XLI Options History — August 2024

In August 2024, XLI traded between $120.34 and $131.00. ATM implied volatility averaged 16.0%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.9% (HV 20d: 20.9%). Max pain ranged from $123.00 to $124.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.49.

Notable Days

  • 2024-08-05: Highest Volume — 450,064 contracts
  • 2024-08-05: Largest IV spike — 21.1% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.27$120.34$131.00$125.31$131.00
Max Pain$123.95$123.00$124.00$124.00$124.00
ATM IV16.0%12.8%25.0%17.8%13.8%
Expected Move4.6%3.7%7.0%5.6%3.9%
HV 20d20.9%14.3%23.6%19.3%14.3%
HV 60d15.9%13.9%16.5%13.9%15.8%
IV Rank39.2%14.2%100.0%69.6%21.0%
IV Percentile72.9%31.0%100.0%94.4%61.5%
Term Structure0.2%-1.4%2.8%-1.4%-0.0%
VWIV16.8%13.4%24.6%19.9%13.9%
Skew 25d3.9%2.3%9.4%3.3%3.5%
Skew 10d7.6%3.8%17.5%6.3%5.2%
Call IV 25d14.4%11.6%21.2%16.6%12.4%
Put IV 25d18.3%14.2%30.6%19.9%15.9%
Bid-Ask Spread %55.3916.4166.7647.3062.21
Gamma HHI0.100.070.230.110.23
Net GEX59.9M-170.6M366.5M-78.5M366.5M
Net DEX-605.3M-1.81B1.43B-86.8M-1.81B
Net VEX-7.0M-8.8M-5.5M-7.8M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.516.273.923.57
Total Volume77,008.0915,608450,06440,46613,612
Total OI798,710.636695,795871,444695,795871,444

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$125.31$124.0017.8%5.6%19.3%69.6%19.9%3.3%-1.4%-78.5M-86.8M-7.8M3.9247.308,22732,239226,408469,387
2024-08-02$122.59$124.0020.6%6.5%21.0%97.7%22.3%4.9%-0.7%-169.2M802.7M-8.5M3.2345.718,73428,241231,629493,298
2024-08-05$120.34$124.0025.0%7.0%22.0%100.0%24.6%9.4%0.5%-170.6M1.43B-8.8M1.4946.80180,713269,351229,456491,144
2024-08-06$122.87$124.0020.5%6.0%23.3%68.4%23.5%8.6%1.4%-95.4M282.8M-8.1M5.3446.265,36828,679226,227496,854
2024-08-07$121.94$124.0020.7%5.9%23.4%69.7%21.0%5.0%2.8%-121.6M534.2M-8.1M3.5650.305,34719,057226,670498,860
2024-08-08$124.18$124.0018.5%5.4%23.6%54.0%19.0%4.2%-0.4%-78.9M-103.4M-7.6M1.3846.99173,677239,912230,212511,398
2024-08-09$124.13$124.0016.8%4.8%23.4%42.0%18.0%3.7%0.8%-90.3M-81.7M-8.1M6.2760.142,93918,438280,085582,426
2024-08-12$123.52$124.0017.5%4.9%23.4%47.2%16.7%3.8%-0.5%-78.1M22.4M-7.5M1.0961.066,2846,863273,848565,934
2024-08-13$124.82$124.0015.8%4.6%22.0%35.1%15.3%4.0%0.3%-24.4M-375.6M-7.1M0.5163.785,9053,026277,922570,026
2024-08-14$125.50$124.0014.8%4.3%21.8%28.4%15.0%3.5%0.5%16.2M-611.8M-7.0M1.2561.674,6605,821279,500570,717
2024-08-15$127.16$124.0013.5%3.9%22.1%19.0%16.1%2.9%0.1%91.1M-1.06B-6.4M1.7755.086,86212,119280,484574,262
2024-08-16$127.03$123.0012.9%3.7%22.0%14.8%13.9%2.9%0.3%208.2M-1.19B-6.1M4.0666.765,50422,345283,294573,066
2024-08-19$127.53$124.0012.8%3.7%21.7%14.2%13.4%2.3%0.3%158.7M-1.03B-5.9M0.6665.519,4326,259259,144463,952
2024-08-20$127.27$124.0013.3%3.8%21.8%17.7%15.0%2.4%0.0%152.2M-1.06B-5.8M3.8559.944,66417,966267,326468,197
2024-08-21$128.09$124.0013.8%3.9%20.2%21.0%13.6%2.6%0.1%168.6M-1.26B-5.5M1.4553.7693,845136,367271,098465,357
2024-08-22$127.97$124.0015.2%4.2%20.0%31.2%16.7%2.7%-0.2%113.8M-996.1M-6.3M1.3560.4396,373129,797269,029477,345
2024-08-23$129.14$124.0013.8%3.9%19.6%21.1%14.8%2.8%-0.0%179.1M-1.35B-7.0M4.0563.963,84815,585318,801544,425
2024-08-26$129.13$124.0013.9%4.0%19.6%22.2%13.9%3.0%-0.1%178.7M-1.27B-6.6M0.5161.549,1694,638315,006536,801
2024-08-27$129.24$124.0013.7%3.9%19.6%20.5%13.4%3.1%0.0%179.2M-1.31B-6.7M1.7462.502,4254,210322,588540,723
2024-08-28$129.13$124.0014.5%4.1%19.0%26.1%14.3%3.0%-0.2%178.7M-1.26B-6.6M1.9260.571,9193,689323,590544,035
2024-08-29$130.09$124.0013.9%4.0%16.7%21.8%14.6%3.3%-0.2%233.9M-1.55B-6.6M1.8816.4113,92326,146324,219545,447
2024-08-30$131.00$124.0013.8%3.9%14.3%21.0%13.9%3.5%-0.0%366.5M-1.81B-6.0M3.5762.212,97610,636314,540556,904