XLI Options History — May 2024

In May 2024, XLI traded between $121.38 and $125.80. ATM implied volatility averaged 12.2%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.7% (HV 20d: 10.5%). Max pain ranged from $114.00 to $120.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.17.

Notable Days

  • 2024-05-29: Highest Volume — 464,329 contracts
  • 2024-05-03: Largest IV drop — 28.7% change
  • 2024-05-02: Highest IV Rank — 58.8%
  • 2024-05-02: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.06$121.38$125.80$121.78$122.69
Max Pain$116.64$114.00$120.00$120.00$115.00
ATM IV12.2%11.0%16.7%13.9%12.4%
Expected Move3.6%3.1%4.4%4.4%3.7%
HV 20d10.5%7.8%12.5%12.5%10.6%
HV 60d11.3%10.6%12.0%11.9%11.2%
IV Rank14.5%1.9%58.8%30.5%16.6%
IV Percentile13.3%0.4%83.7%47.6%15.5%
Term Structure0.3%-5.0%4.4%4.4%-0.1%
VWIV12.8%10.9%16.8%15.3%12.5%
Skew 25d2.5%1.6%4.9%4.9%3.2%
Skew 10d5.1%3.6%8.2%7.0%7.5%
Call IV 25d11.1%10.1%13.5%13.1%11.5%
Put IV 25d13.6%11.9%18.1%18.1%14.7%
Bid-Ask Spread %63.4146.1774.6856.0661.52
Gamma HHI0.270.090.490.150.10
Net GEX156.4M-191.9M379.3M15.4M-83.0M
Net DEX-1.26B-2.13B71.4M-707.3M-562.1M
Net VEX-6.7M-8.4M-6.1M-6.8M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.3111.585.084.05
Total Volume74,792.9095,169464,3298,98721,248
Total OI922,076.364668,4991,106,661668,4991,106,661

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$121.78$120.0013.9%4.4%12.5%30.5%15.3%4.9%4.4%15.4M-707.3M-6.8M5.0856.061,4797,508297,562370,937
2024-05-02$121.69$120.0016.7%4.4%12.1%58.8%16.8%2.3%-5.0%5.3M-672.7M-6.7M1.2446.174,3245,376298,339375,340
2024-05-03$122.84$120.0011.9%3.8%11.5%11.4%14.6%2.0%3.4%64.8M-1.00B-6.5M1.0751.67217,200231,937300,859379,680
2024-05-06$123.82$114.0012.9%3.8%11.9%21.3%13.4%2.3%0.2%162.2M-1.44B-7.7M2.1572.644,3239,278396,169491,326
2024-05-07$124.34$114.0012.6%3.7%11.9%18.4%12.4%2.4%0.6%192.6M-1.61B-7.2M1.4652.044,2166,164398,577498,029
2024-05-08$124.45$114.0012.1%3.6%11.7%13.4%12.4%2.3%0.5%223.0M-1.64B-7.2M2.2460.371,6013,583399,657501,934
2024-05-09$125.44$114.0011.5%3.4%12.0%7.0%11.7%1.9%0.3%300.6M-2.04B-6.6M1.8956.193,3126,272400,202503,811
2024-05-10$125.72$114.0011.4%3.3%10.6%6.4%12.3%1.9%0.5%310.9M-2.11B-6.6M2.9658.053,92011,585400,915505,433
2024-05-13$125.19$114.0012.6%3.6%10.4%17.7%12.4%2.1%-0.1%269.0M-1.89B-6.4M1.0161.556,0596,101396,339496,602
2024-05-14$125.18$115.0011.7%3.5%10.4%9.5%12.5%2.7%0.9%290.3M-1.86B-6.5M0.3170.243,9531,216405,449503,982
2024-05-15$125.80$115.0012.4%3.3%10.0%16.2%11.7%2.2%-2.0%367.2M-2.13B-6.1M1.0964.8476,87683,542403,007504,453
2024-05-16$125.28$116.0011.2%3.3%10.1%4.5%11.6%1.8%0.3%325.1M-1.84B-6.2M1.2268.2266,83281,562422,558544,520
2024-05-17$125.15$116.0011.5%3.2%9.9%7.1%10.9%1.6%0.0%282.4M-1.82B-6.4M1.1174.6873,43881,288453,597587,776
2024-05-20$125.50$118.0011.1%3.2%9.5%3.1%11.0%2.0%0.6%379.3M-1.59B-6.8M0.8870.396,0775,344444,526577,486
2024-05-21$125.12$118.0011.0%3.1%8.6%1.9%12.7%2.0%0.7%363.8M-1.49B-6.4M0.3466.8922,9787,823449,603582,320
2024-05-22$125.13$119.0011.3%3.2%7.8%5.4%11.4%2.0%0.4%277.9M-1.37B-6.1M0.7060.179,7256,767430,149589,473
2024-05-23$123.68$118.0011.8%3.4%9.0%10.1%11.8%3.4%0.7%25.3M-696.6M-6.6M0.5769.3012,4267,087438,715593,909
2024-05-24$124.41$119.0011.4%3.3%9.2%6.3%11.0%2.0%0.1%77.3M-960.2M-6.1M11.5869.802,69231,172439,687599,513
2024-05-28$122.87$119.0012.5%3.6%10.2%17.2%12.7%3.6%-0.1%-81.6M-255.8M-6.6M4.7169.874,58221,587340,545504,053
2024-05-29$121.38$119.0012.1%3.7%10.2%12.7%16.4%3.2%1.6%-191.9M71.4M-6.4M1.2662.48205,218259,111342,417514,643
2024-05-30$121.84$115.0013.1%3.8%10.3%23.3%13.9%3.3%-0.2%-134.0M-142.3M-8.4M0.8471.8610,1598,503454,694640,233
2024-05-31$122.69$115.0012.4%3.7%10.6%16.6%12.5%3.2%-0.1%-83.0M-562.1M-7.7M4.0561.524,20517,043463,686642,975