XLI Options History — April 2017

In April 2017, XLI traded between $64.20 and $66.76. ATM implied volatility averaged 13.6%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.0% (HV 20d: 9.6%). Max pain ranged from $65.00 to $66.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.73.

Notable Days

2017-04-20: Highest Volume — 68,023 contracts
2017-04-11: Largest IV spike — 13.5% change
2017-04-17: Highest IV Rank — 50.6%
2017-04-17: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.34	$64.20	$66.76	$64.90	$66.31
Max Pain	$65.32	$65.00	$66.00	$65.00	$66.00
ATM IV	13.6%	10.7%	16.4%	12.9%	10.7%
Expected Move	3.8%	3.0%	4.6%	3.1%	3.0%
HV 20d	9.6%	7.6%	10.2%	10.2%	9.6%
HV 60d	10.3%	10.1%	10.6%	10.4%	10.3%
IV Rank	25.5%	0.0%	50.6%	18.6%	0.0%
IV Percentile	51.3%	0.0%	94.4%	39.3%	0.0%
Term Structure	-0.2%	-2.9%	0.8%	-0.1%	-0.0%
VWIV	13.9%	10.8%	16.9%	12.0%	10.8%
Skew 25d	3.4%	2.1%	4.7%	3.1%	3.0%
Skew 10d	6.8%	4.4%	9.7%	4.7%	6.4%
Call IV 25d	12.2%	9.9%	13.9%	11.9%	9.9%
Put IV 25d	15.6%	12.9%	18.5%	14.9%	12.9%
Bid-Ask Spread %	10.82	4.11	33.65	9.76	14.23
Gamma HHI	0.14	0.10	0.17	0.13	0.13
Net GEX	-32.6M	-71.0M	19.1M	-39.8M	12.7M
Net DEX	4.2M	-301.3M	314.7M	70.5M	-227.9M
Net VEX	-3.4M	-3.8M	-3.1M	-3.4M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.73	1.12	5.40	2.80	3.62
Total Volume	30,912.895	16,926	68,023	24,848	24,977
Total OI	389,056.947	348,844	441,386	348,844	405,034

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
2017-04-03	$64.90	$65.00	12.9%	3.1%	10.2%	18.6%	12.0%	3.1%	-0.1%	-39.8M	70.5M	-3.4M	2.80	9.76	6,541	18,307	108,143	240,701
2017-04-04	$65.06	$65.00	12.6%	3.2%	10.2%	15.8%	11.3%	3.0%	-0.0%	-36.8M	27.6M	-3.3M	3.13	5.97	4,099	12,827	110,578	243,117
2017-04-05	$64.94	$65.00	12.9%	3.3%	10.2%	19.2%	11.5%	3.6%	-0.3%	-41.6M	60.2M	-3.4M	5.11	15.36	5,538	28,289	112,374	243,725
2017-04-06	$65.08	$65.00	13.1%	3.7%	10.1%	20.3%	13.6%	3.1%	-0.4%	-44.9M	63.0M	-3.5M	3.73	8.68	6,407	23,904	113,327	255,299
2017-04-07	$65.15	$65.00	13.4%	3.8%	10.0%	23.1%	15.1%	3.2%	-0.5%	-45.1M	47.6M	-3.5M	2.31	5.97	6,465	14,941	114,254	256,590
2017-04-10	$65.35	$65.00	13.3%	4.0%	10.0%	22.2%	14.2%	3.5%	0.8%	-37.6M	1.9M	-3.3M	1.21	4.79	12,420	15,062	113,502	256,170
2017-04-11	$65.29	$65.00	15.1%	4.3%	9.5%	38.5%	16.8%	3.8%	-0.1%	-36.9M	10.2M	-3.5M	5.40	7.74	8,984	48,476	120,465	259,496
2017-04-12	$64.47	$65.00	16.4%	4.2%	9.4%	50.3%	13.9%	4.4%	-2.9%	-67.2M	247.6M	-3.7M	1.56	9.95	12,606	19,609	123,956	287,958
2017-04-13	$64.23	$65.00	16.0%	4.4%	9.3%	47.2%	15.7%	4.7%	-1.2%	-70.9M	314.7M	-3.8M	2.42	15.75	9,524	23,074	130,340	293,133
2017-04-17	$64.20	$65.00	16.4%	4.6%	9.3%	50.6%	16.8%	4.0%	-0.1%	-64.9M	281.6M	-3.6M	1.75	33.65	6,438	11,291	128,328	286,272
2017-04-18	$64.58	$65.00	14.9%	4.2%	9.6%	37.1%	16.9%	4.0%	0.5%	-66.3M	188.9M	-3.5M	2.22	5.32	8,439	18,752	126,860	276,170
2017-04-19	$64.50	$65.00	15.6%	4.5%	7.6%	43.3%	16.5%	4.1%	-0.1%	-71.0M	211.3M	-3.4M	2.42	7.75	6,146	14,881	128,405	281,406
2017-04-20	$65.47	$65.00	14.8%	4.3%	9.2%	36.4%	13.6%	3.6%	-0.3%	-30.3M	-78.6M	-3.3M	1.59	10.99	26,291	41,732	128,851	284,043
2017-04-21	$65.51	$66.00	14.2%	4.1%	9.1%	30.5%	16.3%	3.8%	0.3%	-15.4M	-61.5M	-3.4M	4.76	14.29	6,614	31,469	140,420	300,966
2017-04-24	$66.36	$66.00	12.6%	3.5%	10.0%	16.1%	14.6%	2.5%	-0.1%	-1.9M	-194.4M	-3.2M	2.80	6.85	6,892	19,265	124,943	242,328
2017-04-25	$66.76	$66.00	11.1%	3.2%	10.0%	2.4%	11.4%	2.1%	-0.1%	5.1M	-281.6M	-3.1M	1.12	9.25	16,223	18,247	129,293	243,965
2017-04-26	$66.69	$66.00	11.7%	3.3%	9.5%	8.4%	11.1%	2.4%	0.0%	15.2M	-301.3M	-3.1M	1.42	15.10	9,441	13,393	140,684	246,880
2017-04-27	$66.61	$66.00	11.4%	3.2%	9.5%	5.3%	11.4%	2.5%	0.3%	19.1M	-300.9M	-3.1M	2.49	4.11	8,536	21,245	145,453	248,653
2017-04-28	$66.31	$66.00	10.7%	3.0%	9.6%	0.0%	10.8%	3.0%	-0.0%	12.7M	-227.9M	-3.3M	3.62	14.23	5,405	19,572	149,410	255,624