XLI Options History — February 2021

In February 2021, XLI traded between $85.63 and $93.38. ATM implied volatility averaged 22.6%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.0% (HV 20d: 19.7%). Max pain ranged from $83.00 to $88.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.76.

Notable Days

2021-02-02: Highest Volume — 88,623 contracts
2021-02-25: Largest IV spike — 17.7% change
2021-02-01: Highest IV Rank — 19.8%
2021-02-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.88	$85.63	$93.38	$85.63	$91.35
Max Pain	$84.68	$83.00	$88.00	$88.00	$87.00
ATM IV	22.6%	20.6%	28.5%	28.5%	24.5%
Expected Move	6.5%	6.1%	8.2%	8.2%	7.2%
HV 20d	19.7%	17.3%	21.5%	21.3%	17.3%
HV 60d	16.9%	15.4%	19.3%	18.9%	16.2%
IV Rank	9.6%	2.3%	19.8%	19.8%	5.7%
IV Percentile	14.7%	2.8%	55.2%	55.2%	34.9%
Term Structure	0.2%	-1.1%	0.9%	-0.2%	-1.1%
VWIV	23.0%	20.6%	28.8%	28.8%	26.4%
Skew 25d	3.9%	2.6%	6.6%	6.6%	2.6%
Skew 10d	9.4%	6.7%	14.3%	13.1%	14.3%
Call IV 25d	21.3%	19.0%	27.2%	25.9%	27.2%
Put IV 25d	25.3%	23.0%	32.4%	32.4%	29.8%
Bid-Ask Spread %	19.45	8.98	51.49	44.19	51.49
Gamma HHI	0.18	0.09	0.76	0.10	0.09
Net GEX	43.0M	5.4M	224.8M	5.4M	16.2M
Net DEX	-305.2M	-483.4M	-6.6M	-6.6M	-299.9M
Net VEX	-2.6M	-2.8M	-2.2M	-2.2M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.06	1.94	0.46	1.60
Total Volume	17,832.895	2,719	88,623	8,115	8,574
Total OI	254,549.316	206,734	282,036	214,563	246,690

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
2021-02-01	$85.63	$88.00	28.5%	8.2%	21.3%	19.8%	28.8%	6.6%	-0.2%	5.4M	-6.6M	-2.2M	0.46	44.19	5,563	2,552	116,771	97,792
2021-02-02	$87.66	$88.00	24.6%	6.7%	21.5%	14.6%	22.3%	4.8%	-0.1%	12.4M	-107.8M	-2.2M	0.06	36.68	83,897	4,726	118,838	99,024
2021-02-03	$87.55	$88.00	23.5%	6.6%	21.2%	13.1%	22.9%	4.4%	0.2%	18.6M	-143.9M	-2.4M	0.31	17.44	17,095	5,300	141,931	102,976
2021-02-04	$88.33	$83.00	22.3%	6.7%	19.9%	11.5%	25.1%	3.6%	-0.1%	28.9M	-239.3M	-2.7M	1.67	13.13	2,524	4,218	157,107	106,969
2021-02-05	$88.99	$83.00	21.0%	6.4%	19.9%	9.8%	21.6%	3.1%	0.6%	18.8M	-325.4M	-2.8M	0.97	17.37	7,264	7,032	165,668	109,354
2021-02-08	$89.58	$83.00	21.3%	6.3%	20.0%	10.1%	22.7%	3.4%	0.5%	49.9M	-376.6M	-2.8M	1.15	8.98	3,419	3,928	165,324	108,441
2021-02-09	$90.08	$83.00	20.6%	6.2%	20.1%	9.3%	23.4%	3.3%	0.8%	52.8M	-396.0M	-2.8M	0.72	8.99	2,862	2,061	161,822	106,058
2021-02-10	$89.70	$83.00	21.3%	6.3%	19.8%	10.2%	23.1%	3.5%	0.7%	49.1M	-357.1M	-2.7M	0.44	11.34	28,384	12,563	161,476	107,077
2021-02-11	$89.58	$83.00	21.3%	6.3%	19.7%	10.2%	21.5%	3.7%	0.6%	45.3M	-313.4M	-2.8M	1.44	20.54	4,129	5,938	162,458	116,489
2021-02-12	$90.13	$83.00	20.9%	6.2%	19.8%	9.1%	21.4%	4.0%	0.9%	80.0M	-381.7M	-2.8M	0.21	21.78	11,389	2,360	162,882	119,154
2021-02-16	$90.33	$83.00	21.9%	6.3%	19.1%	10.4%	20.6%	3.7%	0.5%	54.9M	-374.9M	-2.6M	0.33	20.84	5,835	1,940	157,136	117,708
2021-02-17	$89.94	$83.00	21.8%	6.3%	19.1%	9.6%	21.2%	4.1%	0.5%	44.8M	-306.7M	-2.6M	0.20	15.56	5,107	1,011	157,294	119,300
2021-02-18	$89.63	$84.00	21.5%	6.1%	19.0%	9.2%	22.4%	4.2%	0.9%	37.5M	-279.1M	-2.6M	0.44	17.15	1,882	837	160,361	119,650
2021-02-19	$91.08	$84.00	21.5%	6.1%	19.6%	8.4%	20.9%	3.2%	0.6%	224.8M	-483.4M	-2.5M	0.83	13.36	15,178	12,669	161,527	120,035
2021-02-22	$91.44	$84.00	22.1%	6.2%	19.6%	7.0%	21.8%	4.0%	-0.1%	15.4M	-307.8M	-2.5M	0.32	9.74	12,015	3,787	102,518	104,216
2021-02-23	$91.69	$86.00	22.8%	6.5%	19.0%	3.2%	23.0%	4.5%	-0.2%	19.9M	-342.9M	-2.5M	1.94	11.59	5,165	10,039	108,888	106,794
2021-02-24	$93.38	$86.00	22.2%	6.3%	19.6%	2.3%	22.5%	4.0%	-0.2%	25.4M	-446.8M	-2.6M	0.85	14.35	13,374	11,346	111,694	114,326
2021-02-25	$91.66	$87.00	26.1%	7.5%	18.1%	8.1%	25.9%	4.2%	-0.8%	16.5M	-310.4M	-2.8M	0.49	14.94	8,618	4,244	119,947	120,742
2021-02-26	$91.35	$87.00	24.5%	7.2%	17.3%	5.7%	26.4%	2.6%	-1.1%	16.2M	-299.9M	-2.7M	1.60	51.49	3,302	5,272	123,865	122,825