XLI Options History — August 2020

In August 2020, XLI traded between $72.06 and $78.70. ATM implied volatility averaged 23.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.2% (HV 20d: 16.2%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2020-08-21: Highest Volume — 58,492 contracts
  • 2020-08-27: Largest IV spike — 7.2% change
  • 2020-08-31: Highest IV Rank — 17.9%
  • 2020-08-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.42$72.06$78.70$72.06$78.06
Max Pain$72.81$70.00$75.00$70.00$75.00
ATM IV23.4%22.1%25.1%24.2%25.1%
Expected Move6.6%6.1%7.1%6.7%6.8%
HV 20d16.2%13.3%19.8%19.8%14.0%
HV 60d28.9%24.3%33.6%33.6%24.3%
IV Rank15.6%14.0%17.9%16.7%17.9%
IV Percentile54.0%49.2%57.1%56.3%57.1%
Term Structure0.3%-0.5%0.9%-0.3%0.2%
VWIV23.7%21.1%26.5%23.2%26.5%
Skew 25d4.7%3.8%6.0%6.0%5.3%
Skew 10d9.0%7.5%12.0%12.0%9.4%
Call IV 25d21.6%20.3%23.0%21.6%23.0%
Put IV 25d26.2%25.0%28.3%27.6%28.3%
Bid-Ask Spread %6.223.699.246.804.56
Gamma HHI0.110.080.150.080.13
Net GEX28.2M11.7M48.1M12.6M35.4M
Net DEX-385.6M-559.2M-62.4M-62.6M-432.4M
Net VEX-3.4M-3.7M-2.9M-3.0M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.197.550.595.24
Total Volume20,842.5244,15358,4928,09011,174
Total OI372,951.524293,151413,605293,151408,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$72.06$70.0024.2%6.7%19.8%16.7%23.2%6.0%-0.3%12.6M-62.6M-3.0M0.596.805,0853,005138,033155,118
2020-08-04$72.17$70.0023.3%6.4%18.5%15.6%24.9%5.7%0.1%13.2M-62.4M-2.9M1.316.232,9833,901138,125156,816
2020-08-05$73.51$70.0022.5%6.2%19.3%14.5%21.1%4.7%0.2%23.7M-180.6M-3.0M0.347.3840,29613,653140,218158,629
2020-08-06$73.84$70.0022.5%6.7%16.8%14.5%23.2%4.7%0.2%39.3M-257.6M-3.2M0.548.785,8003,152168,405162,969
2020-08-07$75.06$70.0023.1%6.8%17.1%15.2%23.7%4.3%-0.0%39.2M-391.5M-3.2M0.758.556,8465,152171,325165,122
2020-08-10$76.94$70.0023.6%6.9%18.5%16.0%24.5%3.9%0.7%30.5M-501.6M-3.2M0.818.2117,25313,980164,023163,551
2020-08-11$77.49$71.0024.2%7.0%18.1%16.7%25.4%4.5%0.4%30.0M-552.8M-3.3M1.354.7920,21527,298172,906172,910
2020-08-12$77.73$71.0023.9%6.9%15.7%16.3%25.6%4.3%0.2%24.4M-544.9M-3.5M1.659.2414,39623,693179,457193,646
2020-08-13$77.19$73.0023.9%6.9%16.1%16.3%25.9%4.5%0.2%14.8M-439.1M-3.6M7.556.182,86721,633179,045210,048
2020-08-14$77.41$74.0024.3%7.1%16.0%16.8%23.4%4.6%0.9%16.6M-458.0M-3.6M0.198.8436,1156,922179,529212,590
2020-08-17$77.16$74.0023.8%6.8%15.3%16.1%22.8%4.5%0.8%28.3M-457.8M-3.7M0.357.415,5581,921200,691205,786
2020-08-18$76.77$74.0022.7%6.5%15.4%14.8%22.9%3.8%0.6%26.9M-411.0M-3.6M1.616.573,4605,585200,493206,557
2020-08-19$76.56$74.0022.8%6.5%15.4%14.9%22.8%4.7%0.9%24.0M-363.3M-3.6M2.315.501,2532,900201,463210,395
2020-08-20$76.26$74.0022.9%6.6%15.4%15.1%22.1%4.8%-0.5%20.4M-306.0M-3.5M0.694.662,5191,742201,310212,295
2020-08-21$76.45$74.0022.7%6.5%14.8%14.8%21.6%4.1%0.0%11.7M-336.2M-3.5M0.247.0447,19711,295199,840211,931
2020-08-24$77.66$75.0023.2%6.5%15.5%15.4%24.0%4.9%0.2%48.1M-465.3M-3.6M0.844.089,1187,649202,425192,594
2020-08-25$77.73$75.0022.1%6.1%15.3%14.0%22.6%4.7%0.8%37.0M-406.5M-3.6M1.283.745,4827,033193,484193,683
2020-08-26$77.81$75.0022.4%6.3%14.9%14.4%22.9%5.1%0.5%36.2M-424.6M-3.6M1.333.993,1454,181195,326198,688
2020-08-27$78.22$75.0024.0%6.6%13.9%16.5%25.1%4.8%0.4%38.6M-484.2M-3.6M1.204.379,28711,124199,970200,930
2020-08-28$78.70$75.0023.8%6.6%13.3%16.2%22.7%4.4%0.5%41.0M-559.2M-3.6M0.333.698,8962,929205,813207,462
2020-08-31$78.06$75.0025.1%6.8%14.0%17.9%26.5%5.3%0.2%35.4M-432.4M-3.5M5.244.561,7919,383203,403204,978