XLI Options History — October 2019

In October 2019, XLI traded between $74.24 and $79.27. ATM implied volatility averaged 16.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.2% (HV 20d: 16.6%). Max pain ranged from $76.00 to $78.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.36.

Notable Days

2019-10-11: Highest Volume — 86,807 contracts
2019-10-08: Largest IV spike — 14.6% change
2019-10-02: Highest IV Rank — 45.4%
2019-10-02: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.91	$74.24	$79.27	$75.94	$78.38
Max Pain	$77.09	$76.00	$78.00	$77.50	$78.00
ATM IV	16.5%	12.7%	22.0%	19.5%	13.8%
Expected Move	4.7%	3.6%	6.2%	5.4%	4.0%
HV 20d	16.6%	13.1%	18.6%	14.9%	14.0%
HV 60d	18.6%	17.3%	19.0%	18.3%	17.5%
IV Rank	18.5%	0.0%	45.4%	33.4%	5.2%
IV Percentile	37.3%	0.0%	86.9%	68.3%	7.9%
Term Structure	0.1%	-0.7%	0.7%	0.0%	0.5%
VWIV	16.9%	14.1%	23.2%	17.8%	14.7%
Skew 25d	5.4%	3.9%	7.4%	6.7%	4.1%
Skew 10d	10.7%	6.5%	13.7%	10.6%	6.5%
Call IV 25d	14.1%	11.1%	18.9%	16.8%	12.0%
Put IV 25d	19.5%	15.0%	26.0%	23.5%	16.0%
Bid-Ask Spread %	10.17	3.85	21.06	14.03	9.28
Gamma HHI	0.13	0.06	0.70	0.10	0.06
Net GEX	6.0M	-28.7M	188.9M	-15.8M	-8.6M
Net DEX	-58.8M	-347.8M	298.7M	119.5M	-155.4M
Net VEX	-2.4M	-2.5M	-2.2M	-2.4M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.36	0.22	11.30	1.36	6.45
Total Volume	25,188.739	4,413	86,807	56,383	24,129
Total OI	278,940.609	232,836	331,270	238,208	252,529

Daily Data (23 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
2019-10-01	$75.94	$77.50	19.5%	5.4%	14.9%	33.4%	17.8%	6.7%	0.0%	-15.8M	119.5M	-2.4M	1.36	14.03	23,856	32,527	102,363	135,845
2019-10-02	$74.40	$77.00	22.0%	6.2%	16.0%	45.4%	21.3%	7.0%	-0.5%	-17.9M	298.7M	-2.5M	3.69	11.42	9,205	33,980	119,863	152,201
2019-10-03	$74.65	$77.00	20.3%	5.6%	14.3%	37.1%	19.4%	7.2%	-0.1%	-20.3M	258.5M	-2.4M	0.80	8.79	17,357	13,811	124,645	156,183
2019-10-04	$75.52	$77.00	18.1%	5.0%	15.1%	26.4%	19.1%	6.3%	0.1%	-18.4M	119.7M	-2.4M	0.66	7.58	7,373	4,876	129,508	158,116
2019-10-07	$75.40	$77.00	18.7%	5.5%	15.0%	29.6%	19.4%	6.4%	0.5%	-17.8M	133.6M	-2.4M	5.59	6.73	1,677	9,378	122,411	153,768
2019-10-08	$74.24	$77.00	21.5%	6.1%	15.4%	43.0%	23.2%	7.4%	-0.0%	-23.6M	273.1M	-2.3M	1.01	13.49	12,780	12,860	122,839	160,089
2019-10-09	$74.74	$77.00	20.1%	5.6%	15.2%	36.0%	20.6%	6.6%	-0.6%	-24.0M	209.8M	-2.3M	2.39	18.17	4,702	11,235	128,034	165,309
2019-10-10	$75.30	$76.00	18.9%	5.6%	15.4%	30.3%	21.8%	6.9%	0.7%	-22.9M	138.5M	-2.3M	2.00	13.59	8,071	16,103	130,069	168,442
2019-10-11	$77.17	$76.00	17.3%	5.0%	18.0%	22.6%	17.3%	6.1%	0.1%	3.9M	-175.1M	-2.3M	0.67	16.35	51,948	34,859	132,387	179,101
2019-10-14	$76.66	$77.00	16.1%	4.6%	18.1%	16.5%	16.9%	5.5%	0.7%	11.9M	-93.0M	-2.3M	1.06	6.98	8,333	8,813	136,558	168,313
2019-10-15	$77.33	$77.00	14.9%	4.3%	18.4%	10.7%	15.3%	4.7%	-0.3%	42.4M	-263.6M	-2.3M	0.22	10.41	25,870	5,779	143,259	170,755
2019-10-16	$77.24	$77.00	15.0%	4.3%	18.4%	11.4%	15.0%	4.9%	0.3%	41.6M	-243.2M	-2.2M	2.14	16.60	6,494	13,879	144,109	172,677
2019-10-17	$77.69	$77.00	14.4%	4.1%	18.6%	8.5%	14.4%	5.0%	0.7%	61.3M	-347.8M	-2.2M	0.83	10.27	9,790	8,097	145,771	179,763
2019-10-18	$76.99	$77.00	15.4%	4.4%	18.3%	13.3%	15.1%	4.9%	-0.0%	188.9M	-157.9M	-2.2M	11.30	9.54	4,722	53,363	145,568	185,702
2019-10-21	$77.38	$77.00	15.0%	4.3%	18.4%	11.4%	15.2%	4.6%	-0.4%	-28.7M	-47.0M	-2.5M	0.67	4.64	2,640	1,773	90,647	167,807
2019-10-22	$77.99	$77.00	15.6%	4.5%	18.4%	14.2%	15.7%	4.8%	-0.7%	-18.8M	-128.5M	-2.5M	1.47	4.36	4,502	6,627	92,020	168,541
2019-10-23	$77.94	$77.00	14.5%	4.1%	18.1%	8.6%	15.1%	4.5%	-0.2%	-19.3M	-142.8M	-2.5M	4.04	3.85	6,982	28,174	94,866	169,553
2019-10-24	$78.12	$77.50	14.3%	4.1%	18.1%	7.9%	14.1%	4.3%	-0.4%	-3.5M	-190.0M	-2.5M	0.67	4.26	7,448	4,987	98,901	164,846
2019-10-25	$78.63	$77.50	13.6%	3.9%	18.1%	4.3%	14.3%	4.2%	-0.2%	7.7M	-251.9M	-2.4M	1.94	4.55	3,430	6,665	97,329	168,041
2019-10-28	$78.81	$77.50	13.6%	3.9%	18.0%	4.2%	14.4%	4.0%	0.5%	6.1M	-219.5M	-2.3M	1.41	5.69	3,685	5,200	91,826	141,010
2019-10-29	$79.05	$77.50	13.7%	4.0%	15.5%	4.6%	14.9%	4.1%	0.3%	5.5M	-232.5M	-2.3M	3.11	12.29	2,895	9,007	92,495	145,591
2019-10-30	$79.27	$77.50	12.7%	3.6%	13.1%	0.0%	14.1%	3.9%	0.7%	7.6M	-256.4M	-2.3M	0.81	21.06	5,217	4,242	94,484	151,500
2019-10-31	$78.38	$78.00	13.8%	4.0%	14.0%	5.2%	14.7%	4.1%	0.5%	-8.6M	-155.4M	-2.4M	6.45	9.28	3,240	20,889	96,597	155,932