XLI Options History — September 2015

In September 2015, XLI traded between $48.94 and $52.57. ATM implied volatility averaged 21.8%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.0% (HV 20d: 24.8%). Max pain ranged from $49.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.27.

Notable Days

  • 2015-09-17: Highest Volume — 59,016 contracts
  • 2015-09-28: Largest IV spike — 18.1% change
  • 2015-09-01: Highest IV Rank — 71.4%
  • 2015-09-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.78$48.94$52.57$49.96$49.94
Max Pain$51.05$49.00$55.00$55.00$51.00
ATM IV21.8%17.9%27.0%27.0%21.9%
Expected Move6.3%5.1%8.5%8.5%6.6%
HV 20d24.8%22.1%27.0%23.7%23.1%
HV 60d18.5%17.0%19.9%17.0%19.9%
IV Rank48.2%31.2%71.4%71.4%47.4%
IV Percentile93.2%82.5%99.2%99.2%93.3%
Term Structure0.1%-1.9%1.5%0.1%1.1%
VWIV24.1%19.5%28.9%28.9%24.2%
Skew 25d7.2%6.1%9.2%6.9%6.1%
Skew 10d13.4%8.8%18.2%11.8%14.0%
Call IV 25d19.1%16.1%24.8%24.8%19.1%
Put IV 25d26.3%22.3%31.6%31.6%25.2%
Bid-Ask Spread %32.2816.3261.2634.8118.81
Gamma HHI0.230.130.320.130.23
Net GEX-39.7M-61.6M-21.6M-45.6M-25.1M
Net DEX655.1M237.9M1.46B1.46B315.4M
Net VEX-1.4M-1.6M-1.2M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.885.973.561.41
Total Volume30,993.24,16659,01653,43021,215
Total OI306,581.85190,564468,883456,768204,250

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$49.96$55.0027.0%8.5%23.7%71.4%28.9%6.9%0.1%-45.6M1.46B-1.5M3.5634.8111,71541,71578,642378,126
2015-09-02$50.93$55.0024.3%6.9%24.9%59.5%28.8%9.2%-1.0%-53.5M1.39B-1.6M2.9420.3112,88337,88781,483374,421
2015-09-03$51.13$49.0022.7%6.3%25.0%52.8%24.4%7.6%-0.3%-52.3M1.36B-1.5M2.4335.0010,91526,52984,605381,549
2015-09-04$50.53$50.0023.9%6.5%25.2%57.9%24.6%8.3%-0.5%-40.0M1.42B-1.5M2.2947.399,85722,60886,365382,518
2015-09-08$51.53$50.0021.1%5.9%25.3%45.7%25.3%9.1%-1.2%-44.4M549.6M-1.5M5.9740.925983,56878,088220,219
2015-09-09$51.15$50.0021.1%6.3%25.2%45.3%23.2%6.6%1.0%-40.8M591.3M-1.4M2.1139.388,34717,62778,410222,146
2015-09-10$51.18$50.0021.6%6.2%25.2%47.5%23.7%7.6%0.2%-43.6M595.9M-1.4M2.1237.345,92412,52981,108224,039
2015-09-11$51.42$50.0021.9%6.3%25.4%48.9%24.2%6.8%1.4%-40.5M588.6M-1.4M3.5331.296,28822,20281,293224,110
2015-09-14$51.20$51.0021.5%6.2%25.2%47.5%25.2%7.7%-0.6%-41.9M615.8M-1.3M5.1731.486,10931,59479,999226,909
2015-09-15$52.14$51.0019.8%5.7%26.2%39.6%22.9%6.6%-0.1%-58.2M521.4M-1.4M1.7732.345,0678,95980,228232,182
2015-09-16$52.57$51.0017.9%5.1%26.4%31.2%23.3%6.1%0.1%-61.6M461.0M-1.4M2.4127.3413,36932,16084,147240,217
2015-09-17$52.21$51.0019.3%5.6%26.3%37.7%22.9%6.5%-1.9%-52.7M529.1M-1.4M1.3261.2625,45133,56592,173253,247
2015-09-18$50.87$51.0020.4%5.8%27.0%42.5%19.9%7.3%0.7%-44.3M705.8M-1.4M1.5743.9518,45028,947102,322264,020
2015-09-21$51.10$51.0018.9%5.4%25.4%35.8%19.5%7.1%0.4%-21.6M237.9M-1.3M0.8823.9911,49210,15757,150133,414
2015-09-23$50.06$51.0020.1%6.0%24.6%39.5%22.5%6.9%0.5%-26.9M326.9M-1.3M0.9123.6911,67710,68259,444147,255
2015-09-24$49.69$51.0022.0%6.5%24.1%48.1%22.1%6.9%-0.1%-27.7M360.3M-1.3M1.5421.4512,64819,48658,754147,615
2015-09-25$49.86$51.0021.1%6.1%23.0%43.8%24.9%6.7%0.6%-24.8M328.4M-1.3M1.0927.1210,75511,72660,873144,249
2015-09-28$48.94$51.0024.9%7.5%22.1%61.1%25.9%6.6%1.5%-23.2M374.4M-1.2M1.0431.489,63710,00058,949143,104
2015-09-29$49.14$51.0024.7%7.4%22.2%60.2%26.2%8.2%-0.8%-24.5M373.6M-1.2M1.3916.3210,68514,84160,074143,940
2015-09-30$49.94$51.0021.9%6.6%23.1%47.4%24.2%6.1%1.1%-25.1M315.4M-1.3M1.4118.818,79212,42360,237144,013