XLI Options History — July 2022

In July 2022, XLI traded between $85.48 and $95.69. ATM implied volatility averaged 22.6%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.2% (HV 20d: 23.8%). Max pain ranged from $87.00 to $91.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.38.

Notable Days

  • 2022-07-12: Highest Volume — 73,922 contracts
  • 2022-07-15: Largest IV drop — 10.6% change
  • 2022-07-05: Highest IV Rank — 71.3%
  • 2022-07-13: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.03$85.48$95.69$88.27$95.69
Max Pain$87.33$87.00$91.50$91.50$87.00
ATM IV22.6%18.3%25.9%24.1%18.3%
Expected Move6.4%5.1%7.2%6.5%5.1%
HV 20d23.8%19.0%29.1%28.5%20.9%
HV 60d25.7%25.1%26.3%25.2%26.2%
IV Rank51.6%25.4%71.3%60.8%25.4%
IV Percentile68.8%40.9%89.3%77.4%40.9%
Term Structure-0.2%-0.8%0.4%-0.3%0.0%
VWIV24.6%20.3%31.4%25.3%20.3%
Skew 25d5.5%4.2%6.4%5.9%4.7%
Skew 10d11.4%7.1%15.4%11.5%10.2%
Call IV 25d20.1%16.0%23.0%21.6%16.0%
Put IV 25d25.7%20.7%29.1%27.5%20.7%
Bid-Ask Spread %27.648.7464.8620.5423.80
Gamma HHI0.070.040.180.070.04
Net GEX-22.3M-49.3M-1.8M-30.5M-1.8M
Net DEX340.1M-156.4M709.1M499.0M-156.4M
Net VEX-2.7M-2.8M-2.6M-2.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.381.174.201.992.25
Total Volume25,687.2512,87173,92222,13528,255
Total OI300,327.1250,536340,431321,970280,911

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$88.27$91.5024.1%6.5%28.5%60.8%25.3%5.9%-0.3%-30.5M499.0M-2.8M1.9920.547,41014,725114,963207,007
2022-07-05$86.70$88.0025.9%7.1%28.9%71.3%24.4%6.1%-0.3%-31.4M630.4M-2.6M1.1732.7910,84412,719112,567206,782
2022-07-06$87.51$88.0024.6%6.8%29.1%63.9%29.8%5.7%-0.4%-33.4M549.1M-2.6M3.2037.1010,03532,136110,156205,979
2022-07-07$88.25$87.0024.0%6.7%28.7%60.3%31.4%5.2%-0.5%-30.7M453.4M-2.8M2.5337.527,34318,587115,084223,611
2022-07-08$88.09$87.0022.5%6.4%28.3%51.0%22.7%5.1%-0.3%-26.1M461.9M-2.7M2.8936.394,77013,786115,427225,004
2022-07-11$87.18$87.0024.6%7.0%28.0%63.7%25.6%5.7%-0.2%-39.2M570.5M-2.7M2.7734.653,4149,457112,003224,279
2022-07-12$86.93$87.0025.4%7.1%26.3%68.6%24.7%6.4%-0.5%-40.4M595.2M-2.6M1.298.7432,24041,682112,451223,753
2022-07-13$86.20$87.0025.8%7.2%23.0%70.7%29.0%6.2%-0.8%-44.4M645.4M-2.8M2.219.016,24813,782112,987223,320
2022-07-14$85.48$87.0025.2%7.2%23.1%67.6%27.4%6.2%0.0%-49.3M709.1M-2.7M1.4327.646,8749,863114,223223,954
2022-07-15$86.74$87.0022.6%6.3%23.3%51.4%23.4%5.3%-0.8%-24.4M573.9M-2.7M1.6464.866,92711,370116,369223,410
2022-07-18$86.22$87.0023.8%6.8%19.0%59.0%26.2%6.1%0.1%-16.9M361.4M-2.6M2.0530.015,34310,93292,287158,249
2022-07-19$89.50$87.0021.8%6.2%23.1%46.8%26.9%5.7%-0.0%-11.5M191.9M-2.7M2.7325.254,82413,17493,184160,810
2022-07-20$90.23$87.0021.4%6.1%22.8%44.6%23.6%5.5%-0.2%-10.2M138.8M-2.7M1.9423.178,76017,02295,118163,745
2022-07-21$90.53$87.0020.4%5.9%22.7%38.7%22.5%5.5%0.4%-9.2M129.6M-2.8M2.5628.108,58522,01797,907167,459
2022-07-22$90.29$87.0020.2%5.8%22.5%37.4%20.8%5.0%-0.1%-10.4M145.8M-2.8M4.2024.965,31022,28599,449173,980
2022-07-25$90.69$87.0020.7%6.0%19.3%40.0%22.1%5.6%0.1%-11.7M139.0M-2.8M3.4226.656,17621,11597,909174,681
2022-07-26$90.43$87.0021.4%6.3%19.4%44.2%23.8%4.2%0.4%-11.8M152.9M-2.8M3.4625.145,66319,57999,051175,206
2022-07-27$92.01$87.0020.5%5.8%19.5%38.9%21.9%6.0%-0.0%-9.3M64.9M-2.7M2.0014.667,69015,38999,245174,145
2022-07-28$93.57$87.0018.7%5.4%19.9%28.0%20.8%4.9%0.3%-3.7M-54.6M-2.7M1.7721.796,27611,138103,374176,503
2022-07-29$95.69$87.0018.3%5.1%20.9%25.4%20.3%4.7%0.0%-1.8M-156.4M-2.6M2.2523.808,69219,563102,763178,148