XLI Options History — December 2015

In December 2015, XLI traded between $51.87 and $55.00. ATM implied volatility averaged 15.7%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.8% (HV 20d: 14.9%). Max pain ranged from $53.00 to $54.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 4.56.

Notable Days

2015-12-23: Highest Volume — 104,775 contracts
2015-12-11: Largest IV spike — 20.1% change
2015-12-11: Highest IV Rank — 38.1%
2015-12-14: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.39	$51.87	$55.00	$55.00	$53.17
Max Pain	$53.52	$53.00	$54.00	$54.00	$53.50
ATM IV	15.7%	13.4%	20.0%	13.6%	15.8%
Expected Move	4.6%	3.8%	5.6%	4.2%	4.5%
HV 20d	14.9%	10.4%	18.4%	10.4%	18.2%
HV 60d	16.8%	15.0%	17.3%	17.0%	15.0%
IV Rank	18.4%	7.7%	38.1%	10.0%	18.8%
IV Percentile	56.4%	25.4%	88.9%	31.3%	65.5%
Term Structure	0.3%	-1.3%	1.1%	-0.0%	-0.0%
VWIV	18.0%	13.1%	26.6%	16.3%	18.3%
Skew 25d	4.7%	3.1%	7.2%	4.3%	4.7%
Skew 10d	9.0%	6.7%	12.9%	8.9%	7.4%
Call IV 25d	13.9%	11.7%	17.5%	11.7%	13.4%
Put IV 25d	18.6%	15.2%	24.7%	16.0%	18.0%
Bid-Ask Spread %	12.92	7.69	24.30	12.55	7.69
Gamma HHI	0.24	0.13	0.55	0.13	0.17
Net GEX	-18.8M	-71.4M	69.4M	-16.6M	-19.6M
Net DEX	128.7M	-170.2M	407.9M	-14.2M	107.8M
Net VEX	-1.1M	-1.2M	-915.5K	-1.1M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.56	0.21	13.08	13.08	4.89
Total Volume	43,620.318	10,511	104,775	28,001	19,031
Total OI	266,010.091	178,345	300,571	253,419	253,131

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
2015-12-01	$55.00	$54.00	13.6%	4.2%	10.4%	10.0%	16.3%	4.3%	-0.0%	-16.6M	-14.2M	-1.1M	13.08	12.55	1,989	26,012	76,963	176,456
2015-12-02	$54.40	$54.00	13.6%	4.5%	10.6%	9.8%	18.0%	5.1%	0.4%	-38.0M	91.7M	-1.2M	4.46	11.22	3,553	15,838	78,712	196,835
2015-12-03	$53.78	$54.00	15.3%	4.5%	11.3%	17.7%	18.0%	5.1%	-0.1%	-46.1M	183.4M	-1.2M	4.94	11.48	6,056	29,918	79,171	194,304
2015-12-04	$54.55	$54.00	13.4%	3.8%	12.5%	7.7%	17.0%	3.1%	0.5%	-35.3M	29.0M	-1.0M	3.89	10.50	4,591	17,881	80,951	200,647
2015-12-07	$54.39	$54.00	14.0%	4.3%	12.5%	10.2%	16.1%	4.0%	1.0%	-37.0M	68.2M	-1.1M	9.34	12.76	1,017	9,494	80,388	197,409
2015-12-08	$53.49	$54.00	15.8%	4.8%	13.6%	18.4%	19.4%	5.1%	1.1%	-49.6M	244.4M	-1.2M	6.68	10.37	7,007	46,814	80,517	204,808
2015-12-09	$53.27	$54.00	16.4%	5.0%	13.7%	21.4%	19.7%	4.8%	0.9%	-55.6M	270.9M	-1.1M	5.77	14.02	5,132	29,589	81,076	212,504
2015-12-10	$53.45	$54.00	16.7%	5.0%	13.7%	22.6%	18.9%	4.9%	0.6%	-53.2M	236.7M	-1.1M	2.51	13.67	5,119	12,825	81,539	215,924
2015-12-11	$52.57	$54.00	20.0%	5.5%	14.1%	38.1%	23.7%	7.2%	-1.3%	-47.3M	405.4M	-1.2M	6.32	13.70	6,166	38,989	82,471	218,100
2015-12-14	$52.68	$54.00	19.5%	5.6%	14.1%	35.7%	26.6%	5.2%	0.5%	-53.4M	305.5M	-1.1M	5.77	13.96	4,972	28,670	79,277	206,200
2015-12-15	$52.82	$54.00	18.0%	5.2%	13.1%	28.6%	19.2%	6.3%	-0.4%	-54.7M	294.7M	-1.1M	6.89	11.94	6,853	47,198	80,342	217,518
2015-12-16	$53.80	$53.00	18.5%	5.3%	14.9%	31.0%	23.2%	4.6%	-0.4%	-45.6M	138.8M	-1.0M	11.29	24.30	4,740	53,522	83,206	199,095
2015-12-17	$52.99	$53.00	15.8%	4.5%	14.9%	18.7%	14.8%	4.9%	-0.2%	-71.4M	219.3M	-915.5K	3.13	16.42	13,665	42,723	83,665	205,253
2015-12-18	$51.87	$53.00	17.4%	5.0%	16.2%	25.9%	16.0%	5.4%	-0.5%	-20.4M	407.9M	-949.2K	2.73	13.61	21,372	58,261	82,601	208,161
2015-12-21	$52.09	$53.00	16.5%	4.8%	16.2%	21.9%	17.7%	5.3%	0.7%	-18.1M	178.4M	-990.2K	4.73	14.47	7,624	36,067	52,870	125,475
2015-12-22	$52.79	$53.00	15.1%	4.2%	17.2%	15.6%	15.8%	3.5%	0.5%	-15.2M	127.3M	-1.0M	0.77	12.04	32,556	25,212	55,075	140,953
2015-12-23	$53.49	$53.00	13.7%	3.9%	18.0%	8.8%	13.1%	3.2%	0.8%	6.1M	-51.8M	-1.0M	0.21	14.97	86,349	18,426	80,037	141,758
2015-12-24	$53.46	$53.00	13.9%	3.9%	18.0%	10.0%	14.8%	3.6%	0.6%	65.2M	-168.3M	-1.2M	0.79	7.94	41,798	32,963	132,724	142,565
2015-12-28	$53.33	$53.00	14.5%	4.2%	18.0%	12.6%	17.4%	4.6%	0.3%	64.0M	-40.3M	-1.1M	0.69	13.27	28,342	19,498	113,095	132,371
2015-12-29	$53.84	$53.00	13.6%	3.8%	18.4%	8.6%	16.8%	4.3%	0.5%	59.8M	-170.2M	-1.0M	0.41	11.90	18,340	7,441	113,261	142,250
2015-12-30	$53.42	$53.00	14.6%	4.1%	18.4%	13.1%	14.6%	4.7%	0.6%	69.4M	-33.9M	-1.0M	0.97	11.46	18,314	17,720	99,907	142,657
2015-12-31	$53.17	$53.50	15.8%	4.5%	18.2%	18.8%	18.3%	4.7%	-0.0%	-19.6M	107.8M	-1.0M	4.89	7.69	3,229	15,802	100,131	153,000