XLI Options History — February 2022

In February 2022, XLI traded between $95.64 and $102.93. ATM implied volatility averaged 22.3%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.8% (HV 20d: 17.5%). Max pain ranged from $99.00 to $104.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 5.13.

Notable Days

  • 2022-02-24: Highest Volume — 67,619 contracts
  • 2022-02-03: Largest IV spike — 20.5% change
  • 2022-02-23: Highest IV Rank — 100.0%
  • 2022-02-23: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.86$95.64$102.93$102.32$99.51
Max Pain$100.32$99.00$104.00$104.00$99.00
ATM IV22.3%17.4%26.8%19.0%24.9%
Expected Move6.5%5.1%7.8%5.4%7.4%
HV 20d17.5%14.8%21.7%16.8%21.7%
HV 60d18.1%17.0%18.9%17.1%18.9%
IV Rank66.4%27.6%100.0%40.1%85.4%
IV Percentile84.6%53.2%100.0%68.3%96.0%
Term Structure-0.1%-1.4%0.8%-0.1%-0.0%
VWIV25.9%17.6%32.6%19.0%32.6%
Skew 25d8.3%6.0%12.2%7.3%9.8%
Skew 10d17.0%10.5%23.8%18.9%23.8%
Call IV 25d19.0%15.1%22.9%16.0%21.1%
Put IV 25d27.3%21.3%34.7%23.3%31.0%
Bid-Ask Spread %61.6612.0285.9940.7624.55
Gamma HHI0.070.050.090.090.06
Net GEX-30.6M-58.4M6.4M1.3M-41.5M
Net DEX314.9M27.2M641.6M75.7M347.2M
Net VEX-3.9M-4.2M-3.7M-3.7M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.130.9811.550.987.89
Total Volume43,701.26331,88567,61962,55834,842
Total OI311,714279,168344,998279,168344,998

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$102.32$104.0019.0%5.4%16.8%40.1%19.0%7.3%-0.1%1.3M75.7M-3.7M0.9840.7631,58330,975104,156175,012
2022-02-02$102.93$104.0017.8%5.1%14.8%30.6%17.6%6.7%0.1%6.4M27.2M-3.8M4.9412.027,04734,805110,994183,420
2022-02-03$101.17$100.0021.5%6.2%15.6%60.2%27.3%7.7%-0.3%-16.1M190.9M-3.9M5.5076.096,96838,313112,995190,178
2022-02-04$100.55$100.0020.3%5.9%15.5%50.4%28.2%7.3%0.7%-22.4M300.3M-4.0M2.7975.7112,45734,736114,509199,494
2022-02-07$100.15$100.0021.3%6.1%15.4%58.4%22.3%7.1%-0.0%-28.6M284.5M-3.9M3.2168.167,56724,318104,856201,300
2022-02-08$101.07$100.0019.5%5.7%15.2%44.3%24.4%7.2%0.3%-22.5M236.8M-3.9M3.7845.699,67136,509105,137201,931
2022-02-09$102.43$100.0017.4%5.2%15.8%27.6%20.7%6.0%0.8%532.8K91.9M-3.8M4.2560.258,63636,732107,148204,453
2022-02-10$100.54$100.0020.8%6.0%16.7%54.5%24.6%6.9%0.4%-26.5M257.8M-3.9M3.9852.557,55230,090107,763205,066
2022-02-11$99.28$100.0024.4%7.0%17.0%83.8%26.9%8.0%0.4%-34.4M386.2M-4.0M4.7646.477,92437,752108,838206,549
2022-02-14$98.98$100.0025.4%7.3%17.0%91.7%27.8%9.6%-0.0%-39.0M396.2M-4.0M4.3450.267,27331,55198,554206,813
2022-02-15$100.16$100.0022.6%6.5%17.5%69.6%26.8%8.0%-0.2%-35.2M301.2M-3.9M5.0683.796,57433,28699,244207,277
2022-02-16$101.21$100.0020.5%5.9%17.9%52.3%23.8%7.8%-0.3%-29.2M215.2M-3.8M5.0166.846,14030,765100,042207,457
2022-02-17$99.47$100.0024.5%7.1%18.5%84.5%31.4%9.4%-1.4%-42.8M362.1M-3.9M7.6572.874,04130,923100,746211,696
2022-02-18$98.60$100.0023.9%6.9%18.2%80.3%25.5%9.2%0.2%-54.5M466.8M-3.9M4.0985.997,41130,337100,791222,977
2022-02-22$97.56$100.0025.6%7.5%18.5%93.3%26.5%10.0%-0.3%-45.4M463.9M-3.8M2.5078.3812,94332,40095,052205,248
2022-02-23$95.64$100.0026.8%7.8%19.6%100.0%29.6%9.3%-0.5%-52.5M641.6M-3.9M8.7972.924,81142,266102,284213,304
2022-02-24$96.67$100.0024.9%7.4%19.7%84.9%27.9%12.2%-0.8%-58.4M575.6M-4.0M11.5581.065,38962,230102,799222,869
2022-02-25$99.01$99.0022.9%6.8%21.7%69.2%29.0%8.1%-0.3%-41.2M362.7M-4.0M6.4577.245,84237,665103,292233,324
2022-02-28$99.51$99.0024.9%7.4%21.7%85.4%32.6%9.8%-0.0%-41.5M347.2M-4.2M7.8924.553,91930,923103,198241,800