XLI Options History — January 2018

In January 2018, XLI traded between $76.05 and $80.56. ATM implied volatility averaged 11.8%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.7% (HV 20d: 7.1%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.38.

Notable Days

2018-01-31: Highest Volume — 75,538 contracts
2018-01-16: Largest IV spike — 19.5% change
2018-01-30: Highest IV Rank — 83.7%
2018-01-30: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.01	$76.05	$80.56	$76.05	$79.79
Max Pain	$77.62	$74.00	$79.00	$74.00	$79.00
ATM IV	11.8%	9.8%	15.2%	10.3%	14.1%
Expected Move	3.5%	2.7%	4.6%	2.8%	4.2%
HV 20d	7.1%	5.4%	9.1%	6.8%	9.1%
HV 60d	9.2%	8.9%	9.6%	8.9%	9.3%
IV Rank	39.5%	13.3%	83.7%	20.3%	69.9%
IV Percentile	59.5%	12.3%	98.4%	27.8%	95.2%
Term Structure	0.1%	-0.7%	0.7%	0.1%	0.0%
VWIV	13.0%	10.1%	17.8%	10.1%	17.4%
Skew 25d	2.7%	1.9%	3.8%	3.0%	3.5%
Skew 10d	5.7%	4.0%	8.4%	6.3%	7.0%
Call IV 25d	10.8%	9.0%	13.7%	9.2%	13.0%
Put IV 25d	13.5%	10.9%	17.5%	12.3%	16.5%
Bid-Ask Spread %	5.31	2.77	11.29	3.33	11.29
Gamma HHI	0.13	0.07	0.18	0.16	0.10
Net GEX	3.4M	-19.4M	43.1M	31.4M	-19.4M
Net DEX	-362.7M	-575.4M	-104.6M	-275.6M	-118.9M
Net VEX	-2.2M	-2.8M	-1.6M	-2.0M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	1.24	5.26	2.20	5.26
Total Volume	33,996.762	17,429	75,538	48,735	75,538
Total OI	330,682.143	252,346	432,116	321,528	284,951

Daily Data (21 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
2018-01-02	$76.05	$74.00	10.3%	2.8%	6.8%	20.3%	10.1%	3.0%	0.1%	31.4M	-275.6M	-2.0M	2.20	3.33	15,225	33,510	86,797	234,731
2018-01-03	$76.52	$74.00	10.0%	2.7%	6.6%	16.1%	12.3%	2.7%	0.0%	43.1M	-358.0M	-1.9M	4.48	4.97	6,952	31,171	91,038	243,630
2018-01-04	$77.08	$75.00	10.1%	3.0%	5.7%	16.8%	11.0%	2.4%	-0.0%	28.2M	-428.8M	-1.9M	2.05	2.77	16,337	33,518	91,207	250,537
2018-01-05	$77.61	$76.00	9.8%	2.8%	5.9%	13.3%	10.9%	1.9%	0.2%	25.0M	-500.6M	-1.8M	4.78	3.21	6,424	30,677	100,350	263,146
2018-01-08	$77.97	$76.00	10.0%	3.0%	5.4%	15.6%	11.6%	2.2%	0.2%	20.7M	-445.6M	-1.9M	3.08	3.91	5,819	17,929	90,874	252,357
2018-01-09	$78.42	$76.00	10.2%	3.1%	5.5%	18.9%	11.4%	2.3%	0.6%	15.8M	-488.0M	-1.7M	2.18	5.85	7,385	16,063	92,028	256,613
2018-01-10	$78.39	$77.00	10.2%	3.1%	5.4%	18.5%	11.5%	2.5%	0.7%	12.9M	-465.6M	-1.9M	3.56	5.42	5,418	19,283	94,996	260,585
2018-01-11	$79.43	$77.00	10.5%	3.1%	6.6%	22.5%	10.8%	2.4%	0.4%	6.8M	-567.8M	-1.6M	1.34	7.21	19,563	26,217	96,419	263,436
2018-01-12	$80.10	$77.00	11.0%	3.2%	6.8%	28.6%	11.2%	2.0%	0.2%	4.5M	-575.4M	-2.0M	1.47	9.59	14,409	21,223	103,823	275,361
2018-01-16	$79.47	$79.00	13.1%	3.8%	7.2%	56.7%	13.2%	2.7%	-0.3%	-1.0M	-499.5M	-2.3M	1.26	10.73	23,188	29,165	108,817	280,402
2018-01-17	$79.86	$79.00	12.7%	3.6%	7.1%	51.3%	15.1%	2.7%	-0.4%	4.8M	-559.7M	-2.2M	2.20	3.51	8,993	19,753	119,531	288,945
2018-01-18	$79.48	$79.00	12.6%	3.7%	7.5%	50.6%	12.6%	3.0%	-0.7%	-5.0M	-507.7M	-2.3M	1.70	4.26	13,793	23,489	121,397	294,821
2018-01-19	$79.68	$79.00	11.5%	3.3%	7.5%	35.1%	12.8%	2.9%	0.4%	-15.7M	-512.9M	-2.4M	1.85	2.90	8,977	16,621	124,188	307,928
2018-01-22	$79.69	$79.00	12.0%	3.5%	7.6%	41.7%	12.9%	3.0%	0.2%	-13.6M	-166.6M	-2.5M	1.24	4.11	7,785	9,644	79,700	172,646
2018-01-23	$79.77	$79.00	11.7%	3.4%	7.6%	38.0%	12.9%	2.8%	0.1%	-8.0M	-207.8M	-2.3M	3.13	3.20	5,505	17,209	81,852	173,530
2018-01-24	$79.72	$79.00	12.6%	3.8%	7.6%	50.2%	13.8%	2.8%	-0.2%	-13.5M	-171.8M	-2.5M	1.30	4.08	8,609	11,216	83,031	184,636
2018-01-25	$79.75	$79.00	13.0%	3.9%	7.6%	55.4%	14.7%	3.1%	-0.0%	-6.1M	-188.1M	-2.5M	1.43	5.00	7,521	10,723	87,123	187,786
2018-01-26	$80.56	$79.00	12.7%	3.8%	8.0%	51.4%	14.3%	2.7%	0.0%	-5.0M	-306.6M	-2.4M	2.01	4.73	7,832	15,781	87,842	189,741
2018-01-29	$80.22	$79.00	14.4%	4.4%	8.4%	74.1%	15.7%	3.3%	0.0%	-16.0M	-167.8M	-2.6M	1.39	5.58	13,532	18,830	79,543	183,145
2018-01-30	$79.60	$79.00	15.2%	4.6%	9.1%	83.7%	17.8%	3.8%	-0.0%	-18.1M	-104.6M	-2.8M	2.02	5.83	10,972	22,133	86,706	188,136
2018-01-31	$79.79	$79.00	14.1%	4.2%	9.1%	69.9%	17.4%	3.5%	0.0%	-19.4M	-118.9M	-2.8M	5.26	11.29	12,073	63,465	89,353	195,598