XLI Options History — April 2021

In April 2021, XLI traded between $98.53 and $102.58. ATM implied volatility averaged 16.9%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.7% (HV 20d: 13.1%). Max pain ranged from $93.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.44.

Notable Days

  • 2021-04-20: Highest Volume — 92,253 contracts
  • 2021-04-28: Largest IV drop — 10.3% change
  • 2021-04-30: Highest IV Rank — 7.4%
  • 2021-04-20: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.70$98.53$102.58$98.53$101.72
Max Pain$98.38$93.00$100.00$93.00$100.00
ATM IV16.9%15.6%18.1%17.3%17.5%
Expected Move4.8%4.5%5.2%4.6%4.8%
HV 20d13.1%10.4%17.2%17.2%11.1%
HV 60d17.2%14.8%18.3%18.3%15.0%
IV Rank1.9%0.0%7.4%0.0%7.4%
IV Percentile1.9%0.0%7.1%0.0%7.1%
Term Structure0.1%-0.2%0.6%0.1%0.0%
VWIV18.8%16.0%23.6%16.0%20.2%
Skew 25d4.2%2.8%6.1%3.0%5.6%
Skew 10d9.7%4.0%17.2%4.3%12.5%
Call IV 25d15.7%14.8%16.4%16.4%15.4%
Put IV 25d19.8%18.7%21.8%19.4%21.0%
Bid-Ask Spread %19.928.1447.1012.1717.16
Gamma HHI0.120.060.220.220.08
Net GEX39.2M3.6M101.8M101.8M7.5M
Net DEX-575.6M-851.9M-352.2M-563.9M-369.6M
Net VEX-3.6M-4.4M-3.1M-3.3M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.438.092.011.51
Total Volume23,013.815,01992,25337,49719,918
Total OI351,938.143303,977408,427330,942408,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$98.53$93.0017.3%4.6%17.2%0.0%16.0%3.0%0.1%101.8M-563.9M-3.3M2.0112.1712,47325,024150,442180,500
2021-04-05$99.99$96.0017.2%5.0%15.8%0.0%17.9%3.4%0.1%54.7M-672.9M-3.2M0.6136.014,5452,757147,964178,407
2021-04-06$99.76$96.0017.0%5.0%15.4%0.0%17.8%2.9%0.1%63.1M-705.6M-3.1M1.1813.294,2765,040153,297184,250
2021-04-07$99.30$95.0017.0%5.0%15.2%0.1%17.3%2.8%0.2%59.9M-607.7M-3.3M1.7223.1012,00820,659153,477189,881
2021-04-08$99.49$97.0017.0%5.0%14.7%0.0%16.1%2.9%0.1%61.5M-642.1M-3.4M1.1819.065,2036,133159,335196,770
2021-04-09$100.31$97.0016.6%4.8%14.9%0.0%17.2%3.1%0.3%59.3M-751.3M-3.3M0.7310.839,6797,047158,964201,681
2021-04-12$100.90$98.0016.9%4.9%14.4%0.8%17.8%3.3%0.2%59.1M-760.7M-3.4M0.4327.213,5211,498157,479190,200
2021-04-13$100.47$98.0016.7%4.9%14.5%0.2%17.2%3.3%0.3%63.6M-737.4M-3.4M2.8011.398,41623,594158,830191,070
2021-04-14$100.55$98.0017.0%4.8%13.6%1.2%16.9%4.0%-0.2%65.9M-751.5M-3.4M0.878.146,4965,640161,209196,846
2021-04-15$101.01$99.0016.1%4.7%13.4%0.0%19.3%3.9%0.3%69.2M-783.3M-3.4M0.7647.109,2867,054160,333202,092
2021-04-16$101.24$99.0016.1%4.7%13.4%0.0%17.6%3.4%0.1%38.3M-851.9M-3.4M2.0419.528,84318,071163,274207,651
2021-04-19$100.58$100.0017.2%4.9%13.7%3.4%21.1%4.5%0.4%22.7M-464.1M-3.5M2.1410.144,99610,681125,922178,055
2021-04-20$99.59$100.0018.1%5.2%13.7%6.1%17.8%4.9%-0.1%12.7M-352.2M-3.5M4.7630.5816,00676,247130,076185,257
2021-04-21$100.92$100.0016.6%4.8%11.4%1.6%18.6%4.3%0.1%17.8M-421.3M-3.9M3.2023.166,15019,671127,719203,775
2021-04-22$100.65$100.0017.3%4.9%11.0%4.2%18.5%5.5%0.6%14.3M-374.9M-4.1M3.5218.994,58516,158131,988212,828
2021-04-23$101.63$100.0016.3%4.6%10.9%0.5%19.8%5.0%0.4%26.5M-501.8M-4.0M1.7212.175,8079,986133,317226,514
2021-04-26$101.42$100.0017.5%5.1%10.4%5.6%21.4%5.4%-0.2%6.3M-375.7M-4.2M5.9114.932,98217,609126,848223,422
2021-04-27$102.16$100.0017.4%4.9%10.4%5.0%23.6%6.1%-0.2%9.9M-471.1M-4.0M8.0933.892,57520,823126,883234,255
2021-04-28$101.99$100.0015.6%4.8%10.4%0.0%23.4%5.3%-0.0%3.6M-434.8M-4.0M4.6916.923,24315,202127,777252,082
2021-04-29$102.58$100.0016.3%4.5%10.5%2.8%18.9%5.0%0.0%5.7M-494.2M-4.0M1.4512.459,53713,851127,924263,680
2021-04-30$101.72$100.0017.5%4.8%11.1%7.4%20.2%5.6%0.0%7.5M-369.6M-4.4M1.5117.167,93111,987134,438273,989