.8M83.5M-3.1M0.525.077,4123,855204,935150,529
2020-06-30$68.76$69.0032.8%9.3%40.1%27.8%31.1%9.1%-0.1%21.0M12.5M-3.2M0.105.3827,2932,652209,818153,097