XLI Options History — November 2021

In November 2021, XLI traded between $101.29 and $107.18. ATM implied volatility averaged 16.9%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.8% (HV 20d: 10.1%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2021-11-29: Highest Volume — 84,092 contracts
  • 2021-11-26: Largest IV spike — 33.5% change
  • 2021-11-30: Highest IV Rank — 41.5%
  • 2021-11-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.68$101.29$107.18$104.80$101.29
Max Pain$102.90$102.00$104.00$102.00$104.00
ATM IV16.9%15.0%21.2%16.2%21.2%
Expected Move4.9%4.2%6.6%4.7%6.6%
HV 20d10.1%7.7%13.8%11.3%13.8%
HV 60d12.8%12.3%14.0%13.0%14.0%
IV Rank16.1%5.7%41.5%9.6%41.5%
IV Percentile30.4%6.0%69.4%21.0%69.4%
Term Structure0.0%-1.7%0.5%0.2%0.1%
VWIV18.8%15.3%27.9%16.5%25.5%
Skew 25d4.1%2.8%7.8%4.3%7.8%
Skew 10d7.2%1.8%14.0%8.2%14.0%
Call IV 25d15.7%13.8%18.0%15.3%18.0%
Put IV 25d19.7%17.8%25.8%19.6%25.8%
Bid-Ask Spread %51.2116.4677.4640.5322.07
Gamma HHI0.090.060.120.090.06
Net GEX44.5M-52.9M101.6M48.2M-52.9M
Net DEX-579.5M-977.6M425.3M-512.7M425.3M
Net VEX-4.1M-4.8M-3.7M-4.6M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.543.552.582.64
Total Volume39,210.1921,96984,09227,94855,929
Total OI452,495.81383,637493,441436,972416,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$104.80$102.0016.2%4.7%11.3%9.6%16.5%4.3%0.2%48.2M-512.7M-4.6M2.5840.537,80320,145192,170244,802
2021-11-02$105.14$102.0016.8%4.9%10.9%12.5%17.0%4.2%0.2%49.1M-557.0M-4.5M1.0717.5418,43619,795191,774248,220
2021-11-03$104.91$102.0016.8%4.9%11.0%14.5%19.0%4.5%0.1%50.4M-496.6M-4.8M3.0044.987,70823,152201,397255,865
2021-11-04$105.18$102.0017.1%5.0%10.8%17.7%17.8%3.9%0.1%54.8M-567.7M-4.8M0.6471.0126,53116,933202,692261,027
2021-11-05$106.48$102.0017.0%4.9%11.3%17.3%17.7%3.3%0.0%73.1M-851.4M-4.4M2.3353.4716,56238,531206,419261,403
2021-11-08$106.77$103.0017.0%4.9%10.7%17.3%18.2%3.2%0.2%60.6M-857.4M-4.4M2.5767.099,40724,196206,423268,146
2021-11-09$107.03$103.0017.2%4.9%10.1%18.1%20.0%3.8%-0.0%70.8M-900.4M-4.2M3.3674.768,34828,085208,894268,642
2021-11-10$106.40$103.0017.5%5.1%10.6%20.1%20.3%3.8%0.1%64.7M-808.6M-4.4M1.4425.2313,40719,352210,027273,863
2021-11-11$106.13$103.0017.0%4.9%9.3%17.2%17.7%3.5%0.3%67.0M-748.6M-4.4M1.5316.4612,55819,239210,522274,616
2021-11-12$106.86$103.0015.9%4.6%8.7%10.8%17.8%3.0%0.2%83.3M-940.0M-4.1M1.3446.8814,72019,711212,226277,014
2021-11-15$106.94$103.0016.2%4.7%8.6%12.5%18.0%3.2%0.2%84.7M-931.4M-4.0M2.3076.057,66417,607210,054273,551
2021-11-16$107.18$103.0015.8%4.5%8.6%10.4%17.5%2.8%0.2%84.8M-977.6M-3.8M1.5077.469,82914,770211,787278,937
2021-11-17$106.60$103.0015.7%4.5%8.7%9.6%16.5%3.2%0.2%90.7M-865.9M-3.8M1.2474.3711,01413,653212,451279,157
2021-11-18$106.24$103.0015.9%4.6%8.8%11.1%16.5%3.1%-0.0%101.6M-836.6M-3.7M1.2536.829,74912,220213,430279,213
2021-11-19$105.75$103.0016.1%4.6%8.9%12.1%16.0%3.2%0.5%9.5M-725.1M-3.7M0.5425.8954,57029,305213,223280,218
2021-11-22$106.43$103.0015.6%4.5%9.1%9.2%16.8%3.7%-0.3%24.0M-425.0M-3.7M1.6967.678,48214,365162,209221,428
2021-11-23$106.06$103.0016.5%4.6%9.2%14.2%19.8%4.2%-0.3%17.7M-370.0M-3.8M2.8027.3613,63238,166165,785223,365
2021-11-24$106.02$103.0015.0%4.2%7.7%5.7%15.3%3.9%-0.1%7.2M-338.1M-3.7M1.9573.079,56518,607161,615232,286
2021-11-26$103.44$104.0020.1%5.9%11.6%35.2%27.9%7.1%-1.7%-33.7M95.6M-4.0M2.9663.138,97526,601164,424234,218
2021-11-29$103.57$104.0017.8%5.2%11.6%21.7%23.4%5.8%0.4%-21.1M19.6M-3.8M3.5573.5518,48765,605157,643234,619
2021-11-30$101.29$104.0021.2%6.6%13.8%41.5%25.5%7.8%0.1%-52.9M425.3M-4.1M2.6422.0715,34740,582157,271259,386