XLI Options History — September 2016

In September 2016, XLI traded between $56.70 and $58.87. ATM implied volatility averaged 13.4%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.5% (HV 20d: 11.9%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.47.

Notable Days

  • 2016-09-08: Highest Volume — 75,933 contracts
  • 2016-09-09: Largest IV spike — 22.3% change
  • 2016-09-13: Highest IV Rank — 32.2%
  • 2016-09-13: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.84$56.70$58.87$58.59$58.55
Max Pain$58.48$58.00$59.00$58.00$58.00
ATM IV13.4%11.2%16.2%13.1%12.4%
Expected Move3.9%3.2%4.7%4.0%3.5%
HV 20d11.9%5.5%15.7%6.4%15.7%
HV 60d13.7%11.3%15.9%14.5%11.4%
IV Rank14.5%0.3%32.2%12.3%8.3%
IV Percentile23.0%0.4%61.5%13.5%9.5%
Term Structure0.2%-0.9%0.6%0.0%0.4%
VWIV15.0%12.3%17.8%17.8%13.0%
Skew 25d4.9%4.0%6.3%4.9%5.1%
Skew 10d10.1%-0.1%16.3%11.9%14.1%
Call IV 25d11.6%10.0%14.0%11.3%10.1%
Put IV 25d16.5%14.1%20.3%16.2%15.2%
Bid-Ask Spread %8.944.6011.887.2410.44
Gamma HHI0.150.090.350.240.10
Net GEX-9.4M-54.6M53.8M33.0M-13.2M
Net DEX126.3M-190.1M371.3M-142.1M25.3M
Net VEX-2.6M-2.9M-2.2M-2.4M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.471.6314.984.111.63
Total Volume36,041.66719,21975,93326,24121,856
Total OI450,535.714320,860598,244507,656344,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$58.59$58.0013.1%4.0%6.4%12.3%17.8%4.9%0.0%33.0M-142.1M-2.4M4.117.245,13821,103152,741354,915
2016-09-02$58.87$58.0011.4%3.2%5.5%1.8%12.5%4.0%0.2%48.8M-190.1M-2.4M3.687.284,93218,126151,083361,660
2016-09-06$58.67$59.0012.1%3.4%5.7%6.2%14.1%4.6%0.1%43.1M-145.0M-2.3M3.615.284,94017,840148,639362,013
2016-09-07$58.77$59.0011.2%3.3%5.7%0.3%15.4%4.5%0.4%52.9M-172.4M-2.2M8.3511.365,85848,903149,732364,114
2016-09-08$58.75$59.0011.8%3.3%5.7%4.0%15.3%4.3%0.0%53.8M-135.7M-2.5M13.469.555,25170,682153,016391,662
2016-09-09$57.28$59.0014.4%4.4%10.3%20.8%15.8%5.5%-0.2%-22.0M275.7M-2.9M6.447.126,66742,957155,443417,170
2016-09-12$57.96$59.0013.6%3.9%11.2%15.6%15.5%5.3%0.2%-9.6M197.2M-2.9M2.909.078,60824,935156,834427,216
2016-09-13$56.96$59.0016.2%4.7%12.4%32.2%16.6%6.3%0.3%-35.9M364.0M-2.9M4.007.237,08428,328158,886426,642
2016-09-14$56.95$59.0016.0%4.6%12.4%30.8%16.8%6.1%0.0%-44.6M371.3M-2.8M6.519.856,02639,232161,134428,497
2016-09-15$57.46$59.0014.3%4.3%12.8%20.5%16.4%4.6%0.6%-37.2M260.5M-2.7M4.5110.439,84844,412162,747426,569
2016-09-16$56.70$59.0015.3%4.2%13.5%26.5%16.3%5.3%-0.9%-54.6M363.5M-2.8M10.454.604,58247,883164,298433,946
2016-09-19$56.92$59.0014.9%4.3%13.6%24.0%15.7%5.6%0.2%-29.5M285.6M-2.8M4.6910.954,81622,56874,145246,715
2016-09-20$57.01$58.0015.0%4.3%13.6%24.5%15.4%5.3%0.1%-31.3M281.3M-2.8M1.997.228,87517,69276,226253,768
2016-09-21$57.70$58.0013.7%3.9%14.5%16.3%13.0%4.6%0.3%-26.0M202.4M-2.7M2.0011.7110,28020,57780,328255,301
2016-09-22$58.11$58.0012.0%3.4%14.7%5.3%12.3%4.1%0.5%-20.8M133.0M-2.7M4.4610.364,22218,83886,722258,577
2016-09-23$57.69$58.0012.6%3.6%14.9%9.0%14.1%4.1%0.2%-22.9M189.8M-2.7M14.987.513,14447,10387,853259,629
2016-09-26$57.46$58.0013.7%3.9%15.0%16.3%15.2%4.3%0.4%-25.6M191.7M-2.6M5.519.473,89721,49086,498241,943
2016-09-27$57.88$58.0012.6%3.5%15.1%9.2%16.1%4.9%0.4%-23.2M144.6M-2.6M6.6311.434,44929,49787,964245,543
2016-09-28$58.30$58.0011.8%3.3%15.4%4.2%14.1%4.9%0.4%-16.2M59.6M-2.5M1.867.846,71512,50490,277240,013
2016-09-29$58.06$58.0013.7%3.9%15.4%16.0%14.7%4.7%0.2%-16.9M91.6M-2.5M3.1311.886,06118,95694,294241,553
2016-09-30$58.55$58.0012.4%3.5%15.7%8.3%13.0%5.1%0.4%-13.2M25.3M-2.5M1.6310.448,29913,55796,572248,372