XLI Options History — July 2021

In July 2021, XLI traded between $99.44 and $103.67. ATM implied volatility averaged 17.3%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.5% (HV 20d: 15.9%). Max pain ranged from $102.00 to $103.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2021-07-20: Highest Volume — 35,775 contracts
  • 2021-07-19: Largest IV spike — 28.4% change
  • 2021-07-19: Highest IV Rank — 32.4%
  • 2021-07-19: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.82$99.44$103.67$103.03$103.26
Max Pain$102.19$102.00$103.00$102.00$102.00
ATM IV17.3%14.7%22.0%15.4%17.6%
Expected Move4.9%3.8%6.3%3.9%5.1%
HV 20d15.9%11.8%18.9%11.8%18.7%
HV 60d14.7%13.2%16.0%13.2%15.8%
IV Rank11.8%0.0%32.4%2.7%12.8%
IV Percentile18.2%0.0%40.5%1.6%25.0%
Term Structure0.0%-0.5%0.5%0.2%0.3%
VWIV18.8%14.5%24.7%14.5%20.0%
Skew 25d4.8%2.6%8.0%3.2%5.2%
Skew 10d10.4%5.8%17.7%8.8%10.8%
Call IV 25d15.7%13.9%19.0%14.5%15.9%
Put IV 25d20.6%16.5%26.9%17.7%21.1%
Bid-Ask Spread %20.779.1356.419.6533.94
Gamma HHI0.060.050.070.070.06
Net GEX12.3M-15.9M31.9M31.9M18.0M
Net DEX-248.7M-402.5M161.2M-305.9M-343.2M
Net VEX-4.8M-5.4M-4.1M-4.3M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.505.530.752.50
Total Volume20,829.4767,52835,7759,39027,135
Total OI412,076.619363,400449,085372,933449,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$103.03$102.0015.4%3.9%11.8%2.7%14.5%3.2%0.2%31.9M-305.9M-4.3M0.759.655,3754,015139,081233,852
2021-07-02$103.31$102.0014.7%3.8%11.8%0.0%14.5%2.6%0.4%24.7M-352.3M-4.1M4.5812.394,89722,443140,305236,015
2021-07-06$102.33$102.0016.1%4.7%11.9%6.1%18.7%3.3%0.2%7.7M-195.4M-4.2M2.739.136,53717,875134,381229,019
2021-07-07$103.34$102.0015.9%4.7%12.5%5.3%19.8%3.2%0.2%16.4M-323.4M-4.2M1.6231.125,1978,431138,479242,871
2021-07-08$101.66$102.0018.3%5.1%13.3%15.9%20.6%4.0%-0.2%-13.7M-47.8M-4.7M2.6956.419,35125,169141,842246,097
2021-07-09$103.48$102.0016.4%4.9%14.7%7.8%16.2%3.9%0.3%14.6M-304.9M-4.4M0.6412.1318,75712,028138,884256,646
2021-07-12$103.58$102.0016.5%4.7%14.7%8.1%16.6%4.3%-0.3%19.5M-323.1M-4.3M1.6513.294,2386,989145,150255,339
2021-07-13$102.74$102.0017.0%4.8%14.9%10.3%17.1%4.3%-0.3%2.1M-180.3M-4.5M1.1113.553,5733,955145,912259,119
2021-07-14$102.63$103.0016.4%4.6%14.8%7.5%17.8%4.4%-0.2%4.6M-184.9M-4.4M0.5013.0615,0127,502147,485261,247
2021-07-15$102.77$102.0016.3%4.7%14.5%7.3%18.8%4.4%0.1%7.3M-207.3M-4.8M0.7221.4813,4159,705159,685264,533
2021-07-16$101.92$103.0017.2%4.9%13.7%10.9%18.1%5.0%0.1%3.5M-110.7M-5.1M1.2114.6911,49613,936176,537271,462
2021-07-19$99.44$103.0022.0%6.3%15.9%32.4%24.1%8.0%-0.3%-15.9M161.2M-5.3M3.7739.405,77121,779155,053233,178
2021-07-20$102.49$103.0019.9%5.7%18.7%23.0%24.7%7.7%-0.5%5.3M-196.1M-5.4M1.8613.3812,50923,266158,706242,842
2021-07-21$103.42$102.0018.6%5.3%18.9%17.4%18.5%5.6%-0.5%14.1M-349.4M-5.3M1.7314.065,5239,574165,573262,590
2021-07-22$103.23$102.0017.5%5.0%18.9%12.6%17.9%5.7%0.2%15.9M-321.0M-5.4M2.1017.445,17610,883168,922269,432
2021-07-23$103.67$102.0016.7%4.7%18.8%9.1%18.6%4.7%0.5%30.9M-402.5M-5.3M1.5812.155,9429,364171,188275,843
2021-07-26$103.45$102.0017.8%5.2%18.9%13.9%21.8%5.5%-0.0%21.2M-342.2M-5.2M1.0540.1016,84617,707163,795261,954
2021-07-27$102.88$102.0019.0%5.4%18.8%19.1%19.6%6.1%0.1%14.1M-256.3M-5.3M5.5318.621,84610,203164,683265,768
2021-07-28$102.91$102.0017.8%5.1%18.8%13.9%19.2%5.5%0.3%14.0M-252.0M-5.3M0.8116.707,1085,765170,419266,804
2021-07-29$103.67$102.0017.2%4.7%18.7%11.1%18.5%5.0%0.2%22.4M-385.1M-5.1M2.3023.443,3707,756171,454272,379
2021-07-30$103.26$102.0017.6%5.1%18.7%12.8%20.0%5.2%0.3%18.0M-343.2M-5.0M2.5033.947,74419,391174,594274,491