XLI Options History — June 2021

In June 2021, XLI traded between $100.02 and $105.56. ATM implied volatility averaged 16.0%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.9% (HV 20d: 13.1%). Max pain ranged from $99.00 to $104.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2021-06-17: Highest Volume — 54,415 contracts
  • 2021-06-10: Largest IV drop — 10.6% change
  • 2021-06-18: Highest IV Rank — 13.4%
  • 2021-06-18: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.02$100.02$105.56$105.56$102.49
Max Pain$102.77$99.00$104.00$99.00$102.00
ATM IV16.0%14.8%17.8%16.4%15.8%
Expected Move4.6%4.3%5.2%4.4%4.3%
HV 20d13.1%10.8%16.7%16.5%11.6%
HV 60d13.7%13.1%14.4%14.4%13.2%
IV Rank4.2%0.0%13.4%4.3%4.3%
IV Percentile3.9%0.0%17.5%2.8%5.6%
Term Structure0.3%-0.5%1.3%-0.2%0.3%
VWIV16.9%14.8%21.5%21.5%16.0%
Skew 25d3.8%2.9%4.6%3.8%3.4%
Skew 10d7.8%5.5%10.3%10.2%8.6%
Call IV 25d14.9%13.9%16.2%15.2%14.8%
Put IV 25d18.6%17.1%20.6%19.0%18.2%
Bid-Ask Spread %18.614.3769.295.429.50
Gamma HHI0.100.050.470.140.07
Net GEX-6.9M-65.0M91.9M33.1M20.3M
Net DEX-247.3M-562.5M210.7M-562.5M-220.1M
Net VEX-4.1M-4.5M-3.6M-3.7M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.364.984.981.26
Total Volume22,797.7735,60554,41516,1315,605
Total OI418,280.409329,048511,309411,696368,836

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$105.56$99.0016.4%4.4%16.5%4.3%21.5%3.8%-0.2%33.1M-562.5M-3.7M4.985.422,69713,434130,914280,782
2021-06-02$105.10$100.0017.0%4.7%16.7%6.5%18.1%4.1%-0.1%27.2M-522.2M-3.6M1.334.373,8385,104131,550290,216
2021-06-03$104.97$104.0016.7%4.8%16.6%5.3%17.0%4.6%0.1%21.2M-461.7M-3.9M1.438.534,0545,801131,826293,672
2021-06-04$105.37$104.0015.7%4.6%16.6%1.7%16.6%4.5%-0.4%4.9M-488.4M-3.7M0.7110.5719,83214,051132,446297,089
2021-06-07$104.58$104.0015.9%4.7%16.3%2.4%18.2%4.3%0.4%-9.8M-429.7M-3.8M0.507.356,6213,312122,998292,939
2021-06-08$104.94$104.0015.6%4.6%16.2%1.4%16.8%3.7%0.5%-4.8M-459.6M-3.8M0.365.1318,4586,713128,683298,209
2021-06-09$103.91$104.0016.9%4.9%15.0%6.1%18.2%3.8%0.1%-16.1M-385.2M-3.8M0.685.3110,8027,350138,682305,801
2021-06-10$103.31$104.0015.1%4.6%13.3%0.0%16.8%3.7%1.0%-25.2M-320.7M-3.9M1.4235.1215,26721,686144,526310,832
2021-06-11$103.38$104.0014.8%4.4%11.2%0.0%16.3%3.1%0.7%-27.9M-362.6M-3.8M3.5010.047,09224,855148,985323,971
2021-06-14$102.88$104.0015.6%4.5%10.8%2.8%16.7%3.7%0.1%-41.8M-276.5M-4.0M2.9520.724,22512,480146,712331,790
2021-06-15$103.49$104.0015.7%4.5%11.0%3.5%16.8%3.2%-0.0%-45.3M-318.3M-3.8M1.6719.754,8678,114147,733342,352
2021-06-16$102.62$104.0015.8%4.5%10.9%4.1%16.6%3.9%1.3%-59.9M-152.5M-4.2M0.5069.2919,0049,423149,376343,042
2021-06-17$101.06$104.0016.2%4.6%11.1%6.0%16.3%3.9%-0.4%-65.0M8.8M-4.2M2.1512.8017,27137,144155,165344,628
2021-06-18$100.02$102.0017.8%5.2%11.3%13.4%18.9%4.4%-0.5%91.9M210.7M-4.3M3.0736.838,61826,465162,198349,111
2021-06-21$101.41$102.0016.9%4.9%12.4%9.2%17.5%4.4%0.5%-19.2M12.3M-4.3M0.3717.0017,4096,488107,791221,257
2021-06-22$101.76$102.0015.7%4.4%12.2%3.7%16.9%3.9%0.6%-10.4M-82.5M-4.4M0.9512.505,4795,228120,155225,076
2021-06-23$101.60$102.0015.5%4.3%12.2%3.0%15.7%3.6%0.5%-9.7M-75.9M-4.3M1.8812.849,11417,149122,711227,897
2021-06-24$102.19$102.0015.6%4.3%12.3%3.5%15.4%3.1%0.5%-8.4M-147.4M-4.2M0.669.9511,6507,714122,415230,303
2021-06-25$102.38$102.0015.3%4.3%11.1%1.9%14.8%2.9%0.7%-19.3M-163.9M-4.5M0.4849.3722,63310,828128,025235,246
2021-06-28$101.78$102.0015.6%4.3%11.2%3.4%15.2%3.4%0.3%11.0M-139.1M-4.4M1.8310.593,5296,470132,926223,271
2021-06-29$101.59$102.0016.2%4.3%11.0%6.0%15.0%3.3%0.3%2.0M-103.0M-4.3M1.9636.4411,36722,310131,244228,788
2021-06-30$102.49$102.0015.8%4.3%11.6%4.3%16.0%3.4%0.3%20.3M-220.1M-4.4M1.269.502,4793,126137,309231,527