XLI Options History — May 2023

In May 2023, XLI traded between $97.06 and $100.60. ATM implied volatility averaged 17.0%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.9% (HV 20d: 16.2%). Max pain ranged from $99.00 to $100.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 6.24.

Notable Days

  • 2023-05-01: Highest Volume — 388,457 contracts
  • 2023-05-05: Largest IV drop — 16.2% change
  • 2023-05-04: Highest IV Rank — 30.0%
  • 2023-05-04: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.84$97.06$100.60$100.60$97.06
Max Pain$99.91$99.00$100.00$100.00$100.00
ATM IV17.0%15.2%20.0%15.4%17.6%
Expected Move5.0%4.3%5.9%4.6%5.3%
HV 20d16.2%13.9%17.8%17.4%13.9%
HV 60d17.3%16.9%17.5%16.9%17.3%
IV Rank11.1%0.0%30.0%0.1%16.0%
IV Percentile8.4%0.0%31.3%0.4%14.3%
Term Structure0.1%-0.7%1.7%0.2%-0.5%
VWIV18.9%15.7%24.5%17.2%18.2%
Skew 25d5.3%4.3%6.4%4.3%4.5%
Skew 10d10.3%8.4%11.8%8.6%8.4%
Call IV 25d14.6%13.0%17.2%13.4%15.2%
Put IV 25d19.9%17.7%23.3%17.8%19.7%
Bid-Ask Spread %17.124.3935.684.3918.49
Gamma HHI0.070.060.100.090.07
Net GEX-177.6M-330.6M-38.2M-38.2M-192.2M
Net DEX778.0M154.2M1.38B177.8M1.07B
Net VEX-8.9M-10.1M-8.0M-8.7M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.240.6435.281.532.74
Total Volume78,966.3646,360388,457388,45725,665
Total OI1,262,224.909924,7901,490,0601,136,441939,614

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$100.60$100.0015.4%4.6%17.4%0.1%17.2%4.3%0.2%-38.2M177.8M-8.7M1.534.39153,385235,072321,600814,841
2023-05-02$99.40$100.0017.4%5.0%17.8%12.9%17.6%5.4%0.1%-163.8M858.1M-10.1M1.1835.6832,19038,064322,818880,472
2023-05-03$99.27$100.0017.8%5.3%15.1%15.6%19.1%5.8%0.3%-158.1M766.5M-9.4M6.0831.712,58815,726329,169824,605
2023-05-04$97.94$100.0020.0%5.9%15.5%30.0%22.7%6.1%0.0%-231.7M1.38B-10.0M1.2925.16155,360199,656330,332833,984
2023-05-05$99.50$100.0016.8%5.2%16.5%8.8%16.7%5.1%0.2%-177.1M648.7M-9.5M2.6827.9012,71134,109407,100903,078
2023-05-08$99.23$100.0016.9%5.1%16.3%9.3%18.6%5.4%0.7%-173.9M731.8M-9.1M6.5321.812,45216,019407,784902,923
2023-05-09$99.41$100.0016.7%5.2%16.1%8.5%17.5%5.5%1.2%-166.8M668.2M-9.0M0.6421.137,1834,595408,769912,610
2023-05-10$99.06$100.0016.5%5.0%16.1%7.3%18.5%5.4%0.8%-206.1M822.8M-8.8M1.0218.60157,686161,523408,606911,359
2023-05-11$98.25$100.0017.3%5.2%16.2%12.0%17.8%5.3%0.9%-302.0M1.20B-9.4M1.4219.8629,13941,506489,169991,228
2023-05-12$98.32$100.0016.9%5.2%16.2%9.9%19.9%5.8%1.7%-259.4M1.11B-9.7M5.2516.232,87115,085509,829980,231
2023-05-15$98.90$100.0016.4%4.8%16.2%6.1%18.7%5.5%0.1%-195.0M734.1M-8.8M3.0919.948,21325,377425,282912,998
2023-05-16$97.81$100.0016.9%4.9%16.4%9.7%20.7%5.6%0.0%-330.6M1.29B-8.8M18.077.594,07973,727428,226915,144
2023-05-17$99.31$99.0015.8%4.5%17.4%2.9%18.7%4.8%-0.3%-150.9M495.1M-8.4M4.696.147,01532,924430,891929,265
2023-05-18$100.03$99.0015.2%4.3%17.6%0.0%17.2%4.7%-0.1%-59.2M154.2M-8.1M5.686.295,61231,866434,624922,178
2023-05-19$99.82$100.0015.7%4.5%17.7%3.5%16.1%4.6%-0.2%-59.9M239.8M-8.0M2.686.9320,29054,324436,679940,786
2023-05-22$99.81$100.0015.6%4.5%17.6%3.1%15.7%5.0%-0.1%-69.0M313.4M-8.0M1.814.8213,91425,177400,541832,664
2023-05-23$98.78$100.0017.2%5.0%16.9%13.1%22.7%5.5%-0.4%-173.2M716.8M-8.7M14.5011.461,57622,852416,967852,435
2023-05-24$97.41$100.0019.5%5.7%16.0%27.8%24.5%6.4%-0.7%-294.6M1.33B-9.0M35.2812.8088031,047416,988840,011
2023-05-25$97.81$100.0018.3%5.4%14.3%19.9%18.8%6.0%-0.5%-253.8M1.03B-8.9M11.9317.511,38116,479413,768820,380
2023-05-26$98.45$100.0017.3%5.1%14.2%13.5%19.1%5.3%-0.4%-123.9M686.1M-8.8M6.9111.188045,556416,379827,831
2023-05-30$98.22$100.0017.4%5.3%13.9%14.3%18.9%5.5%-0.4%-128.1M700.4M-8.2M2.3230.913,4938,089255,374669,416
2023-05-31$97.06$100.0017.6%5.3%13.9%16.0%18.2%4.5%-0.5%-192.2M1.07B-8.5M2.7418.496,85418,811263,318676,296