XLI Options History — September 2017

In September 2017, XLI traded between $67.82 and $70.96. ATM implied volatility averaged 9.7%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.8% (HV 20d: 9.0%). Max pain ranged from $67.00 to $70.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.34.

Notable Days

  • 2017-09-20: Highest Volume — 49,883 contracts
  • 2017-09-25: Largest IV spike — 13.1% change
  • 2017-09-05: Highest IV Rank — 25.2%
  • 2017-09-05: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.59$67.82$70.96$68.58$70.96
Max Pain$68.58$67.00$70.00$68.00$70.00
ATM IV9.7%8.8%11.7%10.3%9.2%
Expected Move2.8%2.5%3.4%2.9%2.5%
HV 20d9.0%6.5%11.3%10.6%6.5%
HV 60d9.0%8.1%9.4%9.0%8.1%
IV Rank7.5%0.0%25.2%12.1%4.2%
IV Percentile6.7%0.0%33.7%9.1%3.6%
Term Structure0.4%0.1%0.7%0.3%0.4%
VWIV11.0%8.6%13.9%10.2%8.6%
Skew 25d2.5%1.8%3.7%2.9%1.8%
Skew 10d5.2%3.6%7.0%6.1%3.6%
Call IV 25d9.0%8.0%10.7%9.4%8.4%
Put IV 25d11.5%10.0%14.3%12.3%10.3%
Bid-Ask Spread %3.972.487.255.843.82
Gamma HHI0.120.080.230.130.13
Net GEX-10.3M-44.1M15.9M-39.8M-4.1M
Net DEX-214.1M-302.4M-46.8M-179.7M-299.0M
Net VEX-2.3M-2.4M-2.1M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.340.986.373.073.68
Total Volume36,099.324,94849,88335,47033,860
Total OI302,022.4239,131349,191343,171294,118

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$68.58$68.0010.3%2.9%10.6%12.1%10.2%2.9%0.3%-39.8M-179.7M-2.4M3.075.848,72526,745118,062225,109
2017-09-05$67.82$67.0011.7%3.4%11.3%25.2%13.1%3.7%0.1%-41.8M-46.8M-2.4M2.155.989,97021,388115,428208,615
2017-09-06$67.87$67.0011.2%3.4%11.3%20.2%13.5%3.2%0.1%-44.1M-70.5M-2.4M3.457.258,81330,364119,203209,410
2017-09-07$68.02$68.0010.9%3.3%11.3%18.0%12.4%3.0%0.3%-43.6M-92.6M-2.3M5.724.725,89333,707119,424210,639
2017-09-08$68.27$68.0010.4%3.2%10.5%13.4%13.9%3.2%0.4%-18.8M-139.7M-2.3M4.874.107,67937,375119,758202,417
2017-09-11$68.82$68.009.9%2.9%10.8%8.3%13.4%3.1%0.2%-18.3M-169.8M-2.4M2.323.428,58519,945118,607215,115
2017-09-12$69.19$67.009.7%2.9%10.5%6.4%10.5%2.7%0.4%-340.8K-235.9M-2.4M2.192.947,82717,121119,831219,988
2017-09-13$69.07$68.009.5%2.8%10.5%4.2%10.5%2.4%0.3%-14.2M-211.8M-2.4M2.852.888,46624,092120,163222,136
2017-09-14$69.39$68.009.1%2.7%10.6%0.0%10.3%2.1%0.6%15.9M-245.0M-2.4M0.982.4817,95617,616121,474227,717
2017-09-15$69.34$68.008.9%2.7%8.7%0.0%9.4%2.0%0.7%7.9M-181.1M-2.3M2.552.689,72724,794107,002229,477
2017-09-18$69.80$68.008.9%2.6%8.7%0.3%10.7%2.2%0.5%2.6M-208.5M-2.3M3.203.767,22023,08281,509157,622
2017-09-19$69.88$68.009.0%2.6%8.7%1.0%10.9%2.3%0.5%2.9M-218.0M-2.3M3.593.548,84431,77882,478161,207
2017-09-20$70.35$69.509.0%2.6%8.2%0.8%9.6%2.3%0.5%-1.6M-245.0M-2.2M3.143.5112,06237,82184,108172,743
2017-09-21$70.56$70.008.9%2.5%7.3%0.0%9.6%2.0%0.5%-2.3M-270.8M-2.2M3.053.829,62029,30887,292178,051
2017-09-22$70.81$69.508.8%2.5%6.9%0.0%9.9%2.2%0.4%-2.0M-295.7M-2.2M2.843.8510,01328,41189,818182,374
2017-09-25$70.75$69.509.9%2.8%6.9%11.0%11.2%2.4%0.5%-425.3K-293.8M-2.2M3.273.478,36227,38391,659184,945
2017-09-26$70.75$70.0010.0%2.8%6.8%11.5%11.9%2.2%0.4%-2.6M-286.0M-2.2M4.024.145,75723,12191,110186,850
2017-09-27$70.83$70.009.5%2.7%6.5%6.9%10.1%2.0%0.5%-1.3M-302.4M-2.1M3.443.777,82626,93091,446187,141
2017-09-28$70.78$70.009.4%2.6%6.6%5.7%10.1%2.0%0.4%-675.1K-290.4M-2.2M6.373.455,94337,85793,490192,912
2017-09-29$70.96$70.009.2%2.5%6.5%4.2%8.6%1.8%0.4%-4.1M-299.0M-2.2M3.683.827,24126,61993,882200,236