XLI Options History — December 2022

In December 2022, XLI traded between $97.07 and $102.23. ATM implied volatility averaged 21.0%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.2% (HV 20d: 17.8%). Max pain ranged from $97.00 to $98.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 6.53.

Notable Days

  • 2022-12-15: Highest Volume — 122,121 contracts
  • 2022-12-13: Largest IV drop — 8.9% change
  • 2022-12-12: Highest IV Rank — 51.5%
  • 2022-12-07: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.20$97.07$102.23$101.75$98.03
Max Pain$97.33$97.00$98.00$97.00$98.00
ATM IV21.0%18.8%23.0%19.8%22.0%
Expected Move6.1%5.6%6.4%6.4%6.1%
HV 20d17.8%14.0%21.1%19.8%17.5%
HV 60d23.6%21.2%25.7%25.5%21.2%
IV Rank39.2%25.6%51.5%31.9%45.6%
IV Percentile35.6%19.0%52.4%25.8%44.4%
Term Structure0.5%-0.7%1.3%0.3%1.2%
VWIV22.7%20.8%24.8%24.2%22.7%
Skew 25d4.1%3.6%4.8%3.8%4.0%
Skew 10d7.9%5.1%11.7%5.1%7.6%
Call IV 25d19.1%16.6%20.9%18.2%19.7%
Put IV 25d23.2%20.6%25.7%22.1%23.8%
Bid-Ask Spread %16.417.4325.687.547.43
Gamma HHI0.080.060.110.080.08
Net GEX-98.6M-168.7M-23.6M-26.4M-152.9M
Net DEX325.4M-318.2M831.9M-311.0M726.1M
Net VEX-6.6M-8.1M-5.0M-5.0M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.531.3121.072.796.56
Total Volume47,659.61913,229122,12155,78715,673
Total OI692,225528,557884,615528,557884,615

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$101.75$97.0019.8%6.4%19.8%31.9%24.2%3.8%0.3%-26.4M-311.0M-5.0M2.797.5414,72141,066160,286368,271
2022-12-02$102.23$98.0018.8%6.1%19.6%25.6%23.6%3.9%-0.1%-23.6M-318.2M-5.3M2.638.5218,35448,189172,696398,567
2022-12-05$100.63$97.0019.7%5.8%20.6%31.0%22.0%4.2%1.1%-38.6M-93.2M-5.5M2.4022.6913,10031,489182,353374,261
2022-12-06$99.38$98.0021.1%6.3%21.1%40.1%22.6%4.3%0.9%-56.1M156.2M-6.0M2.1721.8827,91960,634194,358398,357
2022-12-07$99.28$97.0021.3%6.4%20.8%41.3%23.8%4.1%1.1%-68.3M213.8M-6.2M13.5520.721,62922,069182,781427,241
2022-12-08$99.68$97.0021.3%6.3%19.8%41.4%23.7%3.8%1.1%-62.6M116.5M-5.9M10.7321.881,37714,773183,409428,417
2022-12-09$99.23$97.0021.7%6.4%14.0%43.6%23.9%4.3%1.2%-72.0M231.3M-6.1M4.9722.764,44422,069184,033438,685
2022-12-12$100.69$97.0023.0%6.4%14.9%51.5%24.8%4.8%-0.7%-54.9M5.4M-5.9M2.9319.8512,07535,343181,961455,695
2022-12-13$101.23$97.0020.9%6.0%15.0%38.8%21.9%4.4%-0.2%-49.1M-84.5M-5.7M13.8725.682,22130,816182,402461,347
2022-12-14$100.81$97.0020.0%5.8%15.1%33.0%21.6%4.4%0.1%-59.4M-21.2M-5.7M1.7223.9912,74921,979183,100482,061
2022-12-15$98.41$97.0021.6%6.2%17.2%43.1%21.9%4.8%-0.1%-119.9M461.3M-6.3M2.3414.6136,57985,542194,454492,466
2022-12-16$98.03$98.0021.4%6.1%17.1%41.8%23.2%4.1%-0.1%-152.1M618.2M-7.0M7.0716.507,27451,416206,431547,734
2022-12-19$97.07$98.0021.5%6.1%16.9%42.5%22.9%4.2%0.3%-129.4M735.9M-7.0M9.1617.303,16128,960172,316499,020
2022-12-20$97.47$97.0020.8%6.0%17.0%38.4%20.8%3.9%0.4%-131.6M645.7M-7.1M1.3114.2411,32914,792173,693514,036
2022-12-21$98.91$97.5019.6%5.6%17.6%30.6%21.3%3.6%0.3%-109.2M367.2M-6.7M6.208.8412,67178,497173,935521,368
2022-12-22$97.37$97.5021.1%6.0%18.3%40.2%22.2%3.9%0.6%-159.0M774.5M-7.5M5.6610.9815,46787,572185,252562,300
2022-12-23$98.28$97.0020.2%5.7%18.5%34.3%21.9%3.8%0.4%-168.7M625.7M-7.8M7.0718.544,99635,325197,885622,540
2022-12-27$98.80$97.0021.1%6.0%17.3%39.8%22.9%4.2%0.8%-127.2M533.9M-7.8M21.0713.3861112,876196,832635,302
2022-12-28$97.41$97.0022.1%6.3%17.8%46.3%21.9%3.8%0.8%-168.7M831.9M-8.1M2.8113.0912,57035,296197,133643,092
2022-12-29$98.56$98.0021.4%6.0%17.5%41.7%23.0%3.9%1.3%-140.2M617.8M-8.1M10.2114.301,18012,049209,161666,879
2022-12-30$98.03$98.0022.0%6.1%17.5%45.6%22.7%4.0%1.2%-152.9M726.1M-8.1M6.567.432,07313,600209,387675,228