XLI Options History — February 2017

In February 2017, XLI traded between $63.15 and $66.26. ATM implied volatility averaged 12.0%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.6% (HV 20d: 9.3%). Max pain ranged from $63.00 to $65.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 4.03.

Notable Days

2017-02-10: Highest Volume — 62,677 contracts
2017-02-13: Largest IV spike — 8.7% change
2017-02-28: Highest IV Rank — 19.5%
2017-02-28: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.95	$63.15	$66.26	$63.37	$65.83
Max Pain	$63.45	$63.00	$65.50	$64.00	$65.50
ATM IV	12.0%	11.3%	13.2%	11.9%	13.2%
Expected Move	3.7%	3.3%	4.3%	3.4%	4.3%
HV 20d	9.3%	8.3%	10.2%	10.0%	8.3%
HV 60d	9.7%	9.0%	11.7%	11.6%	9.3%
IV Rank	7.7%	1.5%	19.5%	5.4%	19.5%
IV Percentile	11.4%	1.2%	38.1%	6.7%	38.1%
Term Structure	0.1%	-1.0%	1.6%	-0.1%	-0.1%
VWIV	14.3%	12.5%	17.2%	13.0%	16.3%
Skew 25d	2.6%	1.8%	3.5%	2.9%	3.1%
Skew 10d	5.1%	2.7%	8.7%	6.9%	4.1%
Call IV 25d	11.2%	10.4%	12.2%	11.1%	12.2%
Put IV 25d	13.8%	12.2%	15.3%	14.0%	15.3%
Bid-Ask Spread %	7.41	4.34	12.55	12.55	7.78
Gamma HHI	0.16	0.10	0.23	0.22	0.11
Net GEX	-37.5M	-108.2M	7.0M	-96.7M	-33.9M
Net DEX	-90.9M	-431.3M	364.4M	305.3M	-101.3M
Net VEX	-3.5M	-4.0M	-3.0M	-3.9M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.03	2.20	6.66	3.20	3.02
Total Volume	40,041.947	29,547	62,677	52,783	38,482
Total OI	521,267.632	401,827	616,099	505,286	467,449

Daily Data (19 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
2017-02-01	$63.37	$64.00	11.9%	3.4%	10.0%	5.4%	13.0%	2.9%	-0.1%	-96.7M	305.3M	-3.9M	3.20	12.55	12,555	40,228	115,787	389,499
2017-02-02	$63.15	$63.00	12.4%	4.0%	9.8%	8.8%	14.6%	3.5%	0.4%	-108.2M	364.4M	-4.0M	5.24	5.59	5,492	28,782	120,863	401,841
2017-02-03	$63.69	$63.00	11.7%	3.7%	10.1%	4.5%	13.6%	2.7%	0.4%	-84.3M	182.6M	-3.9M	4.31	8.66	5,978	25,778	123,553	408,462
2017-02-06	$63.63	$63.00	12.1%	3.7%	9.9%	7.0%	14.6%	2.9%	0.4%	-91.1M	196.0M	-3.8M	4.30	4.77	6,104	26,260	120,741	405,990
2017-02-07	$63.75	$63.00	12.1%	3.7%	9.4%	6.7%	17.2%	2.7%	0.9%	-89.4M	166.1M	-3.8M	6.66	7.86	4,635	30,886	122,988	412,964
2017-02-08	$63.77	$63.00	11.4%	3.6%	9.3%	2.1%	16.9%	2.8%	1.2%	-87.1M	173.3M	-3.8M	3.87	5.61	6,202	23,971	123,667	425,197
2017-02-09	$64.26	$63.00	11.3%	3.6%	9.6%	1.5%	13.4%	2.1%	1.6%	-62.0M	38.5M	-3.7M	2.24	9.52	10,248	22,938	126,161	429,155
2017-02-10	$64.72	$63.00	11.3%	3.5%	9.7%	1.9%	15.5%	1.8%	0.9%	-19.6M	-167.9M	-3.5M	6.20	7.30	8,707	53,970	133,177	433,986
2017-02-13	$65.37	$63.00	12.3%	3.7%	10.2%	9.2%	13.5%	2.6%	-0.8%	-22.7M	-240.8M	-3.4M	2.67	6.44	11,470	30,630	132,860	465,519
2017-02-14	$65.35	$63.00	12.2%	3.6%	9.3%	10.1%	13.6%	2.3%	-1.0%	1.2M	-287.3M	-3.4M	2.36	6.37	8,802	20,745	139,726	474,311
2017-02-15	$65.76	$63.00	12.3%	3.5%	9.4%	11.5%	13.8%	2.1%	-0.7%	967.0K	-364.4M	-3.3M	3.73	8.36	11,912	44,409	140,655	475,444
2017-02-16	$65.71	$63.00	11.9%	3.4%	9.3%	8.2%	13.1%	2.2%	-0.3%	7.0M	-394.1M	-3.2M	3.13	6.41	8,099	25,343	143,403	467,126
2017-02-17	$65.82	$63.00	11.4%	3.3%	9.2%	3.5%	12.5%	2.3%	-0.6%	529.5K	-431.3M	-3.1M	2.20	4.34	11,456	25,180	143,064	463,070
2017-02-21	$66.26	$63.00	11.3%	3.4%	9.1%	2.6%	13.7%	2.5%	0.0%	1.5M	-284.1M	-3.0M	4.94	5.10	6,623	32,692	115,007	286,820
2017-02-22	$66.05	$64.00	11.9%	3.6%	8.8%	8.0%	13.6%	2.6%	-0.2%	362.2K	-268.4M	-3.0M	4.39	7.22	5,563	24,414	115,801	292,923
2017-02-23	$65.57	$64.00	12.4%	3.9%	8.7%	12.9%	13.5%	2.7%	-0.1%	-4.8M	-200.9M	-3.1M	3.42	7.52	9,366	32,027	116,948	293,655
2017-02-24	$65.87	$64.00	11.9%	3.8%	8.8%	8.3%	13.6%	3.3%	0.1%	-4.5M	-219.0M	-3.1M	4.30	10.73	10,866	46,685	120,797	307,444
2017-02-27	$66.13	$65.00	12.5%	4.1%	8.8%	13.8%	14.7%	2.8%	0.0%	-19.6M	-194.4M	-3.2M	6.38	8.64	5,864	37,435	120,009	328,023
2017-02-28	$65.83	$65.50	13.2%	4.3%	8.3%	19.5%	16.3%	3.1%	-0.1%	-33.9M	-101.3M	-3.4M	3.02	7.78	9,576	28,906	121,900	345,549