XLI Options History — January 2022

In January 2022, XLI traded between $99.04 and $107.14. ATM implied volatility averaged 20.4%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.1% (HV 20d: 17.2%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.05.

Notable Days

  • 2022-01-05: Highest Volume — 58,037 contracts
  • 2022-01-21: Largest IV spike — 13.9% change
  • 2022-01-27: Highest IV Rank — 69.7%
  • 2022-01-27: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.68$99.04$107.14$104.83$100.33
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV20.4%14.9%26.0%14.9%21.9%
Expected Move5.9%4.0%7.9%4.0%6.3%
HV 20d17.2%14.6%19.5%18.7%15.4%
HV 60d16.2%15.5%16.6%15.5%16.6%
IV Rank37.3%5.0%69.7%5.0%54.2%
IV Percentile67.2%6.3%98.0%6.3%85.3%
Term Structure-0.2%-1.3%0.4%0.2%-0.8%
VWIV21.8%14.3%33.0%15.2%20.6%
Skew 25d6.6%4.0%12.1%4.0%8.0%
Skew 10d14.2%7.7%30.5%7.8%19.4%
Call IV 25d18.1%13.5%23.8%13.8%18.4%
Put IV 25d24.7%17.5%34.9%17.8%26.4%
Bid-Ask Spread %45.7020.8472.3060.0420.84
Gamma HHI0.070.040.090.090.07
Net GEX4.7M-27.0M49.1M24.1M-13.1M
Net DEX15.1M-367.3M392.3M-98.6M235.7M
Net VEX-3.5M-3.8M-3.2M-3.3M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.051.058.512.713.21
Total Volume36,859.9526,37458,03735,14131,033
Total OI325,543.55227,076363,115352,698270,713

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$104.83$105.0014.9%4.0%18.7%5.0%15.2%4.0%0.2%24.1M-98.6M-3.3M2.7160.049,47325,668136,345216,353
2022-01-04$107.14$105.0015.1%4.1%18.6%6.1%14.3%4.0%0.3%49.1M-367.3M-3.3M1.0557.6616,91117,776137,125220,937
2022-01-05$106.26$105.0016.9%4.8%18.7%16.7%17.5%4.7%0.4%36.5M-271.7M-3.4M1.2872.3025,49032,547139,511221,553
2022-01-06$106.64$105.0017.9%5.1%18.6%22.3%18.7%5.1%-0.2%24.7M-247.0M-3.3M2.1966.4010,88023,882128,100222,748
2022-01-07$106.70$105.0017.6%5.0%18.6%20.7%18.0%4.4%-0.6%27.0M-267.8M-3.6M2.7040.508,74623,651132,414227,339
2022-01-10$104.99$105.0019.1%5.5%19.5%29.3%18.9%5.7%0.1%6.2M-75.2M-3.5M2.3142.877,96518,409127,701219,627
2022-01-11$105.83$105.0017.2%4.9%19.5%18.6%17.1%4.7%-0.1%16.2M-160.2M-3.5M1.7252.579,77616,805128,699220,480
2022-01-12$106.32$105.0016.8%4.8%19.0%15.8%16.7%4.5%0.0%24.6M-235.6M-3.2M2.7522.367,38120,264127,693218,730
2022-01-13$106.36$105.0018.5%5.3%18.9%25.8%18.9%5.3%0.0%22.1M-231.3M-3.3M1.7422.0310,99419,180127,999221,285
2022-01-14$105.81$105.0018.1%5.1%19.0%23.9%21.6%5.8%-0.2%18.0M-153.5M-3.3M3.4339.618,14527,945129,264224,575
2022-01-18$104.51$105.0020.3%5.8%18.9%36.7%21.3%6.1%-0.1%6.0M-15.6M-3.3M2.5235.829,17723,161127,178222,121
2022-01-19$103.84$105.0020.5%5.9%16.1%37.8%19.8%6.4%-0.7%-2.6M73.7M-3.3M3.3159.697,88126,106128,182223,981
2022-01-20$102.64$105.0021.1%6.1%15.5%41.2%22.6%5.9%-0.5%-21.7M219.9M-3.3M4.3050.138,58536,905128,350227,071
2022-01-21$101.36$105.0024.0%7.0%16.0%58.3%25.5%7.3%-1.3%-27.0M331.7M-3.5M4.0343.879,69039,062129,003234,112
2022-01-24$101.06$105.0025.7%7.7%15.0%67.9%31.0%12.1%-0.1%-20.8M246.5M-3.6M1.4451.0620,68029,74074,476152,600
2022-01-25$100.98$105.0026.0%7.8%14.7%69.5%33.0%10.3%-0.2%-12.8M225.0M-3.8M8.5153.714,81941,00691,372162,318
2022-01-26$99.68$105.0025.4%7.7%14.7%66.1%29.6%6.9%-0.6%-21.0M323.6M-3.8M7.2035.744,23330,47491,410173,613
2022-01-27$99.37$105.0026.0%7.9%14.6%69.7%26.8%11.3%-0.1%-23.4M377.3M-3.7M1.7834.0714,34425,46992,122175,385
2022-01-28$99.04$105.0024.5%7.4%14.6%60.9%28.1%9.1%-0.2%-18.7M392.3M-3.8M2.7652.798,75824,188100,128178,258
2022-01-31$100.33$105.0021.9%6.3%15.4%54.2%20.6%8.0%-0.8%-13.1M235.7M-3.7M3.2120.847,36723,666102,853167,860