XLI Options History — July 2023

In July 2023, XLI traded between $105.84 and $110.31. ATM implied volatility averaged 13.8%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.0% (HV 20d: 11.8%). Max pain ranged from $103.00 to $107.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.30.

Notable Days

  • 2023-07-11: Highest Volume — 317,357 contracts
  • 2023-07-28: Largest IV drop — 9.4% change
  • 2023-07-10: Highest IV Rank — 9.4%
  • 2023-07-06: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.84$105.84$110.31$107.53$110.12
Max Pain$105.65$103.00$107.00$103.50$107.00
ATM IV13.8%12.8%14.8%13.1%13.2%
Expected Move3.9%3.4%4.2%3.4%3.7%
HV 20d11.8%9.5%13.5%12.9%9.6%
HV 60d15.1%13.9%15.7%15.3%13.9%
IV Rank3.9%0.0%9.4%0.0%2.0%
IV Percentile3.8%0.0%9.1%0.0%0.8%
Term Structure0.1%-0.3%0.3%0.3%-0.1%
VWIV14.8%11.9%17.9%11.9%13.5%
Skew 25d3.1%2.4%3.9%3.2%2.7%
Skew 10d6.3%3.2%8.7%6.8%6.9%
Call IV 25d12.5%11.6%13.3%11.9%11.9%
Put IV 25d15.5%14.1%17.0%15.1%14.6%
Bid-Ask Spread %8.372.9629.023.253.87
Gamma HHI0.140.100.230.200.12
Net GEX45.1M-23.9M185.7M168.8M-6.7M
Net DEX-911.9M-1.23B-327.9M-1.06B-892.8M
Net VEX-7.2M-7.9M-6.6M-7.5M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.5223.350.751.22
Total Volume54,874.554,742317,3576,3464,742
Total OI838,909.05780,945943,858918,015816,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$107.53$103.5013.1%3.4%12.9%0.0%11.9%3.2%0.3%168.8M-1.06B-7.5M0.753.253,6202,726322,249595,766
2023-07-05$106.80$103.5013.9%3.7%12.9%4.5%13.4%3.5%0.1%185.7M-844.1M-7.3M1.9724.097,35314,470322,099597,396
2023-07-06$105.84$103.0014.7%4.2%13.5%9.0%17.9%3.8%0.2%54.9M-327.9M-7.9M5.9516.785,06630,167324,221610,634
2023-07-07$106.37$103.0014.1%4.2%12.8%5.6%14.6%3.2%0.1%-1.3M-439.8M-7.6M0.524.2818,1729,448325,529618,329
2023-07-10$107.59$103.0014.8%4.2%13.2%9.4%17.0%3.7%-0.3%55.8M-740.4M-7.0M1.833.774,6608,505243,767537,178
2023-07-11$108.91$103.0014.3%4.1%13.5%6.8%16.4%3.9%-0.1%84.0M-990.6M-7.0M1.014.45157,771159,586245,545542,603
2023-07-12$108.94$103.0013.9%4.0%13.5%4.2%16.8%3.2%0.1%63.5M-973.3M-7.3M4.665.9325,263117,698252,166546,199
2023-07-13$109.16$107.0014.0%4.0%13.2%4.8%13.7%3.0%-0.1%30.7M-905.2M-7.5M1.903.525,2729,996254,754576,889
2023-07-14$108.63$107.0013.8%3.9%13.3%3.5%15.5%2.9%-0.3%5.3M-750.1M-7.7M1.195.248,2609,793254,707582,262
2023-07-17$109.19$107.0013.9%4.0%12.2%4.3%14.6%3.1%0.0%27.6M-947.5M-7.4M3.803.572,5439,665254,480577,558
2023-07-18$109.60$107.0013.5%3.9%12.2%1.9%14.2%2.9%0.3%36.9M-1.02B-7.4M1.898.332,4094,562255,445579,619
2023-07-19$109.59$107.0013.8%3.9%11.3%3.6%14.2%3.0%0.1%46.3M-1.06B-7.1M1.496.665,1837,724255,490581,916
2023-07-20$109.88$107.0013.9%4.0%11.2%4.2%14.2%2.9%-0.0%56.0M-1.12B-7.1M1.883.3616,36830,758259,776586,535
2023-07-21$109.62$107.0013.4%3.8%10.8%1.3%13.9%2.5%0.3%26.5M-1.23B-7.2M1.484.9410,73515,900273,901589,601
2023-07-24$109.87$107.0013.6%4.0%10.1%2.6%14.6%2.8%-0.0%26.0M-1.00B-7.0M3.7825.232,70510,215249,302536,083
2023-07-25$109.62$107.0013.7%3.9%10.0%3.1%14.0%2.8%0.2%27.5M-1.00B-6.6M1.602.963,8346,116250,388542,523
2023-07-26$110.31$107.0013.3%3.8%9.5%0.8%13.9%2.8%-0.2%44.7M-1.13B-6.6M4.6929.022,60712,226252,104546,391
2023-07-27$109.22$107.0014.1%4.0%10.4%5.5%14.6%2.9%0.1%-5.9M-832.9M-7.0M1.014.26154,264156,267253,074554,530
2023-07-28$110.05$107.0012.8%3.6%10.3%0.0%16.3%2.4%0.2%-23.9M-972.0M-7.1M23.353.811,67739,165253,425557,422
2023-07-31$110.12$107.0013.2%3.7%9.6%2.0%13.5%2.7%-0.1%-6.7M-892.8M-7.3M1.223.872,1322,610249,466566,859