XLI Options History — August 2017

In August 2017, XLI traded between $67.19 and $68.87. ATM implied volatility averaged 11.4%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.1% (HV 20d: 8.3%). Max pain ranged from $68.00 to $68.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.54.

Notable Days

  • 2017-08-18: Highest Volume — 81,220 contracts
  • 2017-08-17: Largest IV spike — 34.7% change
  • 2017-08-18: Highest IV Rank — 43.6%
  • 2017-08-10: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.09$67.19$68.87$68.07$68.47
Max Pain$68.00$68.00$68.00$68.00$68.00
ATM IV11.4%9.1%13.5%10.1%10.8%
Expected Move3.4%2.6%4.0%2.8%3.1%
HV 20d8.3%5.4%10.7%7.5%10.7%
HV 60d8.7%8.0%9.1%8.7%9.0%
IV Rank22.3%0.0%43.6%4.4%16.5%
IV Percentile33.1%0.0%75.0%2.4%17.1%
Term Structure0.1%-1.0%1.0%0.2%0.1%
VWIV13.0%9.9%19.2%10.0%12.3%
Skew 25d3.5%2.6%4.6%2.9%3.2%
Skew 10d7.5%5.9%10.9%6.5%6.6%
Call IV 25d10.1%8.2%11.9%8.9%9.7%
Put IV 25d13.6%10.8%16.3%11.9%13.0%
Bid-Ask Spread %4.901.9415.215.875.61
Gamma HHI0.120.100.240.120.11
Net GEX-44.4M-100.0M-19.8M-38.1M-32.0M
Net DEX-36.3M-171.5M159.1M-29.0M-145.8M
Net VEX-2.6M-2.8M-2.4M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.541.448.863.932.83
Total Volume30,397.43510,80181,22018,97433,287
Total OI318,375.174288,795340,511288,795339,240

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$68.07$68.0010.1%2.8%7.5%4.4%10.0%2.9%0.2%-38.1M-29.0M-2.7M3.935.873,84815,126100,032188,763
2017-08-02$68.34$68.009.8%2.6%7.5%1.4%9.9%2.8%-0.1%-37.1M-78.4M-2.7M4.235.613,49514,797100,666190,804
2017-08-03$68.63$68.009.6%3.0%6.7%0.0%13.0%2.8%0.2%-35.1M-121.4M-2.6M4.968.715,12225,389101,164192,933
2017-08-04$68.87$68.009.1%2.9%5.9%0.0%11.4%2.6%0.2%-19.8M-171.5M-2.6M3.644.715,70320,742102,230201,570
2017-08-07$68.85$68.009.1%3.0%5.9%0.5%11.3%2.6%1.0%-24.6M-163.2M-2.4M3.954.493,83615,141100,623197,720
2017-08-08$68.66$68.009.9%3.0%5.9%8.2%11.2%2.9%0.4%-29.4M-125.3M-2.5M3.0815.214,65614,345100,688197,169
2017-08-09$68.70$68.0010.7%3.2%5.4%16.0%13.1%3.2%0.3%-34.0M-104.5M-2.6M1.766.713,9166,885101,065203,664
2017-08-10$67.86$68.0013.4%4.0%6.9%42.5%14.7%4.5%0.6%-46.9M37.9M-2.8M3.224.555,77318,563101,314205,302
2017-08-11$67.94$68.0013.2%3.8%6.5%40.7%19.2%4.3%0.2%-43.6M29.4M-2.8M5.013.584,61223,100101,450206,774
2017-08-14$68.59$68.0011.0%3.2%7.5%19.1%11.5%3.4%0.5%-36.8M-89.0M-2.5M1.442.6315,40822,18199,855206,629
2017-08-15$68.49$68.0011.9%3.5%7.4%27.8%13.3%3.1%-0.8%-28.0M-112.6M-2.6M2.503.356,99817,512112,181210,528
2017-08-16$68.57$68.0010.0%2.9%7.5%9.2%10.9%3.2%0.6%-26.1M-140.6M-2.5M2.431.946,67916,220114,958213,318
2017-08-17$67.49$68.0013.5%3.9%9.1%43.3%14.7%4.3%-0.9%-68.4M98.1M-2.6M3.692.7410,17037,524114,084213,030
2017-08-18$67.34$68.0013.5%4.0%9.1%43.6%16.5%4.6%-1.0%-100.0M159.1M-2.6M8.862.398,23772,983114,207225,844
2017-08-21$67.29$68.0012.7%3.7%9.1%35.4%13.4%4.4%0.4%-50.0M85.3M-2.7M2.752.448,57223,597105,376219,955
2017-08-22$68.05$68.0011.7%3.4%10.1%25.5%12.4%3.6%0.2%-41.1M-34.9M-2.6M2.492.248,96722,330106,753218,808
2017-08-23$67.49$68.0012.3%3.6%10.4%31.8%13.3%4.3%-0.3%-55.0M51.2M-2.8M2.942.377,93223,316110,642222,661
2017-08-24$67.19$68.0012.8%3.8%10.3%36.3%13.5%4.1%0.3%-60.6M95.6M-2.8M3.694.976,80125,107111,766223,124
2017-08-25$67.54$68.0011.9%3.6%10.4%27.9%13.0%3.3%0.2%-97.0M30.5M-2.7M2.985.677,37721,994113,775226,736
2017-08-28$67.44$68.0012.0%3.6%10.4%28.6%14.8%3.6%0.1%-47.1M34.8M-2.6M3.594.386,28322,558112,007221,101
2017-08-29$67.97$68.0011.9%3.5%10.7%27.5%14.4%3.5%0.0%-38.1M-53.9M-2.6M4.246.517,09730,087112,866220,502
2017-08-30$68.15$68.0011.8%3.4%10.6%26.6%12.1%3.8%0.0%-32.7M-85.7M-2.5M3.306.088,11526,760113,734225,018
2017-08-31$68.47$68.0010.8%3.1%10.7%16.5%12.3%3.2%0.1%-32.0M-145.8M-2.5M2.835.618,68924,598115,259223,981