XLI Options History — August 2021

In August 2021, XLI traded between $102.33 and $105.31. ATM implied volatility averaged 16.2%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.8% (HV 20d: 14.5%). Max pain ranged from $98.00 to $102.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2021-08-19: Highest Volume — 36,002 contracts
  • 2021-08-20: Largest IV drop — 14.7% change
  • 2021-08-19: Highest IV Rank — 23.3%
  • 2021-08-19: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.97$102.33$105.31$102.69$104.47
Max Pain$99.09$98.00$102.00$102.00$100.00
ATM IV16.2%14.4%20.0%18.4%14.6%
Expected Move4.6%3.9%5.7%5.1%3.9%
HV 20d14.5%10.7%19.1%18.8%11.1%
HV 60d14.5%14.0%15.9%15.8%14.2%
IV Rank7.0%0.0%23.3%16.3%1.1%
IV Percentile12.1%0.0%38.1%29.4%0.4%
Term Structure0.3%-0.5%1.1%-0.2%0.4%
VWIV17.6%14.8%22.8%18.0%18.4%
Skew 25d4.4%3.1%5.3%5.3%3.6%
Skew 10d9.5%6.2%14.3%9.5%6.4%
Call IV 25d14.7%13.2%17.5%16.3%13.5%
Put IV 25d19.1%16.6%22.7%21.6%17.1%
Bid-Ask Spread %15.717.5139.3139.3114.31
Gamma HHI0.060.050.090.060.06
Net GEX29.6M2.3M65.3M7.4M29.6M
Net DEX-405.0M-669.9M-145.1M-223.0M-404.8M
Net VEX-4.4M-5.0M-4.0M-5.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.243.331.382.28
Total Volume16,595.8645,61736,0028,65613,694
Total OI436,289.045397,544471,266418,777423,552

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$102.69$102.0018.4%5.1%18.8%16.3%18.0%5.3%-0.2%7.4M-223.0M-5.0M1.3839.313,6415,015159,737259,040
2021-08-03$103.94$102.0017.4%4.8%19.0%12.0%18.5%5.2%-0.1%16.2M-370.0M-4.9M0.8821.922,9952,622162,094269,989
2021-08-04$102.77$102.0017.4%4.8%19.1%12.1%17.5%5.1%-0.1%2.3M-205.2M-4.9M2.1720.313,0486,605162,316272,991
2021-08-05$103.06$98.0016.8%4.9%18.2%9.3%18.7%4.8%-0.0%11.8M-282.0M-4.7M1.3710.703,4044,653164,026273,137
2021-08-06$103.44$98.0015.8%4.8%17.1%4.8%16.2%4.0%0.2%22.3M-352.6M-4.6M0.9911.2912,28412,185165,086275,278
2021-08-09$103.13$98.0016.0%4.7%17.1%5.9%16.8%4.5%0.3%23.8M-332.7M-4.4M2.2213.752,2985,106161,998261,466
2021-08-10$104.12$98.0015.8%4.7%17.2%5.1%16.3%4.8%0.5%35.7M-465.1M-4.5M1.0814.459,91110,738165,187268,480
2021-08-11$105.31$98.0015.6%4.7%17.5%4.0%15.8%4.4%0.7%49.8M-624.3M-4.4M0.2414.2326,0326,177166,473269,280
2021-08-12$105.31$98.0015.4%4.7%17.6%3.2%18.9%4.3%1.1%54.3M-651.7M-4.3M0.8416.9715,82613,358168,520283,198
2021-08-13$105.05$98.0014.9%4.4%17.3%0.8%20.5%4.2%0.6%61.0M-648.6M-4.4M2.897.813,3849,772179,095286,122
2021-08-16$105.22$98.0015.3%4.4%14.2%2.9%17.4%3.8%0.7%65.3M-669.9M-4.3M0.9917.984,2764,236178,087276,313
2021-08-17$103.98$98.0017.0%4.9%10.9%10.1%18.4%4.8%0.3%40.9M-455.0M-4.5M3.019.035,04515,196181,505279,204
2021-08-18$103.38$98.0017.9%5.1%10.7%14.4%19.0%4.8%-0.5%31.0M-357.0M-4.5M1.4011.984,0905,722182,371281,861
2021-08-19$102.33$98.0020.0%5.7%11.3%23.3%22.8%5.1%0.1%7.6M-145.1M-4.6M3.3326.688,31927,683181,441284,803
2021-08-20$102.74$98.0017.0%4.8%11.3%10.4%18.4%4.6%0.6%8.9M-231.4M-4.4M0.649.7214,3479,198182,776288,490
2021-08-23$103.59$99.0015.9%4.4%11.7%5.4%15.1%4.1%0.2%15.0M-295.9M-4.2M2.0512.786,21612,752148,952248,592
2021-08-24$103.99$99.0015.5%4.2%11.6%3.6%14.8%3.8%0.1%24.5M-360.7M-4.1M1.3014.025,2966,904154,104250,835
2021-08-25$104.65$100.0015.1%4.1%11.7%1.8%15.0%3.9%0.3%37.3M-457.4M-4.0M2.527.512,6606,701157,430257,491
2021-08-26$104.13$100.0016.2%4.5%11.6%6.9%17.3%4.1%0.1%26.0M-382.8M-4.1M1.2419.0412,15715,038159,697262,077
2021-08-27$105.05$100.0014.4%3.9%11.9%0.0%18.2%3.5%0.4%40.4M-507.4M-4.0M2.339.155,81513,554160,238267,021
2021-08-30$104.88$100.0014.7%3.9%11.7%1.4%16.1%3.1%0.2%40.3M-487.0M-4.0M0.6622.764,3052,851155,806262,200
2021-08-31$104.47$100.0014.6%3.9%11.1%1.1%18.4%3.6%0.4%29.6M-404.8M-4.1M2.2814.314,1759,519157,151266,401