XLI Options History — February 2024

In February 2024, XLI traded between $114.72 and $121.06. ATM implied volatility averaged 12.9%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.4% (HV 20d: 12.5%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2024-02-22: Highest Volume — 433,859 contracts
  • 2024-02-22: Largest IV drop — 10.6% change
  • 2024-02-21: Highest IV Rank — 18.5%
  • 2024-02-20: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.80$114.72$121.06$114.72$121.06
Max Pain$110.00$109.00$111.00$110.00$110.00
ATM IV12.9%12.1%14.4%12.9%12.4%
Expected Move3.6%3.4%4.0%3.8%3.4%
HV 20d12.5%11.1%13.5%11.1%12.4%
HV 60d11.5%10.5%11.9%11.4%11.3%
IV Rank7.8%2.1%18.5%8.0%4.5%
IV Percentile14.5%0.4%49.6%10.7%5.6%
Term Structure0.2%-0.4%0.8%0.2%-0.2%
VWIV13.5%12.2%17.2%13.7%12.6%
Skew 25d2.5%1.7%3.5%2.8%1.9%
Skew 10d5.1%-0.5%7.2%6.6%4.4%
Call IV 25d11.8%11.2%13.2%11.6%11.7%
Put IV 25d14.3%13.2%16.3%14.4%13.6%
Bid-Ask Spread %43.637.6679.0840.6277.62
Gamma HHI0.190.130.290.140.24
Net GEX172.8M88.3M270.7M88.3M182.6M
Net DEX-1.84B-2.56B-894.8M-894.8M-2.56B
Net VEX-7.0M-8.2M-5.9M-7.0M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.242.901.191.56
Total Volume54,991.44,800433,85942,63312,797
Total OI843,309.6634,924912,994634,924912,994

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$114.72$110.0012.9%3.8%11.1%8.0%13.7%2.8%0.2%88.3M-894.8M-7.0M1.1940.6219,48723,146231,542403,382
2024-02-02$115.69$110.0013.2%3.8%11.4%10.2%15.3%1.7%0.4%106.3M-1.25B-7.1M1.2710.538,13310,331247,975423,818
2024-02-05$115.03$110.0013.1%3.8%11.6%9.7%14.0%2.9%-0.1%113.4M-1.14B-6.7M1.9815.973,5336,986249,676404,665
2024-02-06$115.81$110.0012.5%3.6%11.6%5.5%14.0%2.4%-0.0%123.6M-1.31B-6.6M1.049.04185,880192,740250,376408,313
2024-02-07$116.81$110.0012.2%3.5%11.8%3.4%12.2%2.2%0.0%184.2M-1.75B-7.7M2.909.292,7938,109354,519512,028
2024-02-08$116.78$110.0012.1%3.5%11.8%2.1%12.7%2.1%0.2%175.0M-1.72B-8.1M2.699.561,3023,498355,788513,498
2024-02-09$116.78$110.0012.2%3.5%11.8%2.9%12.7%1.9%0.1%169.2M-1.68B-7.7M2.3511.805,19712,200355,894515,320
2024-02-12$117.16$110.0012.6%3.6%11.8%5.7%12.4%2.7%0.6%186.4M-1.73B-7.4M1.437.665,6978,146346,985514,821
2024-02-13$115.59$111.0013.6%3.9%12.1%13.2%17.2%3.0%0.6%116.7M-1.15B-8.2M0.9512.8214,14213,394350,129520,758
2024-02-14$117.78$109.0012.3%3.5%13.1%4.2%12.8%2.6%0.5%210.5M-2.05B-7.5M0.707.978,7026,087365,954535,590
2024-02-15$118.63$110.0012.5%3.6%12.6%5.4%13.1%2.6%0.8%215.8M-2.29B-7.4M2.6667.082,9017,728366,323540,965
2024-02-16$118.05$110.0013.4%3.8%12.9%11.8%13.2%2.4%0.8%183.6M-2.05B-7.6M1.8765.686,06111,318366,189545,019
2024-02-20$117.47$110.0014.3%4.0%13.0%17.8%15.5%3.1%0.1%178.3M-1.72B-7.4M2.4379.081,7874,345355,107524,100
2024-02-21$117.87$110.0014.4%3.9%12.9%18.5%14.3%3.5%-0.2%192.7M-1.88B-7.0M1.6878.552,7894,689356,003525,870
2024-02-22$119.59$110.0012.9%3.5%13.4%7.9%12.6%2.5%0.1%270.7M-2.45B-6.5M1.0377.75213,422220,437358,103529,019
2024-02-23$120.31$110.0012.6%3.4%13.4%6.1%12.2%2.3%-0.4%221.0M-2.42B-6.4M1.7773.0912,70122,424364,395538,709
2024-02-26$120.22$110.0013.0%3.6%13.5%8.3%12.4%2.3%0.2%187.0M-2.29B-6.3M0.2476.8113,4193,159363,562546,564
2024-02-27$120.13$110.0012.3%3.5%13.5%3.7%12.6%2.3%-0.3%166.5M-2.21B-6.2M1.8276.852,6054,735355,820548,588
2024-02-28$120.47$110.0012.8%3.5%13.5%7.6%13.4%1.9%-0.1%184.9M-2.35B-6.1M1.9264.874,4608,548357,206550,625
2024-02-29$121.06$110.0012.4%3.4%12.4%4.5%12.6%1.9%-0.2%182.6M-2.56B-5.9M1.5677.624,9947,803359,268553,726