XLI Options History — January 2023

In January 2023, XLI traded between $97.98 and $102.43. ATM implied volatility averaged 19.7%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.3% (HV 20d: 18.4%). Max pain ranged from $98.00 to $101.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 10.48.

Notable Days

  • 2023-01-19: Highest Volume — 308,332 contracts
  • 2023-01-12: Largest IV drop — 10.9% change
  • 2023-01-03: Highest IV Rank — 53.5%
  • 2023-01-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.33$97.98$102.43$98.20$101.55
Max Pain$99.88$98.00$101.00$98.00$100.50
ATM IV19.7%17.3%23.3%23.3%19.1%
Expected Move5.8%5.1%6.6%6.6%6.1%
HV 20d18.4%16.3%19.7%17.4%17.9%
HV 60d19.6%18.5%21.1%20.9%18.6%
IV Rank30.5%15.1%53.5%53.5%26.3%
IV Percentile20.5%4.4%54.0%54.0%13.9%
Term Structure-0.2%-0.7%0.9%-0.5%0.0%
VWIV22.1%19.5%24.3%24.2%24.2%
Skew 25d4.0%3.4%4.5%4.5%4.1%
Skew 10d7.6%6.1%8.8%8.8%8.0%
Call IV 25d17.9%15.3%21.4%21.4%17.1%
Put IV 25d21.8%18.8%25.9%25.9%21.2%
Bid-Ask Spread %9.933.4826.8510.714.71
Gamma HHI0.090.070.130.090.07
Net GEX-116.7M-290.8M3.6M-133.3M-102.6M
Net DEX363.7M-478.9M1.39B655.8M259.3M
Net VEX-7.7M-9.0M-6.2M-7.6M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.481.0896.412.9818.56
Total Volume91,920.316,548308,33219,19958,129
Total OI1,035,225.6855,1301,270,820855,1301,087,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$98.20$98.0023.3%6.6%17.4%53.5%24.2%4.5%-0.5%-133.3M655.8M-7.6M2.9810.714,81914,380207,375647,755
2023-01-04$98.72$98.0022.4%6.2%16.8%47.1%22.7%4.1%-0.5%-125.8M501.4M-7.4M1.117.2361,65568,593210,204654,212
2023-01-05$98.15$100.0022.6%6.5%16.3%48.6%23.8%3.9%-0.7%-144.7M690.5M-8.0M2.2118.6337,81883,656240,989677,797
2023-01-06$101.15$100.0020.2%5.8%19.6%33.6%24.2%3.6%-0.4%-51.3M-93.0M-7.2M2.5212.5114,42336,339278,102690,855
2023-01-09$100.63$100.0020.7%6.0%19.7%36.5%21.7%3.9%0.2%-64.1M24.4M-7.1M2.9117.6310,03329,170276,519686,017
2023-01-10$100.85$100.0020.0%5.9%19.6%32.2%24.3%3.7%0.5%-59.5M-9.8M-7.1M2.997.2520,23560,494283,586698,969
2023-01-11$101.75$100.0020.3%5.9%19.2%33.8%22.9%3.5%0.2%-31.6M-263.2M-6.7M5.598.116,14734,391285,857702,952
2023-01-12$102.43$100.0018.1%5.4%19.2%19.9%20.8%3.4%0.7%-78.3K-478.9M-6.2M96.415.671,694163,322288,067713,055
2023-01-13$102.41$100.0017.3%5.1%19.2%15.1%19.5%3.6%0.9%3.6M-384.5M-6.4M18.1126.857,591137,466288,561783,890
2023-01-17$101.60$100.0017.6%5.1%17.1%17.4%20.2%3.7%-0.0%-84.1M-106.3M-6.7M1.443.958,38712,054288,697827,262
2023-01-18$99.82$101.0019.6%5.6%18.4%29.5%21.4%4.3%-0.5%-186.8M459.0M-7.5M5.064.1512,99165,680295,450832,635
2023-01-19$97.98$100.0020.5%5.9%19.3%35.2%22.2%4.3%-0.4%-287.6M1.39B-8.4M30.453.489,805298,527306,609890,453
2023-01-20$98.77$100.0019.8%5.7%19.4%30.7%21.0%4.2%-0.6%-290.8M1.08B-8.7M5.034.219,14746,054314,214956,606
2023-01-23$100.00$100.0019.3%5.7%19.2%27.8%21.1%4.5%-0.5%-179.1M864.0M-8.3M1.1611.8514,68517,097200,038786,829
2023-01-24$100.56$100.0018.9%5.7%18.3%25.2%22.7%4.0%-0.3%-108.8M523.6M-7.9M1.556.0354,67884,803223,099791,380
2023-01-25$100.06$100.0019.0%5.8%18.2%26.0%20.1%4.1%-0.6%-81.0M638.5M-8.4M1.4617.6359,67386,995246,841809,196
2023-01-26$100.48$100.0018.5%5.6%18.2%22.9%20.6%3.9%-0.7%-130.9M576.6M-8.7M1.0814.9161,80667,061237,838831,623
2023-01-27$101.32$100.0018.0%5.5%17.5%19.4%20.3%3.8%-0.5%-118.2M240.7M-8.6M1.477.6325,07736,983244,823836,839
2023-01-30$100.27$100.0019.7%6.3%17.6%30.1%23.7%4.2%0.0%-158.0M706.5M-9.0M7.475.441,95414,594243,190838,618
2023-01-31$101.55$100.5019.1%6.1%17.9%26.3%24.2%4.1%0.0%-102.6M259.3M-8.2M18.564.712,97255,157244,434843,076