XLI Options History — July 2020

In July 2020, XLI traded between $67.15 and $72.76. ATM implied volatility averaged 28.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.1% (HV 20d: 25.7%). Max pain ranged from $69.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2020-07-15: Highest Volume — 33,455 contracts
  • 2020-07-17: Largest IV drop — 8.1% change
  • 2020-07-13: Highest IV Rank — 28.5%
  • 2020-07-09: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.63$67.15$72.76$68.67$71.49
Max Pain$69.27$69.00$70.00$69.00$70.00
ATM IV28.7%23.6%33.3%31.7%24.8%
Expected Move8.1%6.6%9.4%8.7%6.9%
HV 20d25.7%19.2%36.8%36.8%20.1%
HV 60d35.6%33.6%37.8%37.8%33.6%
IV Rank22.5%15.9%28.5%26.4%17.5%
IV Percentile64.9%56.7%75.4%72.2%57.1%
Term Structure-0.0%-1.1%0.7%0.2%0.7%
VWIV28.9%24.2%31.7%29.9%24.2%
Skew 25d7.0%5.3%8.6%8.6%6.0%
Skew 10d13.8%10.2%21.5%13.3%10.7%
Call IV 25d25.6%21.1%30.0%27.8%21.8%
Put IV 25d32.7%26.9%38.2%36.4%27.8%
Bid-Ask Spread %5.974.049.314.569.31
Gamma HHI0.120.060.700.080.07
Net GEX19.4M3.4M104.8M23.8M3.4M
Net DEX-37.5M-259.4M226.1M37.8M-4.0M
Net VEX-3.0M-3.1M-2.8M-3.1M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.164.790.550.60
Total Volume13,677.1362,43533,45512,95019,210
Total OI328,221.955248,021383,353370,068296,199

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$68.67$69.0031.7%8.7%36.8%26.4%29.9%8.6%0.2%23.8M37.8M-3.1M0.554.568,3424,608215,897154,171
2020-07-02$69.08$69.0030.4%8.3%36.8%24.7%29.4%7.6%0.1%31.7M654.2K-3.1M1.774.665,79610,282216,381156,389
2020-07-06$69.92$69.0030.7%8.8%34.2%25.1%31.2%8.2%0.3%23.1M-32.9M-3.1M1.718.946,22510,666205,904154,226
2020-07-07$68.70$69.0031.6%8.9%33.4%26.3%30.9%8.0%-0.3%16.9M93.0M-3.0M0.865.931,3061,129207,382155,813
2020-07-08$68.63$69.0031.7%8.9%33.0%26.4%29.3%8.0%-0.9%16.3M110.7M-2.9M0.165.255,578915207,438156,430
2020-07-09$67.15$69.0033.3%9.4%32.8%28.4%31.7%8.4%-0.3%5.8M226.1M-2.8M0.445.1711,1724,872211,378157,048
2020-07-10$67.97$69.0032.3%9.2%22.8%27.1%31.3%8.2%-0.2%11.5M165.0M-2.8M0.854.744,4003,742218,477158,280
2020-07-13$68.51$69.0033.3%9.3%22.8%28.5%31.7%7.9%-1.1%13.9M103.8M-2.8M0.315.7510,4803,229207,650152,555
2020-07-14$69.67$69.0032.0%9.0%23.4%26.8%31.5%8.3%-1.1%20.5M-7.6M-2.9M0.755.943,9522,982212,900154,423
2020-07-15$71.72$69.0031.1%8.7%24.4%25.6%30.7%8.1%-0.5%28.0M-232.9M-3.0M0.385.2724,1949,261214,874156,094
2020-07-16$71.56$69.0029.8%8.4%24.4%24.0%29.7%7.2%-0.8%30.2M-195.9M-2.9M0.745.2613,1139,753216,715158,377
2020-07-17$72.06$69.0027.4%7.8%24.4%20.9%30.6%6.4%-0.1%104.8M-259.4M-3.0M0.714.045,6764,023220,646162,707
2020-07-20$71.26$69.0026.7%7.6%24.6%19.9%25.8%5.3%0.5%9.8M-64.6M-2.9M1.054.595,0725,324121,790126,231
2020-07-21$72.08$69.0027.1%7.7%24.7%20.4%28.1%5.9%0.0%12.5M-114.0M-2.9M1.074.4311,15111,954124,974130,584
2020-07-22$72.67$69.0026.6%7.6%24.8%19.7%27.7%5.9%0.1%10.2M-150.5M-3.0M0.894.605,3194,709133,235138,737
2020-07-23$72.38$69.0026.2%7.5%21.0%19.2%26.9%5.8%0.7%8.7M-133.9M-3.0M1.376.1613,05717,884133,931140,469
2020-07-24$71.78$70.0026.0%7.4%21.4%19.1%28.4%6.4%0.3%3.6M-73.4M-3.1M2.067.892,5905,333138,091155,857
2020-07-27$72.02$70.0025.7%7.4%20.6%18.7%26.6%5.9%0.5%11.4M-74.3M-3.0M2.386.191,2943,074133,851149,229
2020-07-28$71.78$70.0025.2%7.1%19.2%18.0%27.7%6.1%0.3%10.1M-48.3M-3.0M2.276.131,7854,045133,870150,914
2020-07-29$72.76$70.0023.6%6.6%19.3%15.9%25.0%5.8%0.3%16.6M-122.9M-3.0M3.229.203,96612,787134,819152,557
2020-07-30$71.99$70.0024.8%7.0%19.8%17.4%27.9%6.4%0.6%12.7M-48.2M-3.0M4.797.361,1495,498135,135158,255
2020-07-31$71.49$70.0024.8%6.9%20.1%17.5%24.2%6.0%0.7%3.4M-4.0M-3.0M0.609.3112,0177,193135,453160,746