XLI Options History — November 2024

In November 2024, XLI traded between $133.88 and $144.21. ATM implied volatility averaged 15.1%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.6% (HV 20d: 17.8%). Max pain ranged from $135.00 to $136.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.00.

Notable Days

  • 2024-11-22: Highest Volume — 445,571 contracts
  • 2024-11-06: Largest IV drop — 18.0% change
  • 2024-11-04: Highest IV Rank — 59.3%
  • 2024-11-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$140.45$133.88$144.21$134.16$144.21
Max Pain$135.15$135.00$136.00$136.00$135.00
ATM IV15.1%13.6%19.2%18.6%13.8%
Expected Move4.4%3.9%6.1%6.1%4.0%
HV 20d17.8%10.9%19.6%10.9%19.0%
HV 60d14.2%11.5%15.2%11.5%14.2%
IV Rank30.7%20.0%59.3%54.7%21.3%
IV Percentile70.8%52.8%98.4%98.0%54.0%
Term Structure-0.1%-0.9%0.6%-0.4%0.3%
VWIV15.9%14.0%22.7%22.7%15.4%
Skew 25d2.3%-4.4%5.6%5.0%1.8%
Skew 10d6.1%2.5%10.7%9.9%3.6%
Call IV 25d14.1%12.6%16.8%16.6%13.1%
Put IV 25d16.4%8.8%22.4%21.7%14.9%
Bid-Ask Spread %57.9327.3268.7127.3268.10
Gamma HHI0.130.100.220.130.13
Net GEX42.9M-72.0M136.5M-65.5M133.2M
Net DEX-973.8M-1.62B74.6M23.0M-1.50B
Net VEX-6.4M-7.4M-5.3M-7.4M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.3521.580.782.96
Total Volume74,128.456,869445,57112,03333,111
Total OI751,914.35681,893832,851695,310832,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$134.16$136.0018.6%6.1%10.9%54.7%22.7%5.0%-0.4%-65.5M23.0M-7.4M0.7827.326,7745,259224,785470,525
2024-11-04$133.88$135.0019.2%5.3%10.9%59.3%18.1%5.6%-0.5%-65.5M74.6M-7.1M2.1448.932,7275,845221,909460,901
2024-11-05$135.80$135.0018.6%5.2%11.9%54.8%18.5%4.4%-0.5%-16.1M-374.4M-6.6M3.6239.635,61220,304223,736458,157
2024-11-06$141.50$135.0015.2%4.5%18.7%31.3%16.7%3.4%0.2%136.5M-1.62B-5.4M1.4465.55110,366158,603228,708473,621
2024-11-07$140.67$135.0014.0%4.2%18.8%22.6%15.2%-4.4%0.3%95.7M-1.23B-5.9M1.3966.5694,040130,340237,069486,342
2024-11-08$142.00$135.0013.6%4.1%17.9%20.0%14.3%2.5%0.4%81.5M-1.28B-5.8M0.3565.3220,3467,085239,082490,323
2024-11-11$143.18$135.0014.1%4.1%18.0%23.2%14.3%3.0%0.1%112.3M-1.49B-5.8M0.6066.5919,51211,720244,375483,103
2024-11-12$142.06$135.0014.2%4.1%18.1%24.1%15.6%2.0%0.3%91.2M-1.32B-6.0M0.8566.593,7053,164248,480492,759
2024-11-13$142.44$135.0013.7%4.0%18.0%20.8%15.5%1.8%0.3%113.2M-1.46B-5.3M3.0962.081,8155,609247,578494,044
2024-11-14$139.97$135.0014.2%4.1%19.1%24.5%14.0%1.8%-0.1%31.5M-880.2M-5.8M21.4868.713,14267,504248,305497,565
2024-11-15$138.93$136.0015.1%4.4%19.3%30.6%15.3%2.1%0.6%-72.0M-432.4M-7.3M5.0859.695,63528,626248,809542,641
2024-11-18$138.97$136.0015.0%4.3%19.3%30.1%16.3%2.2%-0.6%-57.2M-377.2M-6.7M1.7258.0815,72327,038230,882506,300
2024-11-19$138.78$135.0015.3%4.4%19.0%31.8%14.7%2.5%-0.4%-68.0M-397.9M-6.9M1.1358.1715,89518,027245,192521,464
2024-11-20$138.76$135.0015.8%4.5%18.9%35.7%16.3%2.1%-0.2%-60.5M-446.7M-6.9M3.8760.551,8837,279254,079522,744
2024-11-21$140.82$135.0015.2%4.4%19.3%31.0%15.7%2.3%-0.0%6.0M-856.0M-6.7M0.3946.7811,9174,636255,121528,328
2024-11-22$142.37$135.0014.7%4.2%19.5%27.4%15.0%2.1%-0.2%115.7M-1.36B-5.9M1.4259.55184,187261,384262,535532,566
2024-11-25$143.56$135.0014.3%4.1%19.6%24.7%14.4%2.1%-0.5%111.2M-1.53B-6.5M1.1648.065,5576,419257,171531,378
2024-11-26$143.79$135.0013.8%3.9%19.5%21.0%16.0%1.9%-0.5%127.8M-1.61B-6.2M4.9254.611,4987,368260,195536,525
2024-11-27$143.25$135.0014.2%4.2%19.6%24.3%14.6%1.7%-0.9%108.0M-1.40B-6.4M21.5867.687,216155,698260,419537,720
2024-11-29$144.21$135.0013.8%4.0%19.0%21.3%15.4%1.8%0.3%133.2M-1.50B-6.8M2.9668.108,35824,753261,405571,446