XLI Options History — August 2016

In August 2016, XLI traded between $57.47 and $59.04. ATM implied volatility averaged 12.2%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.0% (HV 20d: 8.3%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.00.

Notable Days

2016-08-11: Highest Volume — 58,282 contracts
2016-08-05: Largest IV drop — 13.2% change
2016-08-31: Highest IV Rank — 11.7%
2016-08-02: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.56	$57.47	$59.04	$57.95	$58.61
Max Pain	$56.93	$56.00	$58.00	$58.00	$58.00
ATM IV	12.2%	11.2%	14.1%	13.1%	13.0%
Expected Move	3.6%	3.3%	4.0%	3.7%	3.9%
HV 20d	8.3%	6.0%	11.1%	11.1%	6.4%
HV 60d	14.9%	14.5%	15.7%	15.6%	14.6%
IV Rank	4.3%	0.0%	11.7%	4.7%	11.7%
IV Percentile	5.4%	0.0%	23.4%	7.9%	12.3%
Term Structure	0.3%	-0.1%	1.6%	0.2%	-0.1%
VWIV	14.1%	12.2%	16.2%	12.2%	13.5%
Skew 25d	4.4%	3.4%	7.1%	4.2%	5.8%
Skew 10d	9.0%	3.7%	13.7%	10.0%	7.9%
Call IV 25d	10.6%	7.1%	12.4%	11.6%	10.5%
Put IV 25d	15.0%	13.3%	16.7%	15.8%	16.3%
Bid-Ask Spread %	8.16	5.51	15.22	7.21	7.43
Gamma HHI	0.26	0.16	0.68	0.17	0.25
Net GEX	49.1M	10.7M	196.4M	25.3M	35.7M
Net DEX	-198.5M	-348.3M	-11.0M	-101.6M	-146.0M
Net VEX	-2.8M	-3.2M	-2.5M	-3.2M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	0.16	4.60	1.00	2.93
Total Volume	31,270.826	5,585	58,282	44,677	27,881
Total OI	537,693.913	481,076	588,095	537,089	501,093

Daily Data (23 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
2016-08-01	$57.95	$58.00	13.1%	3.7%	11.1%	4.7%	12.2%	4.2%	0.2%	25.3M	-101.6M	-3.2M	1.00	7.21	22,324	22,353	168,386	368,703
2016-08-02	$57.47	$58.00	14.1%	4.0%	10.9%	9.3%	12.9%	4.4%	0.0%	10.7M	-11.0M	-3.1M	1.33	9.71	23,939	31,899	170,610	370,857
2016-08-03	$57.67	$57.50	13.7%	3.8%	10.9%	7.2%	13.1%	4.3%	0.2%	14.0M	-20.7M	-3.2M	1.09	8.11	22,337	24,440	173,272	382,158
2016-08-04	$57.73	$56.00	13.2%	3.9%	10.8%	4.7%	15.0%	3.8%	0.2%	17.6M	-45.9M	-3.1M	0.91	7.16	25,656	23,235	173,308	381,698
2016-08-05	$58.32	$56.00	11.5%	3.7%	9.1%	0.0%	14.2%	7.1%	0.3%	43.7M	-203.4M	-3.0M	0.71	7.33	26,809	18,999	176,232	382,905
2016-08-08	$58.32	$56.00	11.7%	3.8%	8.9%	1.1%	13.8%	3.6%	1.4%	43.7M	-188.7M	-2.9M	0.96	7.96	20,124	19,263	169,960	378,853
2016-08-09	$58.36	$56.00	11.5%	3.7%	8.3%	0.0%	14.4%	3.4%	1.6%	43.0M	-190.2M	-2.9M	0.86	6.89	20,436	17,563	170,643	385,494
2016-08-10	$58.32	$56.00	11.6%	3.8%	8.2%	0.7%	13.3%	3.7%	1.5%	41.6M	-158.8M	-2.9M	0.76	8.92	20,550	15,628	170,611	387,592
2016-08-11	$58.77	$56.00	11.2%	3.4%	8.2%	0.0%	14.9%	4.4%	0.7%	60.2M	-292.9M	-2.7M	0.47	6.05	39,710	18,572	171,060	388,120
2016-08-12	$58.55	$57.00	11.4%	3.3%	8.3%	1.0%	14.4%	3.8%	-0.1%	50.3M	-225.3M	-2.8M	4.30	7.02	7,842	33,749	169,604	393,653
2016-08-15	$58.93	$57.00	11.7%	3.4%	8.7%	2.4%	15.3%	3.7%	0.1%	64.0M	-304.4M	-2.8M	2.69	5.76	8,209	22,088	170,441	400,425
2016-08-16	$58.67	$57.00	12.4%	3.6%	8.8%	5.5%	16.2%	3.9%	0.7%	51.3M	-243.9M	-2.8M	4.60	5.51	4,241	19,505	170,072	403,584
2016-08-17	$58.86	$57.00	12.1%	3.5%	8.8%	4.3%	14.1%	4.5%	0.0%	59.5M	-280.6M	-2.8M	2.38	11.73	5,046	12,008	170,230	404,206
2016-08-18	$58.97	$57.00	11.9%	3.4%	7.7%	3.2%	14.0%	3.7%	-0.1%	79.1M	-288.3M	-2.8M	0.85	10.10	3,016	2,569	174,598	411,697
2016-08-19	$59.04	$57.00	11.5%	3.3%	7.7%	1.4%	12.6%	3.5%	0.4%	196.4M	-348.3M	-2.6M	1.65	6.76	8,972	14,793	175,171	412,924
2016-08-22	$59.00	$57.00	11.9%	3.4%	7.4%	3.3%	13.5%	4.6%	0.1%	38.2M	-226.6M	-2.7M	1.60	6.72	9,232	14,748	148,087	332,989
2016-08-23	$59.04	$57.00	12.0%	3.5%	7.0%	4.0%	15.2%	3.9%	0.1%	46.2M	-261.4M	-2.6M	4.14	7.69	3,531	14,603	151,787	334,703
2016-08-24	$58.94	$57.00	12.3%	3.6%	6.8%	5.0%	13.2%	5.8%	-0.0%	42.1M	-206.6M	-2.7M	0.16	14.27	6,187	1,019	152,069	336,832
2016-08-25	$58.82	$57.00	12.6%	3.7%	6.9%	6.4%	16.1%	3.4%	-0.1%	39.7M	-209.1M	-2.7M	3.27	15.22	5,280	17,241	154,390	337,541
2016-08-26	$58.69	$57.00	13.2%	3.8%	6.8%	11.0%	14.1%	5.9%	-0.1%	37.6M	-177.8M	-2.7M	2.77	7.52	6,246	17,332	155,171	341,970
2016-08-29	$58.97	$57.50	12.2%	3.5%	6.9%	6.4%	14.4%	5.5%	0.1%	44.0M	-224.6M	-2.6M	3.17	6.39	4,958	15,697	150,470	344,168
2016-08-30	$58.91	$57.50	12.0%	3.5%	6.0%	5.4%	13.9%	5.1%	0.2%	45.2M	-209.8M	-2.5M	3.30	6.13	4,511	14,888	151,443	347,180
2016-08-31	$58.61	$58.00	13.0%	3.9%	6.4%	11.7%	13.5%	5.8%	-0.1%	35.7M	-146.0M	-2.5M	2.93	7.43	7,088	20,793	151,923	349,170