XLI Options History — March 2024

In March 2024, XLI traded between $120.66 and $126.10. ATM implied volatility averaged 12.5%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.7% (HV 20d: 10.8%). Max pain ranged from $110.00 to $123.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.82.

Notable Days

  • 2024-03-20: Highest Volume — 413,644 contracts
  • 2024-03-28: Largest IV spike — 12.9% change
  • 2024-03-11: Highest IV Rank — 15.9%
  • 2024-03-11: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.06$120.66$126.10$121.50$126.10
Max Pain$120.90$110.00$123.00$110.00$123.00
ATM IV12.5%10.8%14.0%12.5%12.2%
Expected Move3.6%3.1%3.9%3.3%3.3%
HV 20d10.8%9.1%12.4%11.6%10.9%
HV 60d11.4%11.1%11.7%11.3%11.3%
IV Rank6.9%0.0%15.9%5.4%13.8%
IV Percentile12.9%0.0%47.6%7.1%2.8%
Term Structure0.2%-0.3%1.1%0.1%0.4%
VWIV12.9%11.5%14.4%11.8%11.6%
Skew 25d1.3%-0.0%1.8%1.7%1.4%
Skew 10d3.0%-5.0%4.7%3.6%3.1%
Call IV 25d12.0%10.9%13.3%11.7%11.1%
Put IV 25d13.4%10.9%14.9%13.4%12.5%
Bid-Ask Spread %51.2030.7273.1973.1934.52
Gamma HHI0.230.160.350.300.25
Net GEX146.7M29.6M278.2M115.3M87.3M
Net DEX-1.63B-2.79B-969.9M-2.79B-1.34B
Net VEX-6.3M-7.5M-5.3M-5.5M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.444.592.412.26
Total Volume54,664.17,005413,64418,16122,026
Total OI795,807.9533,867964,242918,809564,433

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$121.50$110.0012.5%3.3%11.6%5.4%11.8%1.7%0.1%115.3M-2.79B-5.5M2.4173.195,32712,834361,919556,890
2024-03-04$122.03$121.0012.3%3.6%11.4%3.6%13.1%1.4%0.1%119.9M-1.71B-5.3M1.0042.21204,267204,908265,818447,073
2024-03-05$120.66$121.0012.3%3.9%12.1%3.6%13.8%1.5%0.1%74.4M-1.30B-7.5M2.1537.214,4689,618368,451549,537
2024-03-06$121.56$121.0013.6%3.9%12.1%13.0%13.7%1.5%0.0%114.9M-1.56B-7.4M3.4251.111,8006,156369,468557,972
2024-03-07$122.60$121.0013.3%3.8%12.1%10.4%13.7%1.4%0.4%173.1M-1.84B-7.3M1.8640.092,4454,560370,482562,273
2024-03-08$122.28$121.0013.6%3.9%12.2%12.5%13.5%1.5%-0.2%160.3M-1.78B-7.1M1.2039.657,2168,636371,317566,542
2024-03-11$121.70$122.0014.0%3.9%12.4%15.9%14.2%1.6%-0.3%110.1M-1.51B-7.1M4.5933.521,8448,469371,470563,873
2024-03-12$122.09$121.0013.2%3.8%12.4%10.2%14.4%1.3%-0.0%151.7M-1.70B-6.6M0.4457.285,9672,597371,646563,720
2024-03-13$122.44$121.0012.5%3.7%11.0%5.0%13.0%0.8%0.4%226.5M-1.93B-6.4M3.2056.443,61811,593376,075564,548
2024-03-14$121.56$121.0012.2%3.7%9.8%3.0%13.0%1.8%0.3%150.0M-1.45B-6.6M0.9157.3514,15112,872377,864571,885
2024-03-15$121.97$121.0013.2%3.8%9.6%10.2%13.3%1.3%0.6%278.2M-1.69B-6.7M0.8060.107,6696,142385,985578,257
2024-03-18$122.06$122.0012.8%3.7%9.3%7.8%12.8%1.5%0.4%212.2M-1.19B-6.1M2.0755.822,2944,738323,941392,369
2024-03-19$122.75$122.0012.4%3.6%9.1%5.0%14.0%1.6%0.2%239.9M-1.43B-5.9M0.9756.029,7279,451325,545390,753
2024-03-20$124.34$121.0012.0%3.4%9.9%1.8%12.4%1.2%0.1%259.7M-1.97B-5.3M1.0362.46203,656209,988333,023399,667
2024-03-21$125.77$121.0011.4%3.3%9.4%0.0%11.5%1.3%0.2%223.4M-2.08B-5.5M1.2062.656,5567,872333,092404,725
2024-03-22$125.38$121.0011.5%3.3%9.5%0.8%11.6%1.2%0.2%72.3M-1.93B-5.6M2.0064.546,91213,813336,990410,739
2024-03-25$124.50$122.0012.5%3.5%10.0%9.0%12.4%1.2%0.2%44.8M-1.04B-6.0M1.8846.564,3498,188231,298302,569
2024-03-26$124.10$122.0012.2%3.4%10.1%6.8%12.3%1.2%0.2%29.6M-969.9M-6.2M1.4762.495,6338,276234,541307,820
2024-03-27$125.72$123.0010.8%3.1%10.9%0.0%11.8%-0.0%1.1%90.6M-1.35B-5.5M1.6130.728,68513,961238,875312,713
2024-03-28$126.10$123.0012.2%3.3%10.9%13.8%11.6%1.4%0.4%87.3M-1.34B-5.9M2.2634.526,75815,268242,142322,291