XLI Options History — May 2021

In May 2021, XLI traded between $101.70 and $105.77. ATM implied volatility averaged 18.3%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.5% (HV 20d: 14.8%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.96.

Notable Days

  • 2021-05-10: Highest Volume — 85,808 contracts
  • 2021-05-19: Largest IV spike — 20.6% change
  • 2021-05-12: Highest IV Rank — 31.7%
  • 2021-05-12: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.77$101.70$105.77$103.01$105.19
Max Pain$96.05$95.00$100.00$100.00$99.00
ATM IV18.3%15.3%23.7%17.4%15.3%
Expected Move5.2%4.3%6.8%5.1%4.3%
HV 20d14.8%10.4%17.4%10.8%17.0%
HV 60d15.9%15.0%17.0%15.1%15.2%
IV Rank10.4%0.0%31.7%7.2%0.0%
IV Percentile10.2%0.0%45.6%7.1%0.0%
Term Structure0.1%-1.3%1.5%-0.3%0.4%
VWIV21.3%17.2%27.8%20.8%17.2%
Skew 25d5.5%3.7%8.3%5.4%3.9%
Skew 10d11.7%6.4%18.6%10.2%6.4%
Call IV 25d16.4%14.2%20.3%15.7%14.2%
Put IV 25d21.9%18.1%28.6%21.1%18.1%
Bid-Ask Spread %29.133.1965.3218.934.03
Gamma HHI0.080.060.210.070.21
Net GEX17.9M-16.8M74.8M599.1K74.8M
Net DEX-480.8M-752.8M-176.1M-435.5M-640.4M
Net VEX-4.3M-5.1M-3.6M-4.1M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.406.191.900.65
Total Volume29,984.755,84885,80832,17615,776
Total OI493,077.1397,430569,788397,430500,550

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$103.01$100.0017.4%5.1%10.8%7.2%20.8%5.4%-0.3%599.1K-435.5M-4.1M1.9018.9311,09921,077128,183269,247
2021-05-04$103.19$100.0018.5%5.4%10.7%11.5%26.7%5.5%-0.1%725.0K-463.3M-4.2M3.0728.223,84811,818133,665285,129
2021-05-05$103.58$100.0017.9%5.1%10.4%9.0%22.3%5.4%0.2%6.8M-510.0M-4.1M2.1939.746,74014,747134,297289,472
2021-05-06$103.98$95.0017.1%4.9%10.4%6.0%18.6%4.9%0.5%9.3M-536.4M-4.2M1.4642.608,14211,872137,293302,584
2021-05-07$105.28$95.0015.8%4.9%10.9%0.8%19.1%4.3%0.5%28.9M-747.4M-3.6M1.8926.8210,79920,452139,564310,068
2021-05-10$105.77$95.0017.4%5.0%10.8%6.9%18.5%4.9%0.3%24.6M-752.8M-3.8M0.4050.9461,35224,456144,553305,666
2021-05-11$103.69$95.0019.8%5.4%13.2%16.2%19.6%6.7%-0.6%13.7M-468.7M-4.6M0.4355.8128,66212,205189,190311,078
2021-05-12$101.70$95.0023.7%6.8%15.2%31.7%27.8%8.3%0.5%-16.3M-176.1M-4.9M0.9465.3238,40736,166191,478313,730
2021-05-13$103.76$95.0020.5%5.7%16.6%19.0%25.9%7.3%-0.5%22.5M-450.7M-5.1M2.5029.277,76319,371207,515338,647
2021-05-14$104.69$95.0018.2%5.2%16.9%10.1%19.5%5.8%-0.5%37.2M-611.6M-4.8M0.4537.616,0482,695197,165347,312
2021-05-17$104.47$95.0018.7%5.4%16.6%12.0%24.1%6.5%0.2%35.4M-565.6M-4.6M4.4146.182,95713,034193,930336,995
2021-05-18$103.41$95.0017.8%5.1%16.7%8.5%19.7%6.9%0.9%16.9M-455.3M-4.5M1.8119.949,88617,929194,815343,773
2021-05-19$101.99$95.0021.4%6.2%17.0%22.8%24.2%7.0%-1.2%-16.8M-199.2M-4.6M0.8429.9018,51615,542193,961357,632
2021-05-20$102.62$95.0020.1%5.8%17.1%17.6%22.1%5.8%-1.3%6.4M-348.3M-4.5M1.7122.518,31214,178198,029360,431
2021-05-21$103.03$95.0017.8%5.0%16.8%8.6%24.2%4.6%1.5%15.9M-416.3M-4.4M6.1950.364,71829,217200,711369,077
2021-05-24$103.78$95.0017.0%4.7%16.9%5.6%17.8%4.7%0.2%16.5M-414.9M-4.1M1.313.195,1286,706164,246308,553
2021-05-25$103.45$95.0017.3%5.0%16.8%6.8%20.3%4.8%0.2%12.9M-404.0M-3.9M0.664.5225,29616,785167,658313,268
2021-05-26$103.69$96.0016.6%4.5%16.8%4.0%18.2%3.9%0.1%16.1M-407.5M-4.1M3.213.431,3904,458167,938322,708
2021-05-27$105.17$96.0016.7%4.5%17.4%4.3%19.6%3.7%-0.0%51.2M-611.6M-3.8M3.183.287,70024,448167,874323,557
2021-05-28$105.19$99.0015.3%4.3%17.0%0.0%17.2%3.9%0.4%74.8M-640.4M-3.6M0.654.039,5676,209169,685330,865