XLI Options History — January 2024

In January 2024, XLI traded between $110.19 and $114.28. ATM implied volatility averaged 13.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.4% (HV 20d: 11.0%). Max pain ranged from $106.00 to $113.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2024-01-03: Highest Volume — 364,095 contracts
  • 2024-01-16: Largest IV spike — 10.4% change
  • 2024-01-03: Highest IV Rank — 23.9%
  • 2024-01-03: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.34$110.19$114.28$112.52$112.94
Max Pain$111.57$106.00$113.00$106.00$112.00
ATM IV13.5%12.6%15.2%14.0%13.7%
Expected Move3.9%3.6%4.2%3.8%4.1%
HV 20d11.0%10.2%11.7%10.8%10.6%
HV 60d12.7%11.2%14.2%14.2%11.2%
IV Rank12.1%5.9%23.9%15.4%13.9%
IV Percentile21.0%6.0%44.0%29.4%29.4%
Term Structure-0.0%-1.5%0.9%-0.9%0.0%
VWIV14.1%12.9%16.1%13.3%14.9%
Skew 25d2.6%1.6%3.4%2.3%2.7%
Skew 10d5.6%4.6%7.1%5.1%6.1%
Call IV 25d12.3%11.4%14.1%13.0%12.5%
Put IV 25d14.9%13.6%16.8%15.2%15.2%
Bid-Ask Spread %37.877.2366.1523.4653.09
Gamma HHI0.170.120.230.230.12
Net GEX30.8M-47.0M84.4M20.8M30.6M
Net DEX-652.8M-996.4M-269.0M-783.0M-490.2M
Net VEX-6.9M-7.5M-6.4M-6.6M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.603.202.302.26
Total Volume61,251.7143,887364,09513,81515,856
Total OI701,981.333599,023783,253732,416623,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$112.52$106.0014.0%3.8%10.8%15.4%13.3%2.3%-0.9%20.8M-783.0M-6.6M2.3023.464,1889,627242,450489,966
2024-01-03$111.30$106.0015.2%4.2%11.7%23.9%14.8%2.7%-0.0%-44.8M-483.9M-7.0M1.2465.08162,457201,638243,570496,040
2024-01-04$111.72$113.0014.7%4.1%11.4%20.5%16.1%2.5%-0.1%19.9M-625.8M-7.5M1.5652.367,15911,152285,096488,417
2024-01-05$111.41$113.0014.0%4.1%11.4%15.7%13.7%2.6%0.2%-7.8M-537.3M-7.4M3.2034.502,7018,642251,724495,726
2024-01-08$111.97$113.0013.7%4.0%11.5%13.5%13.8%2.4%0.1%8.0M-686.7M-7.1M2.4130.861,7944,324251,479491,963
2024-01-09$111.77$113.0013.1%3.8%11.5%9.5%14.0%2.4%0.3%-658.0K-639.3M-6.9M1.1216.085,9956,734252,035492,758
2024-01-10$112.16$113.0012.8%3.7%11.3%7.6%13.0%2.2%0.1%23.0M-767.8M-6.7M0.9421.309,4238,822254,147495,881
2024-01-11$112.07$113.0013.0%3.8%11.2%8.5%14.4%2.4%0.4%17.0M-736.7M-6.6M0.9911.80169,209167,370255,752499,303
2024-01-12$112.06$112.0012.7%3.8%10.5%6.4%13.6%1.6%0.9%34.1M-754.8M-7.4M0.6064.244,3342,615267,188503,884
2024-01-16$110.78$112.0014.0%4.0%10.2%15.5%13.6%3.1%-0.3%-19.3M-453.6M-7.1M0.8864.3811,82510,450265,388496,148
2024-01-17$110.19$112.0014.7%4.2%10.3%20.8%14.9%3.4%-1.5%-47.0M-269.0M-7.2M1.8161.026,56411,864266,444499,200
2024-01-18$111.72$112.0013.7%3.9%11.6%13.8%14.0%3.0%0.1%35.8M-734.5M-7.0M1.2866.158,48610,889277,297499,356
2024-01-19$112.37$111.0013.6%3.9%11.6%12.7%14.3%2.9%-0.6%44.5M-996.4M-6.9M1.7935.606,19611,096282,189501,064
2024-01-22$113.28$111.0013.2%3.9%11.2%10.0%15.2%2.7%0.1%82.2M-668.6M-6.7M1.5110.755,3618,071219,158379,865
2024-01-23$113.16$111.0012.6%3.6%11.0%5.9%12.9%2.5%0.2%84.4M-643.9M-6.4M2.2617.322,5815,841220,687383,833
2024-01-24$112.72$112.0012.9%3.7%11.0%8.2%13.4%2.7%0.3%57.0M-523.4M-6.6M1.428.057,21910,271221,633386,779
2024-01-25$113.38$112.0013.1%3.9%10.8%9.2%13.5%2.5%-0.1%82.2M-682.8M-6.5M1.7162.803,5406,051225,891393,204
2024-01-26$113.40$112.0013.0%3.9%10.7%8.5%13.2%2.7%-0.1%79.7M-698.9M-6.4M0.977.23171,611166,952226,480394,944
2024-01-29$113.87$112.0013.0%4.0%10.8%8.6%14.2%2.7%0.2%65.8M-725.0M-7.1M0.9036.682,0511,836220,029388,539
2024-01-30$114.28$112.0012.8%3.9%10.8%7.1%15.1%2.5%0.2%81.3M-807.2M-7.1M0.9752.556,8446,647223,053389,585
2024-01-31$112.94$112.0013.7%4.1%10.6%13.9%14.9%2.7%0.0%30.6M-490.2M-7.2M2.2653.094,85710,999228,741394,722