XLI Options History — October 2018

In October 2018, XLI traded between $67.26 and $79.54. ATM implied volatility averaged 19.7%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.7% (HV 20d: 15.0%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.84.

Notable Days

  • 2018-10-10: Highest Volume — 111,855 contracts
  • 2018-10-10: Largest IV spike — 39.0% change
  • 2018-10-26: Highest IV Rank — 100.0%
  • 2018-10-29: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.26$67.26$79.54$78.84$70.19
Max Pain$77.09$74.00$79.00$78.00$74.00
ATM IV19.7%12.6%27.9%12.6%22.7%
Expected Move5.9%3.6%9.0%3.6%7.3%
HV 20d15.0%8.2%23.6%8.3%23.6%
HV 60d13.2%10.7%16.5%11.7%16.5%
IV Rank63.1%22.0%100.0%22.0%71.4%
IV Percentile83.1%35.7%100.0%35.7%96.0%
Term Structure-0.4%-1.5%0.6%0.5%-0.2%
VWIV20.7%12.8%30.2%12.8%24.0%
Skew 25d5.3%3.2%6.7%3.2%5.6%
Skew 10d9.6%5.7%13.9%5.7%9.6%
Call IV 25d17.6%11.4%24.8%11.6%20.2%
Put IV 25d22.8%14.6%31.2%14.8%25.7%
Bid-Ask Spread %5.302.799.946.085.10
Gamma HHI0.100.070.140.130.09
Net GEX-21.4M-67.0M61.9M43.1M-29.2M
Net DEX473.6M-443.6M1.08B-305.5M691.4M
Net VEX-2.8M-3.1M-2.4M-2.5M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.773.422.561.34
Total Volume47,61319,931111,85524,04024,880
Total OI437,802.391337,213530,747337,213489,705

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$78.84$78.0012.6%3.6%8.3%22.0%12.8%3.2%0.5%43.1M-305.5M-2.5M2.566.086,75217,288157,836179,377
2018-10-02$79.25$78.0012.8%3.6%8.4%22.7%13.7%3.2%0.6%55.0M-379.1M-2.5M2.094.176,46013,471159,064184,424
2018-10-03$79.54$78.0012.8%3.6%8.3%22.8%13.3%3.3%0.5%61.9M-443.6M-2.4M1.815.5718,06232,629159,238184,944
2018-10-04$79.18$79.0014.5%4.2%8.5%33.3%14.9%4.2%0.1%38.9M-298.8M-2.8M3.425.769,19331,454164,600205,299
2018-10-05$78.90$79.0015.1%4.4%8.4%36.9%15.4%4.5%0.4%24.5M-213.4M-2.8M2.104.507,87816,548167,430207,695
2018-10-08$79.14$79.0015.4%4.4%8.2%38.7%15.7%4.3%-0.0%29.2M-252.2M-2.7M1.834.687,40013,524162,357209,633
2018-10-09$77.96$79.0016.1%4.6%9.9%43.2%17.1%4.5%-0.0%-3.5M6.6M-2.6M2.576.5512,40831,857166,095209,534
2018-10-10$75.39$79.0022.4%6.1%15.3%81.2%20.9%5.9%-1.3%-34.1M511.9M-2.7M1.948.2937,99173,864174,332229,109
2018-10-11$74.06$79.0024.3%6.7%16.2%92.5%23.3%6.4%-1.1%-38.1M762.0M-3.0M2.789.9425,26570,232199,291257,927
2018-10-12$73.80$78.0021.9%6.2%15.8%78.4%22.8%5.9%-0.7%-49.6M872.2M-3.1M1.955.1631,36461,055211,305282,719
2018-10-15$74.38$77.0020.5%5.9%16.3%69.8%21.7%5.8%-1.2%-64.9M724.4M-3.0M0.977.0621,89321,338194,926293,538
2018-10-16$75.17$77.0018.0%5.1%16.3%54.3%17.8%4.8%-0.5%-63.8M542.0M-3.0M0.773.8120,75815,890208,232295,649
2018-10-17$74.75$77.0017.5%5.0%16.3%51.5%17.4%5.0%-0.2%-65.8M611.7M-2.9M1.493.3811,46317,132215,834296,662
2018-10-18$73.47$77.0020.1%5.8%17.0%67.2%22.3%5.6%-1.5%-67.0M858.1M-2.9M1.674.7119,11531,926219,560295,645
2018-10-19$73.22$77.0019.8%5.8%16.9%65.2%20.9%5.6%-1.1%-47.4M925.8M-2.8M2.162.7910,29322,201224,422306,325
2018-10-22$73.08$77.0020.0%6.0%16.6%66.4%21.0%5.7%-0.2%-47.8M582.1M-2.8M1.023.8719,80420,259151,479251,837
2018-10-23$71.94$77.0021.1%6.5%17.1%72.9%22.5%5.8%-0.3%-50.3M762.8M-2.7M1.464.2322,47632,913155,051259,651
2018-10-24$70.19$76.0024.3%7.4%18.4%92.6%26.2%6.7%-0.6%-37.0M925.6M-2.6M3.234.8816,30052,571166,898261,555
2018-10-25$69.96$76.0023.4%7.3%18.3%87.0%24.4%5.6%-0.7%-47.6M1.01B-2.7M0.903.4619,97518,064175,982295,586
2018-10-26$69.14$74.0025.5%8.3%18.3%100.0%28.6%6.3%-0.8%-37.0M1.06B-2.7M1.866.3029,11354,187194,338296,608
2018-10-29$67.26$74.0027.9%9.0%19.2%100.0%30.2%6.5%-1.3%-30.1M1.08B-2.4M1.207.1815,68418,857187,821284,170
2018-10-30$69.15$74.0024.5%8.2%22.6%81.4%28.7%6.1%0.1%-32.0M856.5M-2.7M1.254.3614,81518,497191,164284,608
2018-10-31$70.19$74.0022.7%7.3%23.6%71.4%24.0%5.6%-0.2%-29.2M691.4M-3.0M1.345.1010,64214,238200,147289,558