XLI Options History — April 2016

In April 2016, XLI traded between $54.47 and $57.08. ATM implied volatility averaged 14.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.2% (HV 20d: 10.4%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.54.

Notable Days

2016-04-01: Highest Volume — 115,014 contracts
2016-04-28: Largest IV spike — 12.8% change
2016-04-05: Highest IV Rank — 21.7%
2016-04-07: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.80	$54.47	$57.08	$55.61	$56.21
Max Pain	$55.69	$55.00	$57.00	$55.00	$57.00
ATM IV	14.6%	12.9%	16.5%	14.2%	15.0%
Expected Move	4.1%	3.7%	4.9%	4.0%	4.5%
HV 20d	10.4%	9.0%	11.9%	10.9%	11.1%
HV 60d	15.9%	13.5%	18.3%	18.3%	13.5%
IV Rank	12.9%	5.2%	21.7%	11.4%	15.0%
IV Percentile	37.1%	11.1%	60.3%	34.5%	42.1%
Term Structure	0.1%	-1.0%	1.0%	0.5%	0.1%
VWIV	16.3%	12.6%	21.9%	14.3%	16.0%
Skew 25d	4.4%	3.5%	5.9%	3.7%	4.0%
Skew 10d	9.0%	7.1%	12.1%	9.0%	9.2%
Call IV 25d	12.5%	11.1%	14.1%	12.3%	13.9%
Put IV 25d	16.9%	15.1%	19.1%	16.0%	17.9%
Bid-Ask Spread %	10.51	7.61	16.16	11.05	9.85
Gamma HHI	0.20	0.10	0.77	0.20	0.12
Net GEX	36.0M	-25.0M	426.4M	41.0M	1.7M
Net DEX	62.0M	-268.3M	415.5M	-37.6M	61.6M
Net VEX	-2.9M	-3.8M	-2.4M	-3.2M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	0.28	7.13	1.37	6.35
Total Volume	56,846.81	27,984	115,014	115,014	44,647
Total OI	685,237.905	585,366	760,500	668,731	696,157

Daily Data (21 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
2016-04-01	$55.61	$55.00	14.2%	4.0%	10.9%	11.4%	14.3%	3.7%	0.5%	41.0M	-37.6M	-3.2M	1.37	11.05	48,480	66,534	170,873	497,858
2016-04-04	$55.07	$55.00	15.3%	4.5%	11.6%	16.4%	17.1%	4.2%	0.9%	6.8M	142.0M	-3.4M	0.95	11.05	51,342	48,650	174,952	517,363
2016-04-05	$54.74	$55.00	16.5%	4.5%	11.9%	21.7%	18.6%	4.6%	0.2%	10.2M	275.1M	-3.8M	1.25	8.08	22,667	28,306	217,603	533,760
2016-04-06	$54.92	$55.00	15.3%	4.4%	10.9%	16.5%	19.6%	4.0%	0.2%	19.9M	205.3M	-3.7M	1.38	15.39	18,544	25,572	213,079	541,312
2016-04-07	$54.47	$55.00	16.4%	4.9%	11.4%	21.1%	21.6%	5.0%	-0.1%	-16.4M	415.5M	-3.6M	1.27	10.57	19,846	25,176	210,481	547,395
2016-04-08	$54.76	$55.00	15.0%	4.4%	11.5%	15.0%	20.9%	5.3%	-0.2%	7.4M	304.3M	-3.5M	1.82	10.63	14,556	26,510	208,097	547,073
2016-04-11	$54.80	$55.00	16.0%	4.4%	10.2%	19.4%	15.5%	5.7%	-1.0%	12.0M	303.9M	-3.2M	1.50	10.27	13,967	20,971	210,518	549,982
2016-04-12	$55.17	$55.00	15.3%	4.4%	10.4%	16.2%	19.1%	4.0%	-0.5%	77.2M	177.5M	-3.0M	0.28	9.84	82,516	22,759	202,028	551,068
2016-04-13	$55.99	$55.00	14.1%	3.9%	11.4%	10.6%	21.9%	5.9%	-0.6%	76.0M	-192.8M	-2.8M	0.54	16.16	40,153	21,798	178,527	547,317
2016-04-14	$55.98	$55.00	13.5%	3.9%	11.2%	7.9%	15.0%	3.5%	0.3%	143.3M	-268.3M	-2.7M	0.84	10.00	41,746	34,924	188,266	550,213
2016-04-15	$56.00	$56.00	13.3%	3.8%	9.4%	7.1%	15.7%	4.1%	0.0%	426.4M	-204.4M	-2.6M	1.28	12.55	19,573	25,001	173,229	561,953
2016-04-18	$56.18	$56.00	13.4%	3.8%	9.3%	7.5%	13.0%	4.1%	1.0%	-15.4M	66.1M	-2.5M	4.35	8.13	5,235	22,749	87,281	498,085
2016-04-19	$56.46	$56.00	12.9%	3.7%	9.4%	5.2%	12.6%	3.9%	0.5%	-3.3M	2.1M	-2.4M	2.02	9.17	12,928	26,076	90,338	498,918
2016-04-20	$56.48	$56.00	12.9%	3.7%	9.3%	5.3%	18.3%	3.9%	0.3%	-2.8M	-92.2K	-2.4M	1.71	9.74	14,538	24,872	90,597	507,194
2016-04-21	$56.26	$56.00	13.9%	4.0%	9.1%	9.7%	14.5%	4.3%	-0.4%	-9.0M	33.2M	-2.4M	1.02	9.96	35,526	36,072	92,662	505,897
2016-04-22	$56.47	$56.50	13.9%	3.9%	9.0%	9.8%	13.5%	4.2%	0.8%	4.3M	10.9M	-2.6M	6.99	7.61	6,323	44,183	123,792	504,390
2016-04-25	$56.06	$56.50	14.8%	4.2%	9.5%	14.0%	13.1%	4.4%	0.1%	-25.0M	117.0M	-2.6M	7.13	8.18	5,294	37,753	110,920	513,072
2016-04-26	$56.61	$56.50	14.7%	4.2%	9.8%	13.5%	13.2%	4.9%	-0.8%	-14.6M	17.6M	-2.6M	0.95	9.59	36,969	35,104	111,910	517,670
2016-04-27	$57.08	$56.50	13.8%	4.0%	10.1%	9.2%	14.8%	3.9%	0.2%	19.2M	-154.4M	-2.6M	4.22	12.84	8,751	36,955	142,021	524,451
2016-04-28	$56.39	$56.50	15.5%	4.3%	11.1%	17.4%	14.5%	4.9%	0.7%	-2.4M	27.3M	-2.8M	6.14	10.08	5,632	34,585	145,474	536,220
2016-04-29	$56.21	$57.00	15.0%	4.5%	11.1%	15.0%	16.0%	4.0%	0.1%	1.7M	61.6M	-2.8M	6.35	9.85	6,072	38,575	148,758	547,399