XLI Options History — November 2020

In November 2020, XLI traded between $77.70 and $89.67. ATM implied volatility averaged 24.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.1% (HV 20d: 28.9%). Max pain ranged from $77.00 to $84.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.46.

Notable Days

  • 2020-11-03: Highest Volume — 57,599 contracts
  • 2020-11-04: Largest IV drop — 17.6% change
  • 2020-11-02: Highest IV Rank — 32.1%
  • 2020-11-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.29$77.70$89.67$77.70$87.94
Max Pain$79.85$77.00$84.00$78.50$84.00
ATM IV24.9%21.9%36.1%36.1%22.5%
Expected Move7.4%6.4%11.6%11.6%6.9%
HV 20d28.9%24.4%31.9%24.4%25.8%
HV 60d24.9%22.6%25.9%22.6%24.8%
IV Rank17.6%13.8%32.1%32.1%14.5%
IV Percentile37.9%24.2%79.0%79.0%25.4%
Term Structure0.0%-0.9%2.3%-0.9%2.3%
VWIV27.1%23.3%40.1%40.1%25.1%
Skew 25d5.8%4.3%9.9%9.9%4.9%
Skew 10d12.1%8.1%19.2%19.2%9.6%
Call IV 25d22.7%20.2%31.4%31.4%20.8%
Put IV 25d28.5%24.8%41.4%41.4%25.7%
Bid-Ask Spread %13.902.8944.6244.623.60
Gamma HHI0.100.060.160.060.12
Net GEX23.2M-1.5M49.8M-1.5M17.1M
Net DEX-794.6M-1.11B-24.4M-24.4M-775.3M
Net VEX-3.4M-3.8M-2.7M-3.8M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.173.863.861.66
Total Volume26,016.356,46557,59940,4886,465
Total OI477,910.6419,759543,488419,759452,862

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$77.70$78.5036.1%11.6%24.4%32.1%40.1%9.9%-0.9%-1.5M-24.4M-3.8M3.8644.628,33732,151181,082238,677
2020-11-03$80.42$78.5032.9%10.6%27.0%28.0%39.1%9.3%-0.3%7.0M-303.1M-3.8M2.0333.8918,98738,612181,082238,677
2020-11-04$79.69$80.0027.2%8.2%26.3%20.5%31.1%7.2%0.0%6.6M-252.9M-3.7M2.8117.926,85019,267195,536260,088
2020-11-05$81.19$77.0026.4%7.6%27.0%19.5%25.3%6.1%-0.1%16.5M-457.5M-3.6M0.1722.8414,4642,433197,379263,511
2020-11-06$81.59$77.0024.3%7.2%27.0%16.8%26.2%6.0%0.5%20.4M-525.9M-3.7M0.8019.4917,49313,957209,165264,373
2020-11-09$84.85$77.0024.1%6.8%30.3%16.6%24.5%4.7%-0.6%30.1M-927.1M-3.4M0.6817.8322,11315,044209,894257,733
2020-11-10$85.69$77.0024.4%7.1%30.0%16.9%26.7%5.1%0.6%29.6M-1.00B-3.4M1.3416.2916,26321,789215,809268,100
2020-11-11$84.74$77.0023.6%6.8%30.4%15.9%27.8%4.9%0.1%28.1M-843.5M-3.4M2.0615.6412,23325,166209,970271,554
2020-11-12$83.67$78.0026.0%7.4%30.8%19.0%29.9%6.4%-0.1%18.8M-646.0M-3.7M2.9614.074,14612,292215,491291,854
2020-11-13$85.78$80.0024.0%7.0%31.8%16.4%23.9%5.6%0.6%26.8M-937.3M-3.5M0.5620.845,4253,037218,259295,707
2020-11-16$87.58$80.0023.6%6.8%31.9%16.0%27.3%5.4%0.1%29.4M-1.11B-3.2M1.988.7811,08621,965213,762285,871
2020-11-17$87.51$81.0023.1%6.6%31.9%15.3%24.7%5.3%0.3%26.2M-1.07B-3.3M1.223.478,0649,805215,923301,765
2020-11-18$87.65$81.0024.1%6.9%31.4%16.6%25.8%5.9%0.1%25.7M-1.10B-3.2M2.4314.286,03214,659218,301305,858
2020-11-19$87.41$81.0023.9%6.9%31.5%16.3%23.7%5.2%-0.5%23.1M-1.06B-3.3M0.297.1225,9617,529219,948311,107
2020-11-20$86.88$81.0022.7%6.5%31.7%14.8%23.9%4.7%-0.3%49.8M-1.07B-3.3M1.093.343,9304,292233,304310,184
2020-11-23$88.13$81.0021.9%6.5%29.5%13.8%25.1%5.2%-0.1%29.8M-891.6M-3.1M0.994.333,8313,779190,573250,213
2020-11-24$89.67$81.0022.0%6.4%28.6%13.8%23.3%4.5%-0.3%33.3M-1.07B-2.7M1.033.6218,59619,196191,337250,366
2020-11-25$89.05$83.0022.4%6.6%25.5%14.3%24.4%4.5%-0.6%25.1M-937.9M-3.1M0.362.8926,4609,562191,752264,472
2020-11-27$88.69$84.0022.4%6.6%25.8%14.4%24.6%4.3%-0.8%21.5M-898.0M-3.0M0.953.184,6454,411196,556270,117
2020-11-30$87.94$84.0022.5%6.9%25.8%14.5%25.1%4.9%2.3%17.1M-775.3M-3.0M1.663.602,4264,039191,242261,620