XLI Options History — November 2023

In November 2023, XLI traded between $98.82 and $106.81. ATM implied volatility averaged 13.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 2.5% (HV 20d: 15.7%). Max pain ranged from $100.00 to $103.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.01.

Notable Days

  • 2023-11-14: Highest Volume — 383,048 contracts
  • 2023-11-10: Largest IV drop — 8.8% change
  • 2023-11-01: Highest IV Rank — 27.8%
  • 2023-11-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.82$98.82$106.81$98.82$106.81
Max Pain$101.81$100.00$103.00$100.00$102.00
ATM IV13.3%12.2%16.0%16.0%12.3%
Expected Move3.8%3.3%4.8%4.8%3.6%
HV 20d15.7%11.8%18.7%17.5%12.0%
HV 60d14.3%13.4%14.9%13.4%14.2%
IV Rank8.1%0.4%27.8%27.8%0.8%
IV Percentile7.9%0.4%34.1%34.1%0.8%
Term Structure0.2%-0.3%0.8%0.2%-0.1%
VWIV13.5%12.0%16.6%16.6%13.2%
Skew 25d2.4%1.8%3.7%3.7%2.2%
Skew 10d5.0%3.9%7.1%7.1%4.4%
Call IV 25d12.3%11.4%14.4%14.4%11.7%
Put IV 25d14.7%13.5%18.1%18.1%13.9%
Bid-Ask Spread %13.082.1581.119.4510.15
Gamma HHI0.140.070.220.070.18
Net GEX98.3M-46.8M307.9M-46.8M93.2M
Net DEX-875.6M-2.17B589.1M589.1M-1.36B
Net VEX-7.7M-8.5M-6.9M-7.9M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.787.905.481.25
Total Volume72,669.4295,268383,04842,827379,211
Total OI993,068.81807,3231,262,425807,323961,344

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$98.82$100.0016.0%4.8%17.5%27.8%16.6%3.7%0.2%-46.8M589.1M-7.9M5.489.456,61436,213293,533513,790
2023-11-02$100.69$103.0014.9%4.3%18.7%19.5%15.2%3.1%0.2%-1.9M-13.2M-7.9M1.066.2118,25219,424297,513516,785
2023-11-03$101.81$102.0014.0%4.1%18.4%13.1%15.0%2.7%0.2%11.6M-361.7M-7.9M1.1281.11168,080187,427303,942523,891
2023-11-06$101.19$102.0014.2%4.1%18.1%14.6%13.6%2.9%0.3%-12.2M-92.3M-8.5M2.1480.627,84816,764376,768622,457
2023-11-07$101.22$102.0013.7%4.0%17.8%11.0%13.6%2.8%0.4%-11.0M-119.3M-8.1M3.4923.803,84713,418381,454623,301
2023-11-08$101.41$102.0013.4%4.1%17.7%9.1%14.8%2.8%0.7%-1.3M-218.3M-8.2M6.694.803,59824,080382,854627,286
2023-11-09$101.09$102.0014.3%4.1%17.4%15.2%14.5%2.9%0.3%-21.5M-56.9M-8.2M6.376.364,48928,573383,425632,068
2023-11-10$102.56$102.0013.0%3.7%17.8%6.1%13.8%2.5%0.0%52.9M-658.9M-7.9M1.059.8918,82919,720384,782647,679
2023-11-13$102.70$102.0013.6%3.9%17.1%10.5%13.5%2.7%0.5%55.2M-742.2M-7.8M2.374.206,82216,181396,419651,602
2023-11-14$104.87$102.0013.1%3.8%18.7%7.0%14.3%1.9%0.3%203.0M-1.68B-7.4M1.232.53172,133210,915397,819658,493
2023-11-15$105.10$102.0013.2%3.8%16.1%7.7%13.1%1.8%0.5%256.6M-1.84B-8.5M0.783.9313,18410,278481,611766,329
2023-11-16$104.87$102.0013.0%3.7%15.5%5.8%13.5%2.0%0.5%307.9M-1.69B-8.3M3.672.541,9307,087485,395771,593
2023-11-17$105.53$102.0012.9%3.6%15.0%5.5%13.0%1.9%0.8%128.1M-2.17B-8.0M2.432.153,2337,870486,437775,988
2023-11-20$106.12$102.0012.9%3.6%14.9%5.5%12.4%1.9%-0.3%166.2M-1.20B-7.3M7.907.312,04016,115350,095550,106
2023-11-21$105.81$103.0012.6%3.5%15.0%3.4%12.3%2.0%-0.2%155.9M-1.06B-7.5M1.965.898,48316,660351,149565,527
2023-11-22$106.07$101.0012.5%3.4%13.6%2.1%12.0%1.9%-0.3%157.2M-1.22B-7.1M2.303.401,5973,671360,116578,385
2023-11-24$106.31$101.0012.2%3.3%13.2%0.4%12.2%1.8%-0.2%155.6M-1.29B-7.0M2.112.693,1686,686361,028579,856
2023-11-27$105.91$101.0012.3%3.4%12.3%1.3%12.0%2.1%-0.1%145.1M-1.11B-6.9M0.912.405,6205,111354,419571,130
2023-11-28$105.63$101.0012.3%3.4%11.8%1.2%13.0%2.3%-0.1%140.9M-1.02B-6.9M2.862.607,73022,136358,298574,011
2023-11-29$105.78$102.0012.5%3.6%11.8%2.3%12.2%2.5%-0.2%129.0M-1.08B-7.2M6.002.573,00518,016364,906590,861
2023-11-30$106.81$102.0012.3%3.6%12.0%0.8%13.2%2.2%-0.1%93.2M-1.36B-7.2M1.2510.15168,494210,717366,240595,104