XLI Options History — December 2023

In December 2023, XLI traded between $108.00 and $114.31. ATM implied volatility averaged 12.9%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.1% (HV 20d: 10.7%). Max pain ranged from $100.00 to $106.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.41.

Notable Days

  • 2023-12-14: Highest Volume — 388,788 contracts
  • 2023-12-20: Largest IV spike — 12.2% change
  • 2023-12-20: Highest IV Rank — 15.8%
  • 2023-12-20: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.44$108.00$114.31$108.70$114.00
Max Pain$103.45$100.00$106.00$102.00$106.00
ATM IV12.9%11.8%14.0%12.7%12.7%
Expected Move3.7%3.3%4.0%3.8%3.4%
HV 20d10.7%9.0%11.8%11.8%10.7%
HV 60d14.4%13.8%14.7%14.6%13.9%
IV Rank6.7%0.0%15.8%3.5%6.9%
IV Percentile8.5%0.0%27.8%4.0%7.9%
Term Structure0.2%-0.2%0.4%0.2%0.4%
VWIV13.7%12.5%15.1%13.7%12.9%
Skew 25d2.0%0.9%2.4%2.3%1.9%
Skew 10d4.8%1.6%6.1%5.4%6.1%
Call IV 25d12.1%11.1%13.2%12.0%11.8%
Put IV 25d14.1%12.7%15.5%14.3%13.7%
Bid-Ask Spread %22.403.5567.758.417.81
Gamma HHI0.190.100.330.290.29
Net GEX116.1M5.6M372.6M372.6M85.2M
Net DEX-1.40B-2.55B-697.2M-2.02B-1.12B
Net VEX-7.4M-8.1M-6.6M-7.8M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.308.900.302.14
Total Volume57,964.45,809388,78865,4196,793
Total OI952,236.05805,5321,124,7581,124,758851,621

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$108.70$102.0012.7%3.8%11.8%3.5%13.7%2.3%0.2%372.6M-2.02B-7.8M0.308.4150,37415,045422,835701,923
2023-12-04$108.70$100.0013.3%3.8%11.6%7.8%14.9%2.4%0.2%139.4M-1.46B-8.0M0.9745.5514,83614,353356,782599,453
2023-12-05$108.00$100.0013.2%3.8%11.6%7.6%14.4%2.2%0.1%114.4M-1.24B-7.9M3.0752.744,07312,497358,783608,048
2023-12-06$108.48$101.0013.0%3.8%11.6%5.6%13.1%2.4%0.2%125.3M-1.35B-8.1M1.8143.412,2133,996357,898618,872
2023-12-07$108.56$101.0013.1%3.7%11.6%6.9%13.4%2.3%0.3%100.0M-1.32B-8.1M1.8313.518,04514,703359,480667,392
2023-12-08$109.16$103.0012.5%3.6%11.3%2.7%13.5%1.8%0.4%137.7M-1.53B-7.9M1.3342.419,81013,002364,897678,899
2023-12-11$109.91$103.0012.5%3.6%10.7%2.7%13.8%2.4%-0.1%157.3M-1.75B-7.5M1.3529.52159,447215,563364,012677,964
2023-12-12$110.48$103.0012.1%3.5%10.7%0.0%12.5%1.9%-0.0%143.2M-1.66B-7.9M0.878.128,8107,658369,934728,817
2023-12-13$111.69$103.0011.8%3.3%9.0%0.0%12.8%1.7%-0.2%300.7M-2.11B-7.3M0.3767.7524,8579,306371,508733,755
2023-12-14$113.10$103.0012.2%3.5%9.6%2.9%13.0%1.0%0.1%220.2M-2.55B-6.6M1.3418.95166,437222,351355,678736,947
2023-12-15$112.66$103.0012.3%3.5%9.7%3.5%13.1%0.9%0.1%53.6M-2.17B-6.8M0.879.1722,53219,505361,365744,403
2023-12-18$112.50$105.0012.7%3.6%9.8%6.8%12.7%1.6%0.2%35.9M-853.6M-7.0M1.4213.552,3993,410236,061569,471
2023-12-19$113.12$105.0012.5%3.6%9.8%5.1%13.4%2.1%-0.2%54.2M-1.01B-6.8M4.657.173,32015,445238,447569,200
2023-12-20$111.85$105.0014.0%4.0%10.9%15.8%15.1%2.3%0.3%5.6M-697.2M-7.6M7.7310.012,59820,094239,517578,799
2023-12-21$112.53$105.0013.2%3.8%11.0%10.4%15.0%2.3%0.4%14.9M-793.9M-7.4M1.239.4511,90214,587240,866595,942
2023-12-22$113.12$105.0013.9%3.9%11.0%14.7%14.8%2.1%0.2%42.5M-963.2M-7.4M1.4910.364,9087,306247,382600,695
2023-12-26$114.05$105.0013.6%3.8%10.8%13.2%13.8%2.4%0.4%66.9M-1.13B-6.9M2.456.794,43210,879244,596590,308
2023-12-27$113.91$105.0013.1%3.6%10.7%9.0%12.9%2.0%0.3%64.9M-1.11B-6.9M8.9039.691,80616,072247,424595,295
2023-12-28$114.31$106.0012.9%3.6%10.7%8.2%14.8%2.2%0.2%87.1M-1.19B-6.8M4.063.552,75311,171250,016609,436
2023-12-29$114.00$106.0012.7%3.4%10.7%6.9%12.9%1.9%0.4%85.2M-1.12B-6.6M2.147.812,1634,630245,008606,613