XLI Options History — October 2021

In October 2021, XLI traded between $98.91 and $104.98. ATM implied volatility averaged 17.1%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.8% (HV 20d: 14.4%). Max pain ranged from $101.00 to $102.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2021-10-22: Highest Volume — 54,115 contracts
  • 2021-10-14: Largest IV drop — 11.0% change
  • 2021-10-04: Highest IV Rank — 35.2%
  • 2021-10-04: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.21$98.91$104.98$99.17$104.42
Max Pain$101.05$101.00$102.00$101.00$102.00
ATM IV17.1%14.0%22.4%20.4%15.6%
Expected Move4.9%4.0%6.2%5.7%4.4%
HV 20d14.4%11.5%15.9%15.5%11.5%
HV 60d13.7%12.5%15.1%15.1%13.0%
IV Rank12.5%0.0%35.2%26.5%6.9%
IV Percentile24.5%0.0%67.5%50.0%11.9%
Term Structure0.1%-0.5%1.0%0.4%1.0%
VWIV17.5%14.5%23.5%20.8%16.0%
Skew 25d5.0%3.4%7.0%5.9%3.4%
Skew 10d11.1%5.2%20.2%14.4%5.2%
Call IV 25d15.4%13.1%19.9%18.2%14.4%
Put IV 25d20.5%16.6%27.0%24.1%17.9%
Bid-Ask Spread %23.238.3963.3510.8017.84
Gamma HHI0.090.050.330.070.11
Net GEX18.1M-43.0M137.8M-43.0M50.4M
Net DEX-182.7M-648.4M327.3M327.3M-512.9M
Net VEX-5.0M-5.4M-4.6M-5.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.274.494.491.78
Total Volume29,158.196,83054,11536,74853,163
Total OI456,193.238417,726488,708439,344466,947

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$99.17$101.0020.4%5.7%15.5%26.5%20.8%5.9%0.4%-43.0M327.3M-5.2M4.4910.806,68930,059194,071245,273
2021-10-04$98.91$101.0022.4%6.2%15.5%35.2%19.3%7.0%-0.2%-30.6M306.1M-5.2M0.5510.108,8444,874187,086237,564
2021-10-05$100.03$101.0020.3%5.7%15.2%26.0%20.8%6.3%-0.1%-29.1M186.1M-5.4M1.0122.704,8604,912188,782263,200
2021-10-06$100.08$101.0021.1%5.9%15.2%29.6%19.9%6.9%-0.5%-28.9M187.8M-5.4M1.0113.277,6237,688193,946265,747
2021-10-07$100.91$101.0019.3%5.4%15.6%21.4%19.1%6.1%-0.4%-6.8M20.8M-5.3M0.2726.2735,5559,591195,681267,592
2021-10-08$101.08$101.0018.7%5.3%15.5%18.8%18.7%5.7%-0.2%8.8M-29.3M-5.3M1.3643.365,3537,295199,662273,414
2021-10-11$100.33$101.0019.0%5.5%15.7%20.2%23.5%6.2%0.4%-16.9M100.3M-5.4M0.4039.9919,1937,591207,472266,391
2021-10-12$99.65$101.0019.5%5.4%15.3%22.4%17.8%6.3%-0.5%-41.4M248.0M-5.4M0.7214.784,0172,897209,026274,263
2021-10-13$99.99$101.0018.1%5.2%14.6%16.5%17.2%6.5%-0.1%-36.9M191.2M-5.1M0.6336.647,8224,925202,880274,225
2021-10-14$101.77$101.0016.2%4.7%15.9%7.9%16.0%5.4%0.4%22.2M-141.3M-5.0M0.9916.8714,07213,951205,184275,672
2021-10-15$103.03$101.0015.3%4.5%15.7%4.0%17.4%4.3%0.5%137.8M-431.1M-4.9M1.0863.3514,69215,834210,337278,371
2021-10-18$102.97$101.0015.5%4.5%14.2%4.9%17.0%4.5%-0.3%34.1M-332.1M-4.9M2.9014.372,6577,711184,540233,186
2021-10-19$103.42$101.0015.0%4.3%14.1%2.7%15.9%4.1%-0.4%33.9M-371.9M-4.8M3.3613.491,5665,264182,041244,455
2021-10-20$104.18$101.0015.0%4.3%14.2%2.8%14.9%4.0%-0.3%36.2M-473.2M-4.8M1.2712.6023,46529,911183,556253,396
2021-10-21$104.27$101.0014.6%4.2%13.4%1.1%15.2%4.1%-0.3%44.1M-499.5M-4.9M1.1217.7924,29827,264192,574257,450
2021-10-22$104.83$101.0014.0%4.0%13.4%0.0%14.5%3.5%-0.1%59.2M-648.4M-4.8M0.8539.3129,28224,833199,678259,447
2021-10-25$104.98$101.0014.5%4.2%13.4%2.1%17.6%3.9%0.6%55.3M-606.2M-4.6M1.9517.4511,99023,373188,742253,921
2021-10-26$104.77$101.0014.5%4.2%12.6%1.9%14.5%3.8%1.0%51.5M-561.7M-4.6M0.8628.7024,78021,203189,447257,647
2021-10-27$103.41$101.0015.1%4.4%13.7%4.6%15.7%4.0%0.9%36.4M-336.8M-4.8M2.278.397,94118,047195,418262,432
2021-10-28$104.22$101.0015.6%4.4%11.7%6.8%15.2%3.8%1.0%44.2M-459.5M-4.7M1.9219.8312,77024,467196,063263,279
2021-10-29$104.42$102.0015.6%4.4%11.5%6.9%16.0%3.4%1.0%50.4M-512.9M-4.7M1.7817.8419,10934,054201,192265,755