XLI Options History — January 2021

In January 2021, XLI traded between $84.87 and $90.48. ATM implied volatility averaged 24.8%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.8% (HV 20d: 15.9%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.33.

Notable Days

2021-01-14: Highest Volume — 54,560 contracts
2021-01-27: Largest IV spike — 17.7% change
2021-01-29: Highest IV Rank — 23.3%
2021-01-29: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.42	$84.87	$90.48	$86.47	$84.87
Max Pain	$88.53	$87.00	$89.00	$87.00	$89.00
ATM IV	24.8%	21.4%	31.2%	26.2%	31.2%
Expected Move	7.1%	6.1%	9.4%	7.5%	9.4%
HV 20d	15.9%	13.2%	21.1%	13.4%	21.1%
HV 60d	21.0%	19.3%	21.6%	21.2%	20.1%
IV Rank	16.0%	10.9%	23.3%	18.7%	23.3%
IV Percentile	34.4%	9.1%	66.3%	44.8%	66.3%
Term Structure	-0.0%	-0.9%	0.7%	0.0%	-0.1%
VWIV	25.4%	21.3%	32.9%	26.2%	32.5%
Skew 25d	4.9%	3.8%	7.6%	5.4%	7.3%
Skew 10d	11.7%	8.2%	24.5%	11.3%	24.5%
Call IV 25d	23.1%	20.5%	28.2%	24.2%	28.0%
Put IV 25d	27.9%	24.3%	35.8%	29.6%	35.3%
Bid-Ask Spread %	20.64	5.94	45.11	13.13	41.76
Gamma HHI	0.12	0.09	0.22	0.09	0.09
Net GEX	12.7M	1.1M	32.0M	3.9M	1.1M
Net DEX	-274.9M	-543.3M	57.1M	-229.6M	57.1M
Net VEX	-2.1M	-2.3M	-1.8M	-2.1M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.06	4.89	1.68	0.49
Total Volume	14,941.421	5,935	54,560	21,587	13,140
Total OI	262,112.684	193,669	363,452	290,995	217,187

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
2021-01-04	$86.47	$87.00	26.2%	7.5%	13.4%	18.7%	26.2%	5.4%	0.0%	3.9M	-229.6M	-2.1M	1.68	13.13	8,044	13,543	111,430	179,565
2021-01-05	$87.30	$87.00	25.4%	7.3%	13.2%	17.6%	26.1%	5.2%	0.0%	5.1M	-290.2M	-2.1M	2.32	22.17	4,106	9,512	113,737	189,702
2021-01-06	$89.23	$87.00	24.7%	7.0%	15.3%	16.7%	25.6%	4.1%	-0.7%	12.8M	-422.0M	-2.1M	1.23	25.14	6,751	8,287	113,838	193,276
2021-01-07	$89.91	$87.00	23.6%	6.7%	15.4%	15.3%	24.0%	4.0%	0.1%	19.3M	-493.6M	-1.9M	2.53	27.63	5,163	13,040	114,881	189,484
2021-01-08	$89.56	$88.00	23.8%	6.7%	15.5%	15.5%	23.5%	4.6%	0.0%	21.0M	-475.8M	-1.9M	2.07	18.44	8,807	18,254	117,517	191,488
2021-01-11	$89.55	$89.00	24.3%	6.8%	15.1%	16.2%	25.9%	5.0%	-0.9%	18.9M	-468.0M	-1.9M	0.43	23.00	8,318	3,612	120,307	185,178
2021-01-12	$90.48	$89.00	23.8%	6.8%	15.5%	15.6%	25.0%	4.9%	-0.1%	32.0M	-543.3M	-1.9M	1.08	16.46	3,904	4,198	127,291	184,601
2021-01-13	$89.80	$89.00	23.2%	6.6%	15.1%	14.7%	24.3%	4.6%	-0.2%	24.2M	-486.9M	-1.8M	0.59	16.33	5,882	3,498	128,718	186,659
2021-01-14	$90.08	$89.00	23.5%	6.7%	14.7%	15.1%	21.7%	4.5%	-0.6%	28.3M	-512.8M	-1.9M	0.06	22.31	51,451	3,109	132,794	188,513
2021-01-15	$88.83	$89.00	24.3%	6.9%	15.6%	16.1%	23.9%	4.4%	-0.4%	14.4M	-476.4M	-2.2M	0.76	25.30	8,051	6,120	172,494	190,958
2021-01-19	$89.26	$89.00	22.9%	6.5%	15.6%	14.3%	24.6%	4.1%	0.1%	14.5M	-177.8M	-2.2M	1.07	21.35	4,827	5,175	111,244	82,425
2021-01-20	$89.80	$89.00	21.4%	6.1%	15.7%	10.9%	23.0%	3.8%	0.7%	16.2M	-199.0M	-2.2M	2.16	6.01	2,376	5,140	115,564	89,678
2021-01-21	$89.10	$89.00	22.4%	6.4%	15.6%	12.2%	23.3%	3.9%	0.7%	10.2M	-164.7M	-2.2M	1.25	6.04	2,641	3,294	117,099	88,702
2021-01-22	$88.83	$89.00	22.0%	6.2%	15.7%	11.6%	21.3%	4.0%	0.6%	1.1M	-136.3M	-2.1M	0.53	9.99	4,260	2,274	114,703	91,079
2021-01-25	$87.81	$89.00	24.9%	7.1%	16.0%	14.9%	24.0%	4.8%	0.2%	7.1M	-97.2M	-2.1M	0.31	6.70	6,940	2,156	110,493	88,275
2021-01-26	$87.35	$89.00	25.0%	7.1%	16.0%	15.1%	26.7%	4.4%	0.3%	6.9M	-82.2M	-2.2M	0.38	5.94	12,440	4,763	117,692	89,565
2021-01-27	$85.06	$89.00	29.4%	9.4%	18.5%	21.0%	32.9%	7.6%	0.0%	2.4M	25.3M	-2.2M	1.44	39.44	4,288	6,190	113,451	90,520
2021-01-28	$86.74	$89.00	28.2%	8.1%	19.9%	19.3%	27.3%	5.8%	-0.3%	2.0M	-48.7M	-2.3M	4.89	45.11	1,755	8,578	114,933	95,100
2021-01-29	$84.87	$89.00	31.2%	9.4%	21.1%	23.3%	32.5%	7.3%	-0.1%	1.1M	57.1M	-2.3M	0.49	41.76	8,801	4,339	114,983	102,204