XLI Options History — October 2020

In October 2020, XLI traded between $75.23 and $81.73. ATM implied volatility averaged 28.9%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.5% (HV 20d: 22.4%). Max pain ranged from $77.00 to $80.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2020-10-16: Highest Volume — 42,337 contracts
  • 2020-10-28: Largest IV spike — 21.4% change
  • 2020-10-28: Highest IV Rank — 33.7%
  • 2020-10-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.30$75.23$81.73$76.47$75.42
Max Pain$77.82$77.00$80.00$79.00$80.00
ATM IV28.9%26.2%37.3%26.7%36.4%
Expected Move8.4%7.3%11.6%7.4%11.6%
HV 20d22.4%16.9%26.7%26.7%22.4%
HV 60d20.6%19.9%22.2%20.8%22.1%
IV Rank22.8%19.3%33.7%20.0%32.5%
IV Percentile60.2%50.4%82.5%56.0%79.8%
Term Structure-0.0%-1.3%4.0%4.0%-0.1%
VWIV29.6%25.1%42.4%25.6%42.4%
Skew 25d6.6%4.8%10.6%5.1%10.6%
Skew 10d12.6%9.6%21.9%9.9%21.9%
Call IV 25d26.2%24.2%33.3%24.2%32.1%
Put IV 25d32.8%29.0%42.8%29.4%42.8%
Bid-Ask Spread %19.1910.2129.8511.7316.79
Gamma HHI0.080.060.130.060.06
Net GEX10.5M-18.1M30.1M85.8K-11.9M
Net DEX-214.8M-543.9M334.5M48.2M334.5M
Net VEX-3.5M-3.8M-3.2M-3.3M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.097.921.222.11
Total Volume20,786.9554,89242,33730,91415,503
Total OI385,097.727349,491438,166349,491438,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$76.47$79.0026.7%7.4%26.7%20.0%25.6%5.1%4.0%85.8K48.2M-3.3M1.2211.7313,94416,970160,043189,448
2020-10-02$77.74$78.0027.6%7.3%24.9%21.0%25.1%4.8%3.6%16.4M-84.6M-3.4M0.6310.5417,96311,290163,779202,533
2020-10-05$78.90$77.0028.1%8.3%25.3%21.8%26.7%6.0%0.1%15.6M-228.3M-3.4M0.0928.5819,5341,699160,845196,532
2020-10-06$78.06$77.0029.2%8.6%24.8%23.2%32.0%5.5%0.7%8.7M-167.3M-3.4M1.4829.857,44611,016165,141197,340
2020-10-07$79.67$77.0029.1%8.3%25.3%23.0%30.3%6.1%-0.0%23.9M-325.0M-3.5M1.7722.228,80015,564170,119206,836
2020-10-08$80.33$77.0028.1%8.0%24.8%21.8%30.6%5.8%-0.2%24.6M-382.8M-3.5M1.6723.469,49315,888172,906213,041
2020-10-09$80.72$77.0027.2%7.6%24.5%20.6%25.8%5.2%-0.2%23.8M-443.9M-3.5M1.1426.556,8727,829176,321222,637
2020-10-12$81.27$77.0026.6%7.7%24.2%19.8%27.5%6.1%0.3%22.4M-471.6M-3.3M1.5722.745,2818,277171,989208,002
2020-10-13$80.41$77.0026.8%7.7%24.6%20.1%28.5%5.3%0.0%15.7M-365.6M-3.4M0.3423.397,8532,691173,463212,984
2020-10-14$80.95$77.0026.5%7.6%24.2%19.7%27.6%5.6%0.1%18.7M-434.5M-3.3M0.1723.0416,5092,729172,561214,890
2020-10-15$80.98$77.0026.8%7.6%24.1%20.1%26.1%6.0%-0.3%20.0M-465.9M-3.3M1.4521.371,9982,894178,948216,242
2020-10-16$81.73$77.0026.2%7.4%24.2%19.3%26.8%5.2%-0.7%30.1M-543.9M-3.2M0.4317.7029,68912,648178,333218,153
2020-10-19$80.65$77.0027.6%7.9%18.5%21.1%30.5%6.6%-0.8%12.8M-348.7M-3.5M4.2710.801,6927,226166,024186,369
2020-10-20$81.28$77.0027.2%7.8%18.1%20.5%26.0%6.5%-0.8%13.9M-401.0M-3.4M0.8419.8110,2728,679167,153192,264
2020-10-21$80.34$77.0028.5%8.2%17.4%22.2%29.2%6.8%-1.3%10.1M-308.8M-3.6M3.1310.212,1476,729171,791198,985
2020-10-22$80.83$77.0027.6%8.0%17.3%21.1%27.6%6.6%-1.0%10.9M-352.0M-3.5M0.2815.9216,6454,671171,250204,516
2020-10-23$81.15$77.0027.1%7.8%16.9%20.4%25.1%6.6%-1.0%23.3M-413.5M-3.6M7.6015.242,65220,153177,756207,878
2020-10-26$78.83$80.0030.1%8.9%19.2%24.3%30.9%8.3%-0.3%-4.1M-62.1M-3.7M1.4611.3312,33318,009174,485218,524
2020-10-27$77.60$80.0030.8%9.2%19.9%25.2%30.7%7.4%-0.3%-12.6M83.6M-3.7M1.2514.469,70712,099175,321228,711
2020-10-28$75.23$80.0037.3%11.5%22.7%33.7%40.9%8.8%-1.0%-13.7M331.6M-3.8M7.9223.924,27433,858181,256236,844
2020-10-29$76.10$80.0035.1%10.7%23.1%30.8%36.1%9.3%-1.0%-18.1M275.0M-3.8M0.8222.588,6967,091183,163248,608
2020-10-30$75.42$80.0036.4%11.6%22.4%32.5%42.4%10.6%-0.1%-11.9M334.5M-3.8M2.1116.794,98310,520189,016249,150