XLI Options History — March 2023

In March 2023, XLI traded between $96.55 and $103.69. ATM implied volatility averaged 21.1%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.9% (HV 20d: 17.2%). Max pain ranged from $99.00 to $102.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.69.

Notable Days

2023-03-15: Highest Volume — 453,495 contracts
2023-03-15: Largest IV spike — 16.2% change
2023-03-15: Highest IV Rank — 70.4%
2023-03-15: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.50	$96.55	$103.69	$101.44	$100.88
Max Pain	$100.61	$99.00	$102.00	$100.00	$99.00
ATM IV	21.1%	17.2%	26.1%	19.7%	18.0%
Expected Move	6.0%	4.9%	7.2%	5.7%	5.1%
HV 20d	17.2%	12.4%	20.9%	12.8%	20.4%
HV 60d	16.8%	15.9%	17.5%	16.1%	17.4%
IV Rank	38.8%	14.7%	70.4%	30.2%	14.9%
IV Percentile	39.7%	3.6%	85.7%	23.8%	8.7%
Term Structure	-0.1%	-1.1%	0.7%	-0.4%	0.6%
VWIV	22.4%	17.4%	27.6%	20.4%	19.3%
Skew 25d	5.5%	3.7%	7.3%	4.7%	4.6%
Skew 10d	10.5%	4.9%	13.4%	8.5%	8.7%
Call IV 25d	18.6%	15.6%	23.2%	17.8%	15.7%
Put IV 25d	24.2%	19.3%	30.5%	22.5%	20.3%
Bid-Ask Spread %	19.56	3.37	51.88	3.53	3.97
Gamma HHI	0.11	0.08	0.35	0.09	0.35
Net GEX	-131.3M	-378.0M	261.0M	-151.8M	261.0M
Net DEX	825.0M	-319.2M	2.50B	389.9M	-310.9M
Net VEX	-8.1M	-9.4M	-5.9M	-6.9M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.69	0.87	12.03	2.69	5.36
Total Volume	106,016.826	16,855	453,495	48,219	27,145
Total OI	1,110,553.826	813,934	1,313,055	1,160,986	1,224,815

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
2023-03-01	$101.44	$100.00	19.7%	5.7%	12.8%	30.2%	20.4%	4.7%	-0.4%	-151.8M	389.9M	-6.9M	2.69	3.53	13,085	35,134	341,724	819,262
2023-03-02	$102.68	$100.00	19.0%	5.4%	12.4%	25.8%	19.3%	4.5%	-0.2%	-42.0M	-18.6M	-6.7M	2.18	3.37	5,296	11,559	350,396	838,526
2023-03-03	$103.69	$100.00	17.4%	4.9%	12.9%	15.7%	17.4%	3.7%	-0.4%	-2.5M	-319.2M	-6.2M	0.87	44.46	18,655	16,289	354,171	843,026
2023-03-06	$103.47	$102.00	17.2%	5.0%	12.8%	14.7%	17.4%	3.8%	0.2%	-4.2M	-316.3M	-5.9M	2.41	7.61	6,146	14,824	238,485	722,180
2023-03-07	$102.31	$102.00	17.8%	5.2%	13.4%	18.5%	18.6%	3.9%	-0.0%	-61.5M	-2.1M	-6.2M	4.02	9.10	7,372	29,657	242,078	721,943
2023-03-08	$102.34	$102.00	18.2%	5.3%	13.4%	20.9%	21.9%	4.0%	-0.1%	-75.1M	64.2M	-6.2M	1.74	19.03	78,408	136,651	243,090	723,708
2023-03-09	$100.97	$102.00	21.1%	5.9%	14.1%	39.2%	21.6%	5.0%	-0.3%	-157.2M	619.7M	-7.6M	1.13	15.91	82,271	93,242	268,534	802,874
2023-03-10	$98.80	$102.00	23.5%	6.6%	15.8%	54.2%	24.2%	5.4%	-0.4%	-282.6M	1.57B	-8.6M	1.91	47.07	44,729	85,558	300,681	843,228
2023-03-13	$98.69	$102.00	24.4%	6.7%	15.6%	59.9%	26.0%	6.5%	-1.0%	-278.8M	1.63B	-8.5M	1.27	51.88	157,003	199,013	319,527	859,634
2023-03-14	$99.02	$102.00	22.4%	6.4%	15.2%	47.5%	21.7%	6.1%	-0.3%	-268.4M	1.29B	-8.4M	2.24	20.79	14,046	31,439	361,285	887,161
2023-03-15	$96.55	$101.00	26.1%	7.2%	17.3%	70.4%	27.6%	7.3%	-1.1%	-378.0M	2.50B	-8.8M	1.85	46.13	158,932	294,563	372,378	905,406
2023-03-16	$98.41	$101.00	23.3%	6.6%	18.9%	52.9%	24.8%	6.7%	-0.4%	-314.6M	1.39B	-8.5M	2.77	20.41	21,157	58,575	375,696	931,594
2023-03-17	$96.56	$101.00	25.2%	7.1%	19.7%	65.0%	25.7%	7.3%	-1.0%	-216.9M	2.25B	-8.6M	3.83	8.76	7,917	30,297	376,966	936,089
2023-03-20	$97.56	$100.00	23.3%	6.6%	20.1%	52.5%	26.4%	6.6%	-0.3%	-128.7M	1.03B	-8.3M	4.42	9.20	9,337	41,294	239,930	574,004
2023-03-21	$98.82	$100.00	20.7%	5.9%	19.8%	36.4%	21.3%	5.5%	0.2%	-98.7M	656.6M	-8.0M	1.05	8.22	160,534	168,028	248,814	592,421
2023-03-22	$97.53	$100.00	21.3%	6.1%	20.1%	40.5%	21.2%	5.3%	0.2%	-134.6M	1.00B	-8.9M	1.35	17.29	14,858	20,068	324,456	673,427
2023-03-23	$96.59	$100.00	23.9%	6.9%	20.0%	56.5%	25.9%	7.2%	-0.1%	-181.7M	1.48B	-9.3M	8.66	11.43	2,506	21,696	333,114	683,751
2023-03-24	$96.84	$100.00	23.1%	6.6%	20.0%	51.4%	24.5%	6.7%	-0.1%	-186.2M	1.38B	-9.1M	6.63	19.34	16,209	107,446	334,432	687,497
2023-03-27	$97.81	$100.00	20.8%	6.0%	20.0%	37.4%	23.4%	6.0%	0.3%	-149.6M	1.04B	-9.2M	12.03	16.46	4,244	51,050	343,425	757,870
2023-03-28	$98.05	$100.00	20.7%	6.0%	20.0%	36.6%	23.7%	5.7%	0.6%	-142.4M	964.4M	-9.4M	6.24	9.36	9,698	60,485	346,162	792,791
2023-03-29	$99.59	$99.00	19.3%	5.5%	20.9%	27.5%	22.6%	5.2%	0.7%	-31.1M	387.7M	-9.1M	9.43	24.46	4,110	38,762	352,346	836,556
2023-03-30	$99.84	$99.00	18.8%	5.3%	20.3%	24.8%	20.4%	5.0%	0.5%	6.0M	296.3M	-9.1M	0.90	32.20	15,291	13,808	352,886	864,399
2023-03-31	$100.88	$99.00	18.0%	5.1%	20.4%	14.9%	19.3%	4.6%	0.6%	261.0M	-310.9M	-8.5M	5.36	3.97	4,271	22,874	354,308	870,507