XLI Options History — December 2020

In December 2020, XLI traded between $87.56 and $89.37. ATM implied volatility averaged 22.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.7% (HV 20d: 15.1%). Max pain ranged from $76.00 to $84.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.12.

Notable Days

  • 2020-12-18: Highest Volume — 63,676 contracts
  • 2020-12-07: Largest IV spike — 7.8% change
  • 2020-12-14: Highest IV Rank — 17.1%
  • 2020-12-14: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.36$87.56$89.37$87.87$88.49
Max Pain$79.02$76.00$84.50$84.00$82.00
ATM IV22.7%21.5%24.5%22.0%22.0%
Expected Move6.6%6.0%7.0%6.6%6.0%
HV 20d15.1%10.3%24.5%24.5%10.6%
HV 60d22.8%20.9%24.8%24.8%20.9%
IV Rank14.7%13.1%17.1%13.9%13.1%
IV Percentile24.9%15.5%38.5%23.0%15.5%
Term Structure0.7%-0.8%2.9%2.4%0.7%
VWIV24.1%22.3%26.2%25.2%22.3%
Skew 25d4.5%3.8%6.0%4.2%4.2%
Skew 10d9.7%7.8%12.3%7.8%8.4%
Call IV 25d21.2%19.1%23.2%20.7%20.4%
Put IV 25d25.7%22.9%28.0%24.9%24.6%
Bid-Ask Spread %11.222.7623.072.765.92
Gamma HHI0.150.110.330.130.33
Net GEX16.7M-102.6K51.8M17.2M51.8M
Net DEX-672.6M-955.9M-299.7M-782.2M-395.1M
Net VEX-2.4M-3.0M-2.1M-2.8M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.384.791.302.04
Total Volume14,459.0453,19963,67623,34111,422
Total OI420,045319,241483,130456,175343,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$87.87$84.0022.0%6.6%24.5%13.9%25.2%4.2%2.4%17.2M-782.2M-2.8M1.302.7610,15813,183192,239263,936
2020-12-02$88.09$84.5021.9%6.7%22.2%13.7%25.2%4.0%1.1%14.4M-795.2M-3.0M3.403.222,6168,887195,439273,762
2020-12-03$88.23$76.0021.9%6.9%21.6%13.8%25.9%4.2%2.9%11.7M-813.1M-2.9M0.849.376,9985,891196,578278,046
2020-12-04$89.22$76.0021.5%6.6%21.1%13.3%22.9%3.8%2.4%21.3M-930.8M-2.7M1.666.025,1958,608194,630279,119
2020-12-07$88.62$76.0023.2%6.9%21.5%15.4%24.4%4.1%0.6%14.0M-845.2M-2.7M2.196.923,3367,321191,430272,993
2020-12-08$89.15$76.0023.6%6.7%17.1%15.9%24.7%5.3%-0.8%21.2M-920.3M-2.6M2.9213.963,2179,398192,282270,597
2020-12-09$89.37$76.0022.6%6.8%16.9%14.7%24.0%4.3%1.0%24.4M-955.9M-2.5M2.4421.922,3605,762193,762278,741
2020-12-10$88.58$76.0023.4%6.7%16.7%15.6%24.4%4.2%-0.1%11.3M-849.2M-2.6M3.2012.195,03516,133193,248281,450
2020-12-11$88.81$77.0023.3%6.9%15.7%15.6%25.1%6.0%1.1%16.5M-861.6M-2.6M4.7917.481,2115,797193,976286,869
2020-12-14$87.81$77.0024.5%7.0%14.2%17.1%25.5%4.8%0.0%4.6M-722.5M-2.5M1.4822.521,2921,907190,620280,301
2020-12-15$88.76$77.0023.0%6.6%12.8%15.2%23.9%4.8%-0.1%17.3M-860.9M-2.3M1.7915.674,3307,731190,861281,339
2020-12-16$88.45$77.0023.2%6.7%12.9%15.5%23.3%4.4%-0.1%13.2M-838.5M-2.3M1.2223.074,9145,971193,568284,761
2020-12-17$88.76$78.0022.3%6.4%12.9%14.3%22.6%4.1%-0.0%21.1M-893.3M-2.2M3.0814.582,1986,775195,634287,496
2020-12-18$88.53$78.0022.1%6.3%12.9%14.0%23.5%4.3%0.2%9.1M-875.1M-2.2M0.3813.3846,18117,495195,484284,164
2020-12-21$87.77$81.0023.7%6.8%13.1%16.1%24.2%5.3%0.4%13.7M-336.4M-2.4M0.939.826,8166,368136,162183,079
2020-12-22$87.56$81.0023.6%6.8%12.1%15.9%26.2%5.0%0.5%11.4M-324.4M-2.3M2.0514.431,9453,980134,158185,259
2020-12-23$88.26$81.0022.6%6.5%10.6%14.4%23.5%4.5%0.5%19.6M-390.3M-2.3M1.576.571,5882,491135,251187,454
2020-12-24$87.84$81.0022.3%6.3%10.5%14.0%23.5%4.5%0.5%13.3M-352.5M-2.2M2.286.411,1882,711135,851188,036
2020-12-28$88.12$81.0022.1%6.2%10.5%13.2%22.9%4.1%0.7%23.1M-386.5M-2.1M2.057.839,60819,713134,657185,134
2020-12-29$87.59$82.0022.4%6.3%10.3%13.7%22.8%4.4%0.7%-102.6K-299.7M-2.2M1.796.676,97112,499140,139201,124
2020-12-30$88.08$81.0022.6%6.5%10.5%14.0%24.0%4.5%0.4%17.4M-367.5M-2.1M3.216.152,5868,313140,330197,562
2020-12-31$88.49$82.0022.0%6.0%10.6%13.1%22.3%4.2%0.7%51.8M-395.1M-2.1M2.045.923,7577,665140,392203,077