XLI Options History — September 2020

In September 2020, XLI traded between $75.37 and $80.02. ATM implied volatility averaged 26.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.6% (HV 20d: 21.7%). Max pain ranged from $75.00 to $79.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2020-09-14: Highest Volume — 43,925 contracts
  • 2020-09-03: Largest IV spike — 17.0% change
  • 2020-09-08: Highest IV Rank — 24.4%
  • 2020-09-03: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.64$75.37$80.02$78.51$76.85
Max Pain$78.14$75.00$79.00$75.00$79.00
ATM IV26.3%22.7%30.1%24.9%26.1%
Expected Move7.4%6.5%8.5%6.9%7.3%
HV 20d21.7%14.0%27.7%14.0%27.7%
HV 60d20.9%18.8%24.3%24.0%20.8%
IV Rank19.4%14.7%24.4%17.7%19.1%
IV Percentile56.3%45.2%65.5%56.7%54.0%
Term Structure0.5%-1.1%4.0%0.4%3.7%
VWIV26.5%22.9%29.6%24.6%25.4%
Skew 25d5.6%4.6%6.8%5.1%5.6%
Skew 10d11.2%8.5%14.7%10.4%10.7%
Call IV 25d24.2%21.0%27.4%23.3%24.0%
Put IV 25d29.8%25.6%34.1%28.3%29.6%
Bid-Ask Spread %13.465.9922.647.858.37
Gamma HHI0.130.060.470.140.07
Net GEX25.7M-7.3M85.3M40.9M1.3M
Net DEX-238.7M-712.9M162.0M-492.3M8.6M
Net VEX-3.4M-3.9M-3.1M-3.6M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.194.100.700.73
Total Volume20,578.5717,01043,92523,99329,847
Total OI400,439.429301,187464,038415,073344,255

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$78.51$75.0024.9%6.9%14.0%17.7%24.6%5.1%0.4%40.9M-492.3M-3.6M0.707.8514,1099,884206,682208,391
2020-09-02$80.02$75.0025.2%7.0%14.1%18.0%27.0%4.6%0.4%51.1M-712.9M-3.7M3.516.383,83013,425216,070210,997
2020-09-03$77.45$78.0029.5%8.5%19.2%23.5%29.1%6.3%0.0%29.7M-330.6M-3.9M0.6720.2713,8529,259216,595215,822
2020-09-04$78.06$78.0029.5%8.3%18.6%23.6%29.2%5.7%-1.1%37.3M-405.9M-3.9M0.4821.727,2503,457219,440221,334
2020-09-08$76.70$78.0030.1%8.4%17.8%24.4%27.2%6.8%-0.9%25.9M-223.7M-3.7M1.7316.106,76711,732220,735216,757
2020-09-09$77.81$78.0026.8%7.6%18.4%20.0%26.3%5.3%-0.4%41.6M-376.1M-3.6M4.1011.572,97612,215225,876226,647
2020-09-10$76.76$78.0026.8%7.5%19.0%20.1%26.7%6.0%-0.6%19.3M-181.0M-3.5M0.6510.6718,28311,846225,571231,288
2020-09-11$77.67$78.0025.2%7.1%19.3%18.0%25.2%5.4%-0.5%31.2M-298.4M-3.5M0.728.886,2744,528225,997238,041
2020-09-14$78.78$78.0023.2%6.6%19.9%15.5%24.7%4.8%0.4%51.0M-475.9M-3.3M0.199.9836,8117,114220,827232,647
2020-09-15$78.69$78.0022.8%6.5%19.9%14.9%23.3%4.8%0.4%24.3M-380.3M-3.2M0.959.414,1783,982202,380238,579
2020-09-16$79.78$78.0022.7%6.5%20.2%14.7%22.9%4.6%0.2%52.2M-550.1M-3.1M0.4516.807,5723,427203,151239,576
2020-09-17$79.49$78.0024.4%7.0%20.3%17.0%24.6%5.3%0.1%47.9M-493.7M-3.2M1.309.8810,04413,042203,440241,678
2020-09-18$78.99$79.0024.6%7.0%20.4%17.2%23.9%5.2%0.0%85.3M-402.3M-3.2M0.7515.2811,3278,492209,072250,172
2020-09-21$75.67$79.0028.2%8.1%25.8%21.9%28.7%6.1%0.0%-7.3M117.0M-3.2M1.1916.389,23310,977134,944166,243
2020-09-22$76.76$79.0026.5%7.6%25.7%19.7%28.3%5.8%0.2%-3.9M40.0M-3.3M0.8419.288,4547,099139,941172,827
2020-09-23$75.42$79.0028.5%8.1%26.4%22.2%29.6%6.6%-0.1%-6.6M135.8M-3.2M0.8414.7021,03017,736142,302171,224
2020-09-24$75.37$79.0028.6%8.2%26.4%22.4%29.4%6.8%0.8%-7.1M162.0M-3.4M1.3122.6410,27413,465157,398184,748
2020-09-25$76.38$79.0027.2%7.6%26.8%20.6%27.9%5.8%-0.1%1.6M57.4M-3.5M0.6619.584,2342,776165,047187,919
2020-09-28$77.92$79.0025.6%7.2%27.7%18.6%27.9%5.5%4.0%14.1M-145.7M-3.4M2.6810.995,59514,968155,450178,150
2020-09-29$77.38$79.0026.1%7.3%27.7%19.2%24.9%5.7%3.7%9.8M-65.8M-3.4M0.815.9911,4609,326155,471185,544
2020-09-30$76.85$79.0026.1%7.3%27.7%19.1%25.4%5.6%3.7%1.3M8.6M-3.4M0.738.3717,26812,579155,981188,274