XLI Options History — March 2021

In March 2021, XLI traded between $91.17 and $98.74. ATM implied volatility averaged 21.9%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.9% (HV 20d: 19.0%). Max pain ranged from $87.00 to $93.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2021-03-08: Highest Volume — 58,290 contracts
  • 2021-03-05: Largest IV drop — 13.1% change
  • 2021-03-04: Highest IV Rank — 8.4%
  • 2021-03-04: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.73$91.17$98.74$93.05$98.58
Max Pain$90.98$87.00$93.00$87.00$93.00
ATM IV21.9%18.3%26.4%22.4%18.3%
Expected Move6.3%5.1%7.6%6.5%5.1%
HV 20d19.0%13.8%21.6%15.5%19.6%
HV 60d18.1%16.6%19.0%16.6%18.3%
IV Rank2.6%0.0%8.4%2.5%0.0%
IV Percentile12.4%0.0%46.0%11.1%0.0%
Term Structure-0.1%-1.0%0.8%-0.8%-0.1%
VWIV22.1%17.1%26.9%23.7%17.1%
Skew 25d3.5%2.0%5.7%2.5%3.1%
Skew 10d7.6%-7.0%14.8%7.5%5.0%
Call IV 25d20.9%17.5%25.2%21.7%17.5%
Put IV 25d24.3%20.7%30.4%24.2%20.7%
Bid-Ask Spread %26.8310.8953.0740.5120.47
Gamma HHI0.100.070.120.100.10
Net GEX26.7M-4.3M51.4M19.4M51.4M
Net DEX-527.6M-817.8M-146.1M-406.6M-556.9M
Net VEX-3.2M-3.4M-2.6M-2.6M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.053.260.160.44
Total Volume20,313.5656,77058,29023,57515,279
Total OI289,386.087239,609333,566239,609324,102

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$93.05$87.0022.4%6.5%15.5%2.5%23.7%2.5%-0.8%19.4M-406.6M-2.6M0.1640.5120,2633,312120,986118,623
2021-03-02$92.95$87.0022.1%6.4%15.6%2.2%22.9%2.8%-0.2%20.5M-434.9M-2.8M1.5942.433,9536,301131,267122,529
2021-03-03$93.26$88.0024.2%7.0%13.8%5.2%23.8%3.3%-1.0%21.0M-455.1M-3.0M1.6441.026,0599,911136,351124,353
2021-03-04$91.17$91.0026.4%7.6%16.5%8.4%26.9%5.2%-0.3%10.0M-273.3M-3.2M3.2653.075,50417,927138,107133,906
2021-03-05$93.49$91.0022.9%6.6%18.3%3.4%23.2%2.0%-1.0%24.6M-475.4M-3.1M1.0645.955,3275,631143,484140,721
2021-03-08$94.84$91.0025.8%7.3%18.7%7.6%25.6%4.6%0.3%21.1M-550.8M-3.2M0.0527.5755,6682,622142,703142,094
2021-03-09$94.22$91.0024.0%6.8%19.0%5.0%25.0%3.5%-0.4%26.3M-528.6M-3.3M0.9540.303,4733,297153,326142,712
2021-03-10$95.44$91.0023.0%6.7%19.3%3.4%23.3%3.3%0.1%32.5M-628.3M-3.3M0.4817.5610,1184,855155,392145,550
2021-03-11$95.52$91.0022.4%6.5%19.1%2.6%22.4%3.3%0.8%34.6M-640.8M-3.3M0.1018.927,614756161,290148,742
2021-03-12$96.81$91.0022.5%6.5%19.4%2.8%22.4%5.7%0.5%41.7M-756.6M-3.3M0.3017.0710,5893,133164,793148,877
2021-03-15$97.38$91.0022.5%6.4%19.4%2.7%22.8%3.3%-0.6%43.9M-817.8M-3.1M0.2236.8511,5392,546167,975141,102
2021-03-16$96.23$91.0022.5%6.4%20.2%2.7%22.8%3.3%-0.0%44.5M-722.0M-3.1M1.9925.3510,51420,930169,324141,670
2021-03-17$97.10$91.0020.8%6.0%20.1%0.3%21.0%2.9%0.2%39.2M-767.5M-3.1M0.3822.636,8432,628169,590150,599
2021-03-18$97.08$91.0022.2%6.4%20.0%2.3%21.6%3.2%-0.6%36.6M-759.1M-3.1M0.9316.3817,64316,361169,164153,180
2021-03-19$97.17$91.0020.8%6.0%19.5%0.3%21.3%3.6%-0.3%21.0M-726.2M-3.2M0.3425.7412,1574,155170,039163,527
2021-03-22$96.19$92.0019.8%5.6%20.0%0.0%20.9%2.9%0.4%12.2M-334.6M-3.2M2.2424.622,8606,415127,129120,298
2021-03-23$94.23$92.0020.3%5.7%21.6%1.2%20.0%2.9%0.3%-4.3M-146.1M-3.1M2.2121.303,9458,715127,790123,232
2021-03-24$95.52$92.0021.0%6.0%21.2%2.5%20.1%3.2%0.2%-214.3K-257.5M-3.2M2.6512.857,99521,153128,204125,255
2021-03-25$96.56$92.0021.0%6.0%20.1%2.6%22.6%4.1%-0.0%15.3M-361.5M-3.3M1.4013.004,3506,100133,437135,976
2021-03-26$97.74$92.0020.2%5.8%20.3%1.0%19.8%3.7%0.1%31.8M-467.4M-3.2M3.1713.5713,28242,094134,150139,591
2021-03-29$98.44$92.5019.6%5.5%19.5%0.0%20.6%3.8%0.1%27.7M-505.3M-3.3M0.1028.9529,4512,823133,460172,898
2021-03-30$98.74$93.0019.2%5.5%19.5%0.0%18.7%3.6%0.3%43.1M-561.9M-3.4M0.5510.897,1643,957143,698174,684
2021-03-31$98.58$93.0018.3%5.1%19.6%0.0%17.1%3.1%-0.1%51.4M-556.9M-3.3M0.4420.4710,5994,680147,108176,994