XLI Options History — June 2024

In June 2024, XLI traded between $121.00 and $123.37. ATM implied volatility averaged 12.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.3% (HV 20d: 11.3%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 3.77.

Notable Days

  • 2024-06-13: Highest Volume — 446,981 contracts
  • 2024-06-12: Largest IV drop — 13.2% change
  • 2024-06-11: Highest IV Rank — 30.2%
  • 2024-06-03: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.29$121.00$123.37$121.66$121.72
Max Pain$122.18$115.00$125.00$115.00$122.50
ATM IV12.7%11.6%13.8%11.6%12.7%
Expected Move3.7%3.5%4.1%4.1%3.7%
HV 20d11.3%10.0%12.7%10.5%10.9%
HV 60d11.4%11.1%11.6%11.2%11.1%
IV Rank19.0%8.1%30.2%8.3%19.0%
IV Percentile27.2%4.4%57.9%4.4%27.4%
Term Structure0.1%-3.8%3.8%3.8%-1.1%
VWIV13.7%12.1%16.3%13.9%14.3%
Skew 25d2.1%-2.9%3.1%2.8%-0.2%
Skew 10d5.3%1.4%7.1%5.1%6.0%
Call IV 25d12.2%11.0%17.6%11.9%14.8%
Put IV 25d14.3%13.1%15.0%14.6%14.7%
Bid-Ask Spread %46.5212.3270.6370.6326.95
Gamma HHI0.160.100.480.100.15
Net GEX-104.6M-543.5M12.2M-163.9M-58.4M
Net DEX-407.9M-953.0M152.2M-171.4M92.8M
Net VEX-6.8M-7.7M-5.8M-7.7M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.770.9713.671.341.34
Total Volume70,078.6326,365446,98119,939436,066
Total OI874,837586,7101,161,6881,112,639610,561

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$121.66$115.0011.6%4.1%10.5%8.3%13.9%2.8%3.8%-163.9M-171.4M-7.7M1.3470.638,53011,409461,996650,643
2024-06-04$121.59$115.0012.3%4.0%10.0%15.6%14.5%1.5%-1.9%-199.4M-155.2M-7.4M5.6464.784,13923,348468,440654,935
2024-06-05$122.82$115.0012.8%3.8%10.6%19.9%13.5%2.7%0.1%-72.2M-654.2M-7.4M1.9066.4320,53539,071468,479668,001
2024-06-06$122.00$125.0013.1%3.7%10.8%23.3%13.6%2.6%0.1%-175.7M-331.3M-7.1M2.3937.033,4988,347477,380678,091
2024-06-07$122.38$125.0011.6%3.7%10.4%8.1%12.4%2.3%0.9%-121.7M-493.3M-7.0M5.1855.913,67619,036479,588682,100
2024-06-10$122.59$125.0012.5%3.6%10.4%17.0%13.8%2.2%-0.2%-87.9M-637.2M-6.5M4.8141.461,3496,486385,044548,857
2024-06-11$121.87$124.0013.8%3.8%10.5%30.2%14.0%-2.9%0.7%-158.3M-401.0M-6.1M1.6053.539,84615,726385,567554,402
2024-06-12$123.00$124.0012.0%3.5%11.1%12.1%12.1%2.8%0.3%-40.1M-881.3M-5.8M2.5765.216,62317,031391,120559,138
2024-06-13$122.31$124.0011.9%3.5%11.0%11.1%13.7%2.2%0.3%-149.6M-578.1M-5.9M1.3260.37192,384254,597393,032571,915
2024-06-14$121.00$123.0013.1%3.8%11.5%23.4%16.3%2.8%0.5%-543.5M152.2M-7.1M13.6738.584,71964,495383,511572,547
2024-06-17$122.56$123.0013.1%3.8%12.6%22.7%15.0%3.1%0.4%-3.1M-865.9M-6.6M6.7925.419,30163,195290,951453,147
2024-06-18$123.12$123.0012.9%3.7%12.7%21.1%13.8%3.0%0.3%12.2M-953.0M-7.1M2.6340.431,7534,612297,104505,106
2024-06-20$123.27$123.0013.2%3.8%12.7%24.0%13.5%2.9%-0.1%11.8M-934.0M-7.2M5.2221.924,01220,935298,004507,483
2024-06-21$122.91$123.0013.1%3.7%12.7%23.5%13.2%3.1%0.5%-60.2M-861.8M-7.0M4.9950.582,23711,170298,935524,926
2024-06-24$123.37$123.0012.9%3.6%12.1%20.9%14.4%3.0%0.3%8.9M-331.0M-6.5M5.5754.993,97022,113192,896393,814
2024-06-25$122.02$123.0013.0%3.8%12.5%22.3%12.9%3.0%-3.8%-52.7M72.3M-7.1M2.5444.154,13810,527194,641408,150
2024-06-26$121.56$123.0012.9%3.7%11.8%21.0%12.9%3.1%0.5%-64.5M71.6M-6.7M0.9753.206,9396,709197,737407,173
2024-06-27$121.69$123.0012.6%3.7%11.0%18.2%12.3%0.5%0.1%-69.4M110.3M-7.0M1.1312.324,2084,764198,620407,869
2024-06-28$121.72$122.5012.7%3.7%10.9%19.0%14.3%-0.2%-1.1%-58.4M92.8M-6.9M1.3426.95186,197249,869202,554408,007