XLI Options History — October 2023

In October 2023, XLI traded between $96.25 and $103.59. ATM implied volatility averaged 18.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.0% (HV 20d: 14.4%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 3.21.

Notable Days

  • 2023-10-03: Highest Volume — 342,517 contracts
  • 2023-10-18: Largest IV spike — 13.3% change
  • 2023-10-27: Highest IV Rank — 60.7%
  • 2023-10-27: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.15$96.25$103.59$100.30$98.28
Max Pain$102.68$100.00$104.00$104.00$100.00
ATM IV18.4%16.1%20.9%17.6%17.5%
Expected Move5.3%4.6%6.1%4.9%5.5%
HV 20d14.4%10.1%17.5%10.7%17.5%
HV 60d12.0%10.4%13.5%11.0%13.3%
IV Rank37.4%21.3%60.7%29.4%38.7%
IV Percentile54.5%34.9%77.8%45.2%47.2%
Term Structure-0.2%-0.6%0.3%-0.6%-0.0%
VWIV18.1%12.4%21.9%16.5%20.0%
Skew 25d4.5%3.9%5.4%4.1%4.0%
Skew 10d8.9%7.5%10.4%8.1%7.8%
Call IV 25d16.3%14.3%18.6%15.7%15.7%
Put IV 25d20.8%18.2%24.0%19.8%19.7%
Bid-Ask Spread %11.573.9541.488.434.35
Gamma HHI0.120.080.180.110.08
Net GEX-79.6M-141.8M-19.0M-115.4M-57.5M
Net DEX717.4M-189.6M1.43B1.05B734.3M
Net VEX-8.7M-9.6M-8.2M-8.4M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.5910.492.018.07
Total Volume80,921.54513,889342,51727,18632,300
Total OI813,495.682745,0721,013,392745,072795,450

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$100.30$104.0017.6%4.9%10.7%29.4%16.5%4.1%-0.6%-115.4M1.05B-8.4M2.018.439,02118,165257,543487,529
2023-10-03$99.68$104.0019.8%5.7%10.1%41.1%20.9%5.1%-0.3%-115.7M1.19B-8.6M1.094.95164,143178,374264,409491,700
2023-10-04$100.07$104.0018.1%5.0%10.3%31.9%17.6%4.4%-0.3%-85.8M950.0M-9.0M5.3627.9613,13970,412278,038499,007
2023-10-05$99.55$103.0018.3%5.1%10.4%32.8%16.9%4.4%-0.2%-130.4M1.11B-8.7M2.455.249,87924,221279,189506,275
2023-10-06$101.00$103.0017.2%4.9%12.1%26.8%17.6%4.1%-0.1%-73.8M604.7M-8.9M3.6041.489,79835,316283,620511,972
2023-10-09$102.16$103.0017.0%4.9%13.0%26.1%17.4%3.9%0.0%-52.6M272.9M-8.6M1.418.8410,59414,982279,923507,504
2023-10-10$102.97$103.0016.6%4.8%13.4%23.7%16.7%4.1%0.0%-32.7M-33.6M-8.5M0.607.4524,91914,844286,590513,368
2023-10-11$103.59$103.0016.1%4.6%13.4%21.3%12.4%3.9%-0.1%-19.0M-189.6M-8.6M1.128.7412,19513,703293,703518,066
2023-10-12$102.63$103.0016.7%4.7%13.2%24.3%16.0%4.1%-0.2%-41.1M93.5M-8.6M1.547.6410,73916,529302,942519,700
2023-10-13$101.50$103.0018.5%5.4%13.6%34.1%17.6%4.6%0.3%-61.0M451.5M-8.8M9.7410.303,34032,538308,530524,376
2023-10-16$102.84$103.0016.4%4.7%14.6%23.8%14.8%4.0%-0.5%-41.6M39.8M-8.6M0.9117.028,0187,275304,529533,113
2023-10-17$103.07$103.0016.9%4.8%14.6%26.7%15.9%4.1%-0.6%-36.9M-53.0M-8.5M0.6818.7215,29510,447307,337534,051
2023-10-18$100.56$103.0019.2%5.5%16.9%41.4%18.9%4.8%-0.3%-83.5M787.2M-8.6M10.4910.224,01842,160318,754536,138
2023-10-19$99.56$103.0020.6%5.9%16.4%50.5%21.5%5.4%-0.6%-115.2M966.4M-8.8M1.086.12155,752167,695321,609538,968
2023-10-20$98.75$103.0020.9%6.0%16.6%52.3%19.4%5.4%-0.4%-103.2M1.31B-9.6M0.995.5589,64988,553398,303615,089
2023-10-23$98.50$103.0019.6%5.9%16.5%44.5%18.8%4.8%-0.1%-79.9M969.3M-8.8M0.5924.5417,17110,116281,661479,395
2023-10-24$99.13$103.0018.7%5.6%16.1%41.7%18.7%4.5%-0.2%-74.4M799.5M-8.9M3.034.563,44510,444284,040481,479
2023-10-25$97.75$103.0019.8%5.9%16.6%49.8%20.0%4.8%-0.1%-99.1M1.14B-8.6M6.3315.683,16020,006286,001484,202
2023-10-26$97.31$102.0020.0%6.1%16.2%55.9%21.7%4.7%-0.3%-108.4M1.20B-8.4M1.455.1616,70224,275286,740481,049
2023-10-27$96.25$100.0020.6%6.1%16.4%60.7%21.9%4.7%-0.1%-141.8M1.43B-8.2M1.103.95160,748176,668293,576489,093
2023-10-30$97.84$100.0018.5%5.6%17.5%45.7%17.4%4.2%0.1%-82.3M963.8M-8.7M6.877.663,75125,775364,897567,447
2023-10-31$98.28$100.0017.5%5.5%17.5%38.7%20.0%4.0%-0.0%-57.5M734.3M-8.2M8.074.353,56228,738292,014503,436