XLI Options History — July 2024 In July 2024, XLI traded between $120.50 and $128.39. ATM implied volatility averaged 14.3%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.1% (HV 20d: 13.2%). Max pain ranged from $122.00 to $125.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.52.
Notable Days 2024-07-16 : Highest Volume — 479,323 contracts2024-07-24 : Largest IV spike — 20.6% change2024-07-24 : Highest IV Rank — 62.8%2024-07-25 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $124.31 $120.50 $128.39 $120.50 $128.39 Max Pain $123.27 $122.00 $125.00 $123.00 $124.00 ATM IV 14.3% 12.6% 17.1% 13.2% 14.9% Expected Move 4.1% 3.5% 4.7% 3.8% 4.4% HV 20d 13.2% 10.2% 16.9% 11.1% 16.8% HV 60d 11.7% 10.4% 13.1% 11.2% 13.1% IV Rank 34.8% 18.2% 62.8% 24.4% 40.8% IV Percentile 61.1% 24.2% 91.7% 47.6% 75.8% Term Structure -0.1% -3.4% 2.8% -0.0% -0.1% VWIV 14.8% 12.1% 18.0% 12.7% 15.6% Skew 25d 2.2% -1.3% 3.3% 3.0% 2.6% Skew 10d 4.8% 2.3% 6.8% 5.7% 4.8% Call IV 25d 13.4% 11.2% 15.5% 11.9% 13.5% Put IV 25d 15.6% 13.0% 17.7% 14.9% 16.1% Bid-Ask Spread % 36.92 6.02 57.93 49.64 57.93 Gamma HHI 0.19 0.13 0.49 0.18 0.17 Net GEX 11.1M -169.9M 566.9M -138.2M 35.2M Net DEX -252.4M -1.86B 564.1M 493.5M -944.9M Net VEX -7.4M -8.2M -6.4M -8.2M -6.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.52 0.82 16.59 1.99 1.97 Total Volume 85,036.227 5,751 479,323 19,756 12,759 Total OI 808,842.136 674,260 957,860 820,914 691,501
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2024-07-01 $120.50 $123.00 13.2% 3.8% 11.1% 24.4% 12.7% 3.0% -0.0% -138.2M 493.5M -8.2M 1.99 49.64 6,609 13,147 290,514 530,400 2024-07-02 $121.10 $123.00 12.6% 3.5% 10.9% 18.5% 12.1% 3.0% 0.1% -108.7M 379.6M -8.2M 3.81 29.08 1,630 6,207 291,467 534,381 2024-07-03 $121.65 $123.00 12.7% 3.5% 11.0% 19.5% 12.3% 2.7% -0.1% -60.9M 102.5M -7.8M 1.79 55.83 2,472 4,428 290,703 537,445 2024-07-05 $121.22 $122.00 13.0% 3.7% 10.4% 21.6% 12.8% 2.8% -0.1% -107.5M 298.6M -7.7M 16.59 29.68 2,647 43,919 292,714 540,221 2024-07-08 $121.48 $122.00 12.6% 3.7% 10.2% 18.2% 12.1% -1.3% 0.9% -74.6M 193.4M -7.4M 2.94 32.15 5,999 17,633 292,609 554,544 2024-07-09 $121.03 $122.00 13.1% 3.7% 10.2% 22.7% 12.8% 2.5% -0.0% -114.4M 368.4M -7.6M 1.82 19.36 3,234 5,896 298,544 571,404 2024-07-10 $121.63 $122.00 12.9% 3.7% 10.4% 20.8% 13.2% 3.3% 0.0% -55.1M 136.3M -7.2M 4.50 22.03 2,049 9,228 300,133 577,928 2024-07-11 $123.56 $122.00 13.0% 3.8% 11.6% 22.3% 13.5% 2.7% 0.1% 125.4M -500.4M -7.4M 0.97 48.42 12,095 11,709 301,730 578,150 2024-07-12 $124.55 $122.00 13.3% 3.7% 11.5% 25.1% 14.5% 2.2% 2.8% 190.2M -885.6M -6.8M 1.33 7.61 192,108 256,454 302,592 584,801 2024-07-15 $125.06 $122.00 13.6% 3.9% 11.3% 28.1% 14.2% 2.1% 0.1% 153.5M -833.8M -7.6M 0.82 6.02 8,373 6,843 304,700 592,848 2024-07-16 $128.09 $122.00 14.3% 4.1% 13.1% 34.6% 14.9% 2.2% -0.3% 228.1M -1.86B -6.6M 1.29 8.91 209,032 270,291 306,317 597,130 2024-07-17 $126.69 $124.00 15.0% 4.3% 13.4% 41.6% 15.4% 1.6% 0.2% 108.2M -1.05B -7.7M 1.49 51.31 7,538 11,244 321,962 612,934 2024-07-18 $125.66 $124.00 15.9% 4.6% 13.8% 51.2% 16.1% 2.1% 2.4% 106.7M -589.6M -8.2M 2.39 48.46 16,669 39,813 324,016 617,759 2024-07-19 $124.78 $125.00 16.3% 4.5% 14.1% 54.4% 15.8% 1.7% -0.2% 566.9M -9.6M -7.9M 1.33 54.04 25,114 33,293 325,869 631,991 2024-07-22 $126.00 $125.00 14.1% 4.2% 14.4% 32.6% 16.3% 2.3% -3.0% -83.8M -119.6M -7.2M 15.94 39.62 3,752 59,805 212,638 461,622 2024-07-23 $126.06 $125.00 14.2% 4.2% 14.3% 33.9% 18.0% 2.0% -3.4% -85.9M -167.2M -6.8M 1.00 47.47 12,899 12,917 214,243 462,312 2024-07-24 $123.35 $124.00 17.1% 4.6% 15.9% 62.8% 16.0% 3.1% 0.1% -169.9M 564.1M -7.9M 2.58 39.04 5,229 13,489 219,810 468,487 2024-07-25 $124.60 $124.00 16.3% 4.7% 16.2% 54.9% 18.0% 1.9% -0.5% -134.7M 153.7M -7.6M 9.16 42.57 5,904 54,102 226,184 470,322 2024-07-26 $126.41 $124.00 14.8% 4.6% 16.9% 39.9% 17.1% 1.9% -1.0% -76.0M -311.9M -6.9M 1.42 41.26 186,224 265,172 228,133 458,205 2024-07-29 $126.45 $124.00 15.6% 4.6% 16.9% 48.2% 16.0% 2.3% -0.9% -32.5M -428.3M -7.3M 1.02 32.53 3,529 3,591 223,462 462,532 2024-07-30 $126.59 $124.00 15.9% 4.7% 16.3% 50.4% 16.1% 2.3% -0.4% -28.0M -542.3M -7.1M 1.30 49.31 2,498 3,253 225,143 464,127 2024-07-31 $128.39 $124.00 14.9% 4.4% 16.8% 40.8% 15.6% 2.6% -0.1% 35.2M -944.9M -6.4M 1.97 57.93 4,303 8,456 226,242 465,259
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