XLI Options History — October 2017

In October 2017, XLI traded between $71.43 and $72.89. ATM implied volatility averaged 10.0%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 4.6% (HV 20d: 5.5%). Max pain ranged from $70.00 to $71.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.98.

Notable Days

  • 2017-10-25: Highest Volume — 79,448 contracts
  • 2017-10-25: Largest IV spike — 13.9% change
  • 2017-10-31: Highest IV Rank — 26.8%
  • 2017-10-31: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.04$71.43$72.89$71.43$71.54
Max Pain$70.91$70.00$71.50$70.00$71.50
ATM IV10.0%9.0%11.6%9.4%11.6%
Expected Move2.9%2.5%3.4%2.5%3.4%
HV 20d5.5%4.3%7.3%6.7%7.2%
HV 60d8.1%7.9%8.4%8.0%8.4%
IV Rank11.8%2.1%26.8%6.3%26.8%
IV Percentile15.7%2.0%48.4%4.4%48.4%
Term Structure0.1%-0.3%0.3%0.3%0.2%
VWIV11.4%9.5%14.7%9.8%13.3%
Skew 25d2.1%1.7%2.9%2.0%2.7%
Skew 10d4.5%3.3%6.3%4.9%5.1%
Call IV 25d9.3%8.6%10.7%8.8%10.6%
Put IV 25d11.4%10.3%13.4%10.9%13.3%
Bid-Ask Spread %3.102.274.043.213.67
Gamma HHI0.120.080.260.090.11
Net GEX-16.1M-54.9M3.9M-3.5M-54.9M
Net DEX-253.4M-375.5M-69.1M-291.4M-69.1M
Net VEX-2.2M-2.6M-1.9M-2.0M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.982.1515.523.699.09
Total Volume45,814.90928,63079,44828,63044,776
Total OI303,776.909280,404325,952280,404323,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$71.43$70.009.4%2.5%6.7%6.3%9.8%2.0%0.3%-3.5M-291.4M-2.0M3.693.216,09822,53285,260195,144
2017-10-03$71.78$70.009.5%2.5%4.7%6.6%9.6%1.9%0.2%-532.2K-319.4M-1.9M2.153.4412,03825,92586,171196,218
2017-10-04$71.74$70.009.9%2.6%4.8%10.4%9.5%1.8%0.3%3.9M-307.9M-2.3M3.684.0410,56838,92393,440205,013
2017-10-05$71.94$71.009.5%2.8%4.8%6.5%10.3%2.0%0.2%-4.1M-331.4M-2.1M2.622.9811,38029,85793,880210,547
2017-10-06$71.91$71.009.5%2.8%4.9%6.8%10.2%1.8%0.1%-7.0M-298.6M-2.3M3.652.358,57231,30892,521216,089
2017-10-09$71.71$71.0010.1%2.8%4.8%13.0%10.2%2.0%-0.3%-13.5M-267.7M-2.2M3.412.618,67429,61989,365210,898
2017-10-10$71.77$71.009.8%2.9%4.6%10.1%11.3%2.0%0.2%-12.7M-264.7M-2.3M3.942.487,28328,67389,668211,915
2017-10-11$71.80$71.009.8%2.9%4.5%9.4%11.6%2.1%0.3%-12.2M-272.2M-2.2M3.512.697,63226,77889,843215,001
2017-10-12$72.20$71.009.7%2.8%4.6%8.9%11.5%1.8%0.2%-4.6M-304.1M-2.2M3.102.537,65323,71189,798215,828
2017-10-13$72.00$71.009.8%2.8%4.8%9.9%10.2%2.1%0.0%-2.2M-277.3M-2.2M3.972.639,22636,66389,696226,972
2017-10-16$72.15$71.009.8%2.8%4.4%9.2%9.5%1.9%-0.1%-7.1M-290.6M-2.1M3.242.279,41630,55287,887207,772
2017-10-17$71.94$71.009.6%2.8%4.7%8.0%9.8%2.1%-0.1%-7.4M-273.3M-2.2M4.332.657,05630,57288,179207,790
2017-10-18$71.99$71.009.3%2.7%4.3%5.1%11.4%1.9%0.1%-7.4M-274.0M-2.2M3.622.448,20329,68688,492207,986
2017-10-19$72.12$71.009.4%2.7%4.3%6.3%13.1%2.0%-0.1%-6.7M-297.6M-2.1M3.003.449,90029,67789,827217,807
2017-10-20$72.89$70.009.0%2.6%5.4%2.1%10.7%1.7%-0.1%-2.5M-375.5M-1.9M6.953.257,86254,63489,988218,687
2017-10-23$72.49$71.009.7%2.8%5.9%8.8%10.1%1.9%0.2%-33.6M-212.8M-2.1M14.513.542,57737,39680,813211,523
2017-10-24$72.89$71.009.8%2.9%6.1%10.1%11.5%2.3%0.3%-26.9M-249.4M-2.1M11.233.595,54462,25281,123209,839
2017-10-25$72.18$71.0011.2%3.3%7.3%23.2%12.5%2.9%0.3%-33.9M-147.8M-2.4M6.913.4310,03869,41084,341218,779
2017-10-26$72.35$71.5011.2%3.3%7.3%22.7%14.6%2.5%0.2%-33.5M-176.3M-2.5M11.213.765,73264,28189,171229,511
2017-10-27$72.24$71.5011.4%3.4%7.3%24.7%14.7%2.7%0.1%-37.4M-165.5M-2.5M15.523.843,57355,45790,382235,570
2017-10-30$71.87$71.5011.5%3.4%7.3%25.6%14.5%2.7%0.1%-47.0M-107.8M-2.5M8.293.324,97441,24788,590232,768
2017-10-31$71.54$71.5011.6%3.4%7.2%26.8%13.3%2.7%0.2%-54.9M-69.1M-2.6M9.093.674,43640,34090,025232,975