XLI Options History — June 2023

In June 2023, XLI traded between $98.00 and $107.50. ATM implied volatility averaged 14.1%, placing in the 1.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.9% (HV 20d: 17.1%). Max pain ranged from $98.00 to $103.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2023-06-22: Highest Volume — 380,031 contracts
  • 2023-06-21: Largest IV drop — 6.6% change
  • 2023-06-12: Highest IV Rank — 4.4%
  • 2023-06-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.61$98.00$107.50$98.00$107.50
Max Pain$101.14$98.00$103.00$100.00$103.00
ATM IV14.1%13.3%15.7%15.7%13.3%
Expected Move4.1%3.5%4.7%4.7%3.5%
HV 20d17.1%14.4%17.7%14.4%16.3%
HV 60d16.9%15.5%18.5%17.3%15.5%
IV Rank1.4%0.0%4.4%3.4%0.0%
IV Percentile1.0%0.0%4.0%2.0%0.0%
Term Structure0.2%-0.3%0.8%-0.3%0.1%
VWIV14.8%12.7%19.0%19.0%12.7%
Skew 25d3.4%2.1%4.5%4.5%2.8%
Skew 10d6.9%2.6%8.9%8.9%5.2%
Call IV 25d12.7%11.8%14.0%14.0%11.8%
Put IV 25d16.1%14.6%18.5%18.5%14.6%
Bid-Ask Spread %17.943.2962.1612.1319.91
Gamma HHI0.140.080.300.080.30
Net GEX96.9M-150.0M239.5M-150.0M194.1M
Net DEX-685.3M-1.85B672.6M672.6M-1.25B
Net VEX-7.8M-8.9M-6.9M-8.1M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.042.941.241.01
Total Volume78,997.5244,679380,03121,020312,694
Total OI1,002,843.19783,7491,184,707939,968923,549

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$98.00$100.0015.7%4.7%14.4%3.4%19.0%4.5%-0.3%-150.0M672.6M-8.1M1.2412.139,37611,644269,310670,658
2023-06-02$101.13$100.0014.7%4.6%17.6%0.0%16.8%3.6%-0.3%42.5M-396.2M-7.9M1.1420.0414,50916,498278,336683,010
2023-06-05$100.38$98.0014.8%4.4%17.0%0.9%16.1%3.7%0.3%20.6M-216.6M-7.6M2.4744.792,2555,577283,740655,152
2023-06-06$100.88$99.0014.3%4.2%17.0%0.0%15.3%3.5%0.2%19.7M-261.9M-7.9M0.0426.6376,7843,222285,304735,859
2023-06-07$102.38$99.0013.9%4.2%17.7%0.0%15.1%3.2%0.2%120.2M-788.9M-7.7M1.0710.5640,50043,364324,251739,311
2023-06-08$102.70$99.0014.2%4.1%17.6%2.0%15.4%3.1%0.4%169.8M-930.7M-8.3M2.3211.451,4103,269401,732748,195
2023-06-09$102.45$100.0013.9%4.1%17.3%0.3%14.5%3.4%-0.3%160.1M-850.9M-8.3M0.8613.284,9234,242403,284754,228
2023-06-12$103.18$100.0014.6%4.2%17.4%4.4%14.6%3.8%0.1%196.1M-1.12B-7.9M1.0461.9829,25830,378404,491739,762
2023-06-13$104.27$100.0014.2%4.1%17.6%1.8%14.5%3.6%0.0%239.5M-1.53B-8.0M0.989.89164,307161,060414,158763,301
2023-06-14$103.97$100.0014.1%4.1%17.0%1.5%15.9%3.5%0.3%223.8M-1.31B-7.8M0.2662.1631,5168,122416,303766,138
2023-06-15$105.69$101.0014.1%4.1%17.1%1.3%14.6%3.3%0.3%232.3M-1.85B-7.1M0.724.7723,68817,119402,007771,990
2023-06-16$105.45$101.0014.3%4.1%17.1%2.6%14.2%2.1%0.2%154.7M-1.80B-6.9M0.3014.7199,22829,420406,220778,487
2023-06-20$104.34$103.0014.6%4.2%17.7%4.1%13.9%3.8%0.3%53.8M-289.4M-7.2M0.9013.759,0548,115266,123517,626
2023-06-21$104.84$103.0013.6%3.9%17.7%0.0%13.8%3.3%0.6%90.1M-392.0M-7.3M1.364.5013,02717,655272,837522,586
2023-06-22$104.09$103.0013.7%3.9%17.4%0.6%14.7%3.3%0.8%-6.7M-179.7M-7.1M1.2820.80166,467213,564279,104531,651
2023-06-23$103.27$103.0013.7%3.9%16.8%0.5%15.3%3.1%0.6%-58.9M198.0M-8.9M1.699.757,20612,207369,320666,460
2023-06-26$104.22$103.0014.3%3.9%16.9%4.0%14.0%3.5%0.1%14.1M-214.3M-8.3M1.584.668,62813,625308,453582,403
2023-06-27$105.44$103.0013.5%3.7%17.2%0.0%13.6%3.3%0.2%86.6M-520.8M-8.4M2.284.143,4507,875315,194587,411
2023-06-28$105.28$103.0013.6%3.7%17.1%0.8%14.3%3.2%0.3%86.8M-537.6M-8.2M1.743.293,9236,834317,367591,254
2023-06-29$106.25$103.0013.9%3.8%16.2%2.1%13.3%3.0%0.2%144.7M-829.6M-8.1M2.943.555,82417,131319,203593,939
2023-06-30$107.50$103.0013.3%3.5%16.3%0.0%12.7%2.8%0.1%194.1M-1.25B-7.7M1.0119.91155,475157,219323,396600,153