XLI Options History — November 2022

In November 2022, XLI traded between $92.93 and $101.48. ATM implied volatility averaged 22.3%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.1% (HV 20d: 22.3%). Max pain ranged from $87.00 to $97.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.64.

Notable Days

  • 2022-11-01: Highest Volume — 130,627 contracts
  • 2022-11-10: Largest IV drop — 11.1% change
  • 2022-11-01: Highest IV Rank — 59.6%
  • 2022-11-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.28$92.93$101.48$94.28$101.48
Max Pain$94.10$87.00$97.00$87.00$97.00
ATM IV22.3%20.3%24.3%24.3%20.5%
Expected Move6.6%5.8%7.6%7.6%6.5%
HV 20d22.3%19.8%26.1%24.6%20.9%
HV 60d25.9%25.3%26.9%25.5%25.7%
IV Rank47.2%34.7%59.6%59.6%36.4%
IV Percentile46.7%29.4%61.5%61.5%31.0%
Term Structure0.1%-0.8%1.5%-0.6%-0.5%
VWIV25.1%20.9%30.9%30.0%24.2%
Skew 25d4.2%3.4%4.8%4.3%3.7%
Skew 10d8.7%6.1%12.9%8.6%11.8%
Call IV 25d20.3%18.1%22.2%22.0%18.5%
Put IV 25d24.5%22.2%26.5%26.3%22.2%
Bid-Ask Spread %14.324.1223.1214.3710.82
Gamma HHI0.130.070.200.140.08
Net GEX23.8M-32.0M68.7M43.9M-22.0M
Net DEX-619.4M-1.09B-163.1M-605.1M-336.2M
Net VEX-4.2M-4.5M-3.7M-4.4M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.640.3414.834.7014.83
Total Volume48,435.4299,579130,627130,62798,251
Total OI448,117.476407,525520,580490,411460,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$94.28$87.0024.3%7.6%24.6%59.6%30.0%4.3%-0.6%43.9M-605.1M-4.4M4.7014.3722,904107,723240,596249,815
2022-11-02$92.93$87.0023.9%7.5%25.3%57.6%30.9%3.4%-0.3%37.3M-437.9M-4.3M4.2323.1214,10959,683242,457195,005
2022-11-03$93.99$93.0023.7%7.0%24.6%55.8%26.9%3.5%0.1%46.3M-552.5M-4.2M0.8416.4232,57227,301241,169197,634
2022-11-04$95.07$93.0022.8%6.8%22.6%50.2%26.3%3.8%0.0%65.6M-728.2M-4.4M3.2016.177,96525,477260,651203,564
2022-11-07$96.12$93.0022.9%6.8%22.6%50.8%25.7%3.8%1.1%66.5M-742.0M-4.2M0.4815.8426,83812,783242,179195,855
2022-11-08$97.16$93.0023.7%7.1%22.5%56.1%26.2%3.8%1.4%68.7M-875.0M-4.3M1.9314.3211,06721,340244,757200,254
2022-11-09$95.64$94.0024.3%7.2%23.6%59.5%28.4%4.6%0.8%62.5M-644.1M-4.4M0.3417.1971,05624,280246,476206,657
2022-11-10$99.54$94.0021.6%6.5%26.1%42.9%25.8%4.0%1.5%55.3M-1.06B-3.9M1.3215.1018,46824,390223,352216,684
2022-11-11$99.80$94.0021.1%6.3%23.9%39.7%22.8%4.4%1.4%50.4M-1.09B-3.8M1.5813.6510,92917,227223,322223,725
2022-11-14$99.46$95.0022.4%6.5%23.6%47.9%23.1%4.5%-0.3%44.8M-959.3M-3.7M3.3015.324,82615,919211,812214,625
2022-11-15$99.68$95.0022.3%6.4%23.1%47.1%24.6%4.8%0.6%47.6M-948.8M-3.8M2.9213.449,66128,179211,144221,531
2022-11-16$98.86$95.0022.7%6.5%23.1%49.5%24.1%4.8%0.2%37.6M-835.6M-3.9M7.5818.796,42848,753212,690237,867
2022-11-17$98.37$95.0023.2%6.7%21.7%52.9%26.5%4.7%-0.4%9.9M-605.1M-4.5M3.8810.2610,66441,326213,046279,248
2022-11-18$99.45$95.0022.2%6.4%20.2%46.5%24.3%4.3%-0.3%-7.9M-742.7M-4.5M2.1218.9312,10125,667215,017305,563
2022-11-21$99.71$95.0022.1%6.4%20.0%46.4%23.5%4.5%-0.8%-17.6M-270.7M-4.3M2.9519.2010,33930,484148,731258,794
2022-11-22$100.54$96.0020.6%5.9%19.9%36.7%21.9%4.3%-0.8%-11.7M-358.9M-4.2M3.5510.917,54026,767152,646267,427
2022-11-23$100.96$96.0020.3%5.8%19.9%34.7%21.4%4.2%-0.6%-9.6M-409.0M-4.1M3.284.127,17023,518154,359269,163
2022-11-25$101.44$96.0020.4%5.9%19.8%35.4%20.9%4.6%-0.6%-8.3M-447.1M-4.0M1.6013.503,6795,900155,756279,100
2022-11-28$99.41$96.0021.6%6.6%20.6%42.8%24.8%4.7%-0.1%-27.3M-163.1M-4.4M9.754.683,97038,691155,253276,665
2022-11-29$100.02$97.0021.6%6.8%20.6%42.8%24.3%4.3%-0.2%-32.0M-193.4M-4.4M2.1414.476,74814,451153,895301,073
2022-11-30$101.48$97.0020.5%6.5%20.9%36.4%24.2%3.7%-0.5%-22.0M-336.2M-4.4M14.8310.826,20692,045155,788305,122