XLI Options History — March 2022

In March 2022, XLI traded between $97.41 and $104.65. ATM implied volatility averaged 22.5%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.7% (HV 20d: 20.8%). Max pain ranged from $99.00 to $103.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 4.14.

Notable Days

2022-03-23: Highest Volume — 60,812 contracts
2022-03-16: Largest IV drop — 11.8% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.09	$97.41	$104.65	$98.35	$103.39
Max Pain	$101.65	$99.00	$103.00	$99.00	$103.00
ATM IV	22.5%	14.9%	30.6%	28.3%	17.1%
Expected Move	6.8%	4.5%	9.8%	8.8%	5.2%
HV 20d	20.8%	15.8%	23.3%	21.6%	16.2%
HV 60d	18.7%	17.8%	19.5%	18.5%	17.8%
IV Rank	53.2%	5.1%	100.0%	100.0%	18.6%
IV Percentile	73.8%	6.3%	100.0%	100.0%	48.0%
Term Structure	0.0%	-0.7%	0.5%	-0.2%	0.4%
VWIV	25.6%	16.1%	36.8%	31.8%	19.6%
Skew 25d	7.1%	4.3%	10.0%	10.0%	5.6%
Skew 10d	14.7%	7.6%	26.7%	20.4%	9.6%
Call IV 25d	19.6%	13.3%	26.3%	23.8%	14.9%
Put IV 25d	26.7%	17.6%	33.8%	33.8%	20.6%
Bid-Ask Spread %	47.77	19.77	80.88	48.74	47.47
Gamma HHI	0.05	0.04	0.08	0.06	0.06
Net GEX	-23.9M	-45.6M	3.8M	-45.6M	-23.6M
Net DEX	185.7M	-72.8M	487.8M	436.0M	73.8M
Net VEX	-3.8M	-4.3M	-3.3M	-4.3M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.14	1.32	9.25	9.14	2.80
Total Volume	34,268.783	23,313	60,812	43,781	23,313
Total OI	337,463.304	259,360	375,497	349,020	351,794

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-03-01	$98.35	$99.00	28.3%	8.8%	21.6%	100.0%	31.8%	10.0%	-0.2%	-45.6M	436.0M	-4.3M	9.14	48.74	4,318	39,463	104,427	244,593
2022-03-02	$100.74	$99.50	25.0%	7.6%	22.2%	76.7%	26.4%	9.0%	-0.6%	-31.0M	239.2M	-4.2M	4.54	76.45	8,145	36,941	105,790	242,353
2022-03-03	$100.46	$99.00	25.6%	7.7%	22.1%	80.9%	26.2%	9.1%	-0.3%	-29.7M	242.6M	-4.2M	5.37	41.18	5,643	30,278	109,064	242,965
2022-03-04	$100.11	$100.00	27.8%	8.3%	21.3%	96.2%	33.9%	9.3%	-0.5%	-43.0M	297.6M	-4.3M	4.46	56.88	6,490	28,918	109,693	246,221
2022-03-07	$98.05	$100.00	30.6%	9.8%	22.4%	100.0%	36.8%	5.9%	-0.3%	-38.1M	435.1M	-4.2M	4.88	66.99	4,639	22,654	108,558	231,480
2022-03-08	$97.41	$100.00	30.1%	9.7%	22.4%	97.1%	31.7%	7.2%	0.3%	-44.2M	487.8M	-4.1M	2.07	76.44	13,086	27,097	109,307	233,033
2022-03-09	$99.26	$99.50	26.9%	8.5%	23.3%	77.5%	31.5%	8.6%	-0.1%	-32.7M	317.1M	-4.1M	3.23	74.21	7,857	25,415	115,403	236,696
2022-03-10	$98.58	$99.50	26.5%	8.3%	22.7%	75.1%	32.0%	8.8%	-0.4%	-39.6M	381.2M	-4.0M	3.63	75.26	6,804	24,704	116,611	238,968
2022-03-11	$98.13	$99.50	26.5%	8.4%	21.9%	75.1%	28.3%	6.9%	0.4%	-35.1M	386.9M	-4.0M	3.84	80.88	6,133	23,545	117,708	239,288
2022-03-14	$98.03	$103.00	28.1%	7.7%	21.5%	85.1%	26.2%	9.1%	-0.7%	-37.4M	378.6M	-3.9M	5.21	26.49	5,628	29,329	116,664	237,196
2022-03-15	$99.74	$103.00	25.6%	7.2%	22.4%	69.7%	28.0%	8.3%	0.4%	-25.3M	244.6M	-3.9M	4.28	40.99	5,695	24,347	116,667	245,619
2022-03-16	$100.53	$103.00	22.6%	6.8%	22.2%	51.4%	24.9%	7.5%	0.3%	-22.4M	155.7M	-3.7M	3.11	49.02	6,699	20,819	117,149	250,573
2022-03-17	$102.35	$103.00	21.0%	6.3%	22.8%	42.2%	27.0%	7.3%	-0.3%	-268.6K	-29.9M	-3.5M	2.82	33.46	10,263	28,899	117,541	249,995
2022-03-18	$102.80	$103.00	19.4%	5.7%	21.8%	32.4%	26.0%	6.5%	-0.1%	3.8M	-66.3M	-3.5M	4.10	35.80	5,242	21,493	121,170	254,327
2022-03-21	$102.35	$103.00	19.9%	5.9%	21.6%	35.4%	22.7%	7.0%	0.0%	-5.1M	59.6M	-3.4M	1.98	19.77	10,428	20,652	79,732	179,628
2022-03-22	$103.34	$103.00	17.8%	5.4%	21.2%	22.5%	20.6%	6.4%	0.1%	-3.8M	17.1M	-3.4M	2.84	34.14	11,499	32,616	82,851	181,631
2022-03-23	$102.50	$103.00	18.3%	5.5%	19.9%	25.5%	19.0%	6.2%	0.4%	-10.9M	73.3M	-3.5M	9.25	33.11	5,931	54,881	86,284	196,055
2022-03-24	$102.93	$103.00	17.3%	5.2%	19.7%	19.5%	21.5%	5.6%	0.4%	-26.9M	134.3M	-3.8M	4.66	29.03	4,532	21,119	87,756	228,412
2022-03-25	$103.34	$103.00	16.5%	5.1%	18.1%	15.0%	20.1%	5.1%	0.5%	-25.0M	59.8M	-3.6M	5.26	32.30	5,316	27,947	88,326	228,588
2022-03-28	$103.58	$103.00	15.9%	4.7%	18.1%	11.2%	19.4%	5.5%	0.4%	-17.6M	61.0M	-3.6M	4.12	38.40	5,661	23,314	87,921	227,621
2022-03-29	$104.65	$103.00	14.9%	4.5%	17.6%	5.1%	16.1%	4.3%	0.3%	-8.9M	-72.8M	-3.3M	1.32	36.04	13,519	17,895	91,025	238,877
2022-03-30	$104.34	$103.00	15.8%	4.8%	15.8%	10.5%	18.0%	4.8%	0.3%	-7.5M	-41.7M	-3.6M	2.44	45.71	8,441	20,574	100,641	245,455
2022-03-31	$103.39	$103.00	17.1%	5.2%	16.2%	18.6%	19.6%	5.6%	0.4%	-23.6M	73.8M	-3.8M	2.80	47.47	6,138	17,175	101,346	250,448