XLI Options History — October 2016

In October 2016, XLI traded between $56.72 and $58.47. ATM implied volatility averaged 14.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.1% (HV 20d: 11.5%). Max pain ranged from $57.00 to $58.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.48.

Notable Days

  • 2016-10-19: Highest Volume — 41,954 contracts
  • 2016-10-07: Largest IV spike — 12.5% change
  • 2016-10-11: Highest IV Rank — 30.9%
  • 2016-10-31: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.39$56.72$58.47$58.47$57.26
Max Pain$57.81$57.00$58.00$58.00$57.00
ATM IV14.5%12.9%16.0%13.0%15.7%
Expected Move4.2%3.6%4.9%3.6%4.9%
HV 20d11.5%8.7%16.0%15.6%9.1%
HV 60d10.8%10.7%11.1%10.7%10.7%
IV Rank21.6%11.2%30.9%11.8%28.9%
IV Percentile42.0%14.7%66.3%16.3%61.9%
Term Structure0.2%-1.4%1.5%0.9%-0.1%
VWIV15.8%13.5%19.7%13.5%19.7%
Skew 25d5.0%4.2%6.2%5.3%5.7%
Skew 10d9.1%3.9%11.7%10.2%9.2%
Call IV 25d12.3%10.2%14.2%10.2%13.7%
Put IV 25d17.3%15.5%19.4%15.5%19.4%
Bid-Ask Spread %10.985.1120.0610.269.80
Gamma HHI0.150.080.660.090.10
Net GEX-38.6M-174.8M-12.0M-12.0M-23.3M
Net DEX183.2M36.8M290.6M36.8M172.1M
Net VEX-2.4M-2.6M-2.1M-2.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.481.6010.292.542.92
Total Volume19,612.23810,67441,95416,57512,194
Total OI354,532.476328,865392,459343,033337,227

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$58.47$58.0013.0%3.6%15.6%11.8%13.5%5.3%0.9%-12.0M36.8M-2.5M2.5410.264,68311,89296,516246,517
2016-10-04$57.98$58.0014.0%4.0%15.8%18.2%13.8%5.0%0.9%-18.6M99.7M-2.6M2.436.725,14512,49398,284248,552
2016-10-05$58.34$58.0012.9%3.6%16.0%11.2%14.3%4.4%1.1%-12.8M54.6M-2.5M2.5010.445,06312,66998,880249,694
2016-10-06$58.33$58.0013.0%4.2%16.0%11.7%15.4%4.2%1.5%-12.9M53.1M-2.5M2.358.914,41310,38299,315250,073
2016-10-07$57.64$58.0014.6%4.1%13.7%22.1%17.2%4.8%1.3%-25.3M145.6M-2.5M3.509.735,24818,352100,296249,988
2016-10-10$57.59$58.0014.8%4.0%13.1%23.6%15.4%5.5%-1.4%-29.7M158.6M-2.4M2.696.344,01910,79499,861254,060
2016-10-11$56.99$58.0016.0%4.5%12.0%30.9%17.1%4.9%-0.1%-39.9M249.2M-2.5M3.758.565,67521,260100,320256,489
2016-10-12$57.14$58.0015.3%4.5%12.1%26.6%16.3%4.8%0.4%-43.9M241.1M-2.5M3.718.963,91714,551101,895265,826
2016-10-13$57.16$58.0015.8%4.6%11.6%29.7%17.8%5.9%0.3%-44.3M241.2M-2.5M6.306.934,13826,053102,774267,703
2016-10-14$57.30$58.0015.3%4.5%10.6%26.8%16.3%6.2%0.1%-38.0M206.1M-2.5M6.119.883,82223,359103,549265,348
2016-10-17$57.13$58.0015.7%4.5%10.6%29.3%15.8%5.2%-0.4%-47.4M236.8M-2.4M2.595.112,9767,698101,828265,924
2016-10-18$57.21$58.0015.4%4.4%10.6%27.2%15.8%5.3%-0.6%-48.6M219.1M-2.3M2.7710.463,3589,308102,159266,007
2016-10-19$57.46$58.0015.0%4.3%9.7%24.5%15.9%4.4%-1.1%-43.3M163.7M-2.2M10.2913.173,71538,239102,656268,265
2016-10-20$57.06$58.0013.9%4.0%9.6%17.8%15.0%4.8%-0.3%-67.4M263.3M-2.4M4.3110.565,59124,080103,176287,641
2016-10-21$56.99$58.0013.6%3.9%9.3%15.6%13.6%4.9%-0.1%-174.8M290.6M-2.3M2.6311.636,34516,682103,236289,223
2016-10-24$57.14$58.0013.5%4.0%9.3%15.2%15.0%4.2%0.4%-27.3M197.0M-2.2M2.7815.463,92510,89486,739242,126
2016-10-25$56.94$58.0013.1%3.9%8.9%12.6%14.3%5.0%0.4%-29.1M214.5M-2.2M2.5320.063,97910,07687,633241,889
2016-10-26$57.24$57.0013.8%4.1%8.7%16.8%15.1%4.7%0.2%-25.0M175.4M-2.1M2.5816.794,02010,35489,451241,998
2016-10-27$56.72$57.0014.9%4.4%9.1%24.0%16.6%4.8%0.1%-30.2M237.5M-2.2M2.2716.723,9118,89190,529243,437
2016-10-28$57.12$57.0015.8%4.8%9.0%29.6%17.1%5.3%-0.0%-17.6M190.6M-2.3M1.6014.136,80710,88692,111245,987
2016-10-31$57.26$57.0015.7%4.9%9.1%28.9%19.7%5.7%-0.1%-23.3M172.1M-2.2M2.929.803,1109,08492,325244,902