XLI Options History — September 2019

In September 2019, XLI traded between $74.77 and $79.44. ATM implied volatility averaged 16.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.4% (HV 20d: 17.6%). Max pain ranged from $74.00 to $77.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.06.

Notable Days

  • 2019-09-19: Highest Volume — 37,168 contracts
  • 2019-09-24: Largest IV spike — 15.3% change
  • 2019-09-03: Highest IV Rank — 39.0%
  • 2019-09-03: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.88$74.77$79.44$74.77$77.78
Max Pain$75.97$74.00$77.50$76.00$77.50
ATM IV16.1%13.8%20.0%20.0%16.9%
Expected Move4.7%4.0%6.0%6.0%4.6%
HV 20d17.6%12.9%22.8%21.8%12.9%
HV 60d17.6%17.3%18.0%17.4%17.7%
IV Rank20.1%10.4%39.0%39.0%20.9%
IV Percentile39.7%13.9%72.2%72.2%46.4%
Term Structure0.4%-0.3%1.1%0.1%0.0%
VWIV17.0%13.7%21.9%21.9%17.0%
Skew 25d5.2%4.0%6.3%6.0%5.8%
Skew 10d10.9%8.5%13.3%11.7%11.8%
Call IV 25d14.1%12.1%17.6%17.6%14.9%
Put IV 25d19.2%16.4%23.7%23.7%20.7%
Bid-Ask Spread %7.993.1316.785.605.56
Gamma HHI0.110.060.240.100.08
Net GEX12.4M-35.8M62.3M-16.0M-7.6M
Net DEX-234.7M-495.7M92.3M92.3M-76.4M
Net VEX-2.3M-2.7M-2.1M-2.7M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.177.027.020.44
Total Volume18,362.154,76537,16832,39910,390
Total OI288,729.3223,030329,806314,405230,139

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$74.77$76.0020.0%6.0%21.8%39.0%21.9%6.0%0.1%-16.0M92.3M-2.7M7.025.604,04128,358133,857180,548
2019-09-04$75.72$76.0018.4%5.4%21.9%31.6%17.8%5.4%0.2%8.8M-84.6M-2.5M0.763.133,7962,902136,446168,189
2019-09-05$77.17$74.0015.6%4.7%22.8%18.6%19.9%4.9%0.4%47.4M-339.0M-2.4M0.606.2219,54411,714138,410173,159
2019-09-06$77.19$75.0014.5%4.3%22.1%13.4%14.9%4.5%0.7%17.7M-283.1M-2.3M1.065.2110,16610,734123,639176,258
2019-09-09$77.35$75.0014.9%4.5%22.0%15.2%15.8%4.9%0.9%17.7M-264.0M-2.3M1.854.396,66112,333121,372171,364
2019-09-10$77.99$75.0014.8%4.4%21.0%14.9%17.1%5.0%0.4%23.7M-332.4M-2.3M3.694.612,4128,897123,703179,712
2019-09-11$78.66$75.0013.8%4.0%20.8%10.4%13.7%4.4%0.2%29.8M-412.0M-2.2M0.797.686,4015,027123,592181,886
2019-09-12$79.09$75.0014.3%4.2%17.5%12.7%15.2%4.0%0.2%30.5M-453.4M-2.2M1.7911.6213,16823,526125,186184,664
2019-09-13$79.44$75.0014.0%4.2%17.3%11.2%16.2%4.5%1.1%62.3M-495.7M-2.2M1.635.705,1118,321130,612194,740
2019-09-16$79.23$76.0015.6%4.5%16.6%18.8%16.1%5.3%0.1%27.2M-415.3M-2.3M0.927.762,4862,279126,794179,984
2019-09-17$79.28$76.0016.2%4.7%16.4%21.2%17.7%5.7%-0.3%26.8M-424.3M-2.3M2.839.431,8935,355128,167180,806
2019-09-18$79.09$76.0016.1%4.6%16.2%20.8%18.4%4.8%0.5%23.2M-413.9M-2.2M0.8115.8613,07710,528128,496184,004
2019-09-19$78.83$76.0015.1%4.3%16.3%16.4%15.3%4.3%0.3%21.8M-420.3M-2.1M0.1712.5131,7135,455140,059189,747
2019-09-20$77.84$77.0016.3%4.6%17.2%21.8%16.2%5.1%0.2%-18.1M-89.0M-2.3M1.8616.788,06815,036114,755192,647
2019-09-23$77.81$77.0015.7%4.4%13.3%19.1%15.9%4.9%0.6%2.7M-87.0M-2.3M1.265.144,8596,14597,933125,097
2019-09-24$77.13$77.0018.1%5.2%14.0%26.7%18.0%6.3%0.4%-4.9M-14.8M-2.4M1.7511.568,16214,307100,998127,276
2019-09-25$77.80$77.0016.7%4.6%14.1%20.1%17.0%5.7%0.6%-1.3M-86.5M-2.5M5.136.643,47217,795106,972136,868
2019-09-26$77.92$77.0017.0%4.8%13.9%21.4%17.6%5.9%0.5%-7.8M-88.7M-2.5M4.916.121,8238,953109,064145,967
2019-09-27$77.42$77.0018.2%5.1%12.9%27.3%18.0%6.1%0.6%-35.8M-7.0M-2.5M2.048.244,0638,272110,175151,301
2019-09-30$77.78$77.5016.9%4.6%12.9%20.9%17.0%5.8%0.0%-7.6M-76.4M-2.4M0.445.567,2203,17095,958134,181