XLI Options History — September 2018

In September 2018, XLI traded between $77.05 and $79.85. ATM implied volatility averaged 12.8%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.3% (HV 20d: 9.5%). Max pain ranged from $75.00 to $78.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.34.

Notable Days

2018-09-20: Highest Volume — 79,322 contracts
2018-09-24: Largest IV spike — 11.6% change
2018-09-07: Highest IV Rank — 31.0%
2018-09-04: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.56	$77.05	$79.85	$77.05	$78.38
Max Pain	$76.47	$75.00	$78.00	$75.00	$78.00
ATM IV	12.8%	11.6%	14.0%	13.6%	12.7%
Expected Move	3.7%	3.3%	4.1%	4.1%	3.6%
HV 20d	9.5%	7.8%	11.1%	11.1%	8.1%
HV 60d	12.2%	11.3%	13.1%	13.1%	11.7%
IV Rank	23.9%	16.8%	31.0%	28.5%	22.1%
IV Percentile	41.1%	27.8%	57.5%	52.0%	36.9%
Term Structure	0.2%	-0.0%	0.8%	0.1%	0.2%
VWIV	13.8%	12.0%	17.4%	17.4%	12.1%
Skew 25d	3.3%	3.0%	4.0%	3.7%	3.4%
Skew 10d	6.5%	5.7%	8.0%	7.1%	7.1%
Call IV 25d	11.7%	10.7%	12.5%	12.2%	11.4%
Put IV 25d	15.1%	13.6%	16.5%	15.9%	14.8%
Bid-Ask Spread %	5.04	2.31	8.42	2.36	5.84
Gamma HHI	0.20	0.12	0.58	0.12	0.13
Net GEX	47.6M	-312.7M	132.8M	32.4M	32.3M
Net DEX	-582.1M	-1.05B	-218.9M	-329.2M	-223.6M
Net VEX	-2.6M	-3.0M	-2.3M	-3.0M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.18	2.93	2.20	2.46
Total Volume	35,192	14,244	79,322	19,017	29,607
Total OI	423,965.421	306,654	488,337	427,584	334,337

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
2018-09-04	$77.05	$75.00	13.6%	4.1%	11.1%	28.5%	17.4%	3.7%	0.1%	32.4M	-329.2M	-3.0M	2.20	2.36	5,952	13,065	186,453	241,131
2018-09-05	$77.49	$75.00	13.5%	4.0%	11.0%	28.0%	15.3%	3.6%	-0.0%	43.0M	-441.8M	-2.9M	0.99	2.31	12,646	12,459	187,050	246,963
2018-09-06	$77.88	$76.00	13.7%	4.0%	11.0%	29.4%	13.6%	3.6%	0.1%	55.2M	-558.1M	-3.0M	2.93	8.42	11,503	33,748	195,746	250,672
2018-09-07	$77.58	$76.00	14.0%	4.0%	10.9%	31.0%	15.1%	4.0%	0.1%	-312.7M	-433.2M	-3.0M	2.03	8.36	10,990	22,265	200,430	276,872
2018-09-10	$78.09	$76.00	13.5%	3.9%	10.3%	28.2%	16.9%	3.6%	0.3%	63.7M	-624.1M	-2.7M	1.82	4.85	14,237	25,935	198,210	252,885
2018-09-11	$78.01	$76.00	13.2%	3.9%	10.1%	26.5%	15.1%	3.5%	0.3%	63.7M	-596.3M	-2.7M	2.37	4.28	5,467	12,963	198,569	258,067
2018-09-12	$78.34	$76.00	12.7%	3.8%	10.0%	23.3%	12.9%	3.6%	0.8%	76.5M	-690.5M	-2.7M	0.47	4.23	31,755	15,080	199,755	263,760
2018-09-13	$78.54	$76.00	12.4%	3.5%	9.6%	21.4%	12.1%	3.0%	0.1%	96.2M	-761.9M	-2.6M	0.58	6.06	17,111	9,905	204,872	263,632
2018-09-14	$79.06	$76.00	12.0%	3.5%	9.0%	19.6%	12.0%	3.1%	0.4%	121.3M	-970.4M	-2.5M	0.38	3.89	29,893	11,288	215,694	265,032
2018-09-17	$79.01	$76.00	12.8%	3.7%	8.9%	23.8%	13.3%	3.2%	0.2%	101.8M	-838.4M	-2.4M	0.80	3.88	21,983	17,535	203,631	258,421
2018-09-18	$79.85	$76.00	12.4%	3.6%	9.3%	21.5%	14.3%	3.2%	0.1%	85.5M	-974.0M	-2.4M	0.95	3.56	22,826	21,662	204,108	269,302
2018-09-19	$79.77	$76.00	12.3%	3.5%	9.1%	20.8%	13.3%	3.1%	0.1%	132.8M	-1.05B	-2.3M	0.90	5.01	23,205	20,841	214,881	266,978
2018-09-20	$79.83	$76.00	11.9%	3.4%	8.3%	18.5%	12.9%	3.0%	0.1%	108.2M	-1.02B	-2.3M	0.18	4.01	67,239	12,083	219,099	269,238
2018-09-21	$79.78	$77.00	11.6%	3.3%	7.8%	16.8%	12.1%	3.0%	0.2%	84.3M	-533.8M	-2.3M	0.66	7.05	27,948	18,478	155,900	274,214
2018-09-24	$78.70	$78.00	12.9%	3.6%	9.6%	24.8%	13.0%	3.3%	0.0%	32.8M	-290.3M	-2.5M	1.33	4.64	8,437	11,231	146,483	160,171
2018-09-25	$78.38	$78.00	13.0%	3.7%	8.8%	23.9%	13.3%	3.3%	0.1%	24.9M	-226.4M	-2.5M	0.91	4.14	12,629	11,473	149,611	164,689
2018-09-26	$78.57	$78.00	12.9%	3.7%	8.8%	23.4%	14.7%	3.3%	0.2%	35.9M	-284.2M	-2.5M	2.51	8.37	8,827	22,138	157,163	168,116
2018-09-27	$78.35	$78.00	12.7%	3.6%	8.9%	22.5%	12.5%	3.3%	0.1%	27.3M	-218.9M	-2.5M	1.00	4.57	7,112	7,132	158,119	175,089
2018-09-28	$78.38	$78.00	12.7%	3.6%	8.1%	22.1%	12.1%	3.4%	0.2%	32.3M	-223.6M	-2.5M	2.46	5.84	8,565	21,042	159,438	174,899