XLI Options History — September 2021

In September 2021, XLI traded between $98.23 and $104.94. ATM implied volatility averaged 17.9%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.4% (HV 20d: 12.5%). Max pain ranged from $100.00 to $103.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2021-09-23: Highest Volume — 42,305 contracts
  • 2021-09-20: Largest IV spike — 30.8% change
  • 2021-09-20: Highest IV Rank — 39.9%
  • 2021-09-20: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.35$98.23$104.94$104.12$98.23
Max Pain$102.29$100.00$103.00$100.00$101.00
ATM IV17.9%14.3%23.5%14.8%21.7%
Expected Move5.2%4.0%6.9%4.0%6.5%
HV 20d12.5%10.3%15.3%10.3%15.3%
HV 60d14.6%14.1%15.3%14.2%15.3%
IV Rank15.6%0.0%39.9%2.1%31.9%
IV Percentile31.9%0.0%72.2%2.0%56.7%
Term Structure0.2%-0.7%0.8%0.3%0.0%
VWIV19.0%13.8%25.0%15.2%22.0%
Skew 25d5.1%3.2%8.1%3.5%6.0%
Skew 10d10.2%6.1%18.2%6.1%8.5%
Call IV 25d16.2%13.2%20.3%13.7%19.0%
Put IV 25d21.2%16.4%28.4%17.2%25.0%
Bid-Ask Spread %26.199.7350.9013.1112.90
Gamma HHI0.060.050.080.060.06
Net GEX-9.9M-48.6M37.9M20.8M-48.6M
Net DEX60.4M-463.9M465.3M-330.8M452.7M
Net VEX-4.6M-5.2M-4.1M-4.2M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.312.430.560.73
Total Volume23,287.4296,48142,3056,48124,590
Total OI444,879.143361,255542,121429,552440,303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$104.12$100.0014.8%4.0%10.3%2.1%15.2%3.5%0.3%20.8M-330.8M-4.2M0.5613.114,1652,316157,072272,480
2021-09-02$104.94$103.0014.6%4.4%10.6%1.1%13.8%3.7%0.6%36.3M-463.9M-4.1M0.5022.0114,4857,179160,039278,364
2021-09-03$104.59$103.0014.3%4.3%10.6%0.0%16.0%3.2%0.8%37.9M-420.8M-4.1M1.7533.969,08715,857161,752279,554
2021-09-07$102.78$103.0016.7%4.9%12.4%10.3%17.8%4.1%0.1%2.0M-143.5M-4.1M1.8935.897,80314,759165,217277,470
2021-09-08$102.98$103.0017.0%4.9%11.9%11.6%19.9%4.2%0.2%-2.5M-142.6M-4.2M1.5024.147,26410,923167,363283,596
2021-09-09$102.66$103.0017.5%4.9%11.0%13.6%19.5%5.1%-0.5%-9.2M-71.6M-4.4M1.3442.8110,98114,669172,105290,050
2021-09-10$102.06$103.0018.2%5.3%11.1%16.7%18.5%5.0%0.3%-10.2M-37.5M-4.6M0.5712.1912,6847,287187,459297,567
2021-09-13$102.10$103.0018.3%5.3%11.1%17.4%22.8%5.3%-0.0%-5.8M-21.1M-4.6M1.0348.6015,68416,160187,518297,171
2021-09-14$100.92$103.0018.9%5.4%11.6%19.7%20.8%5.5%0.2%-31.7M171.2M-4.5M1.8314.5513,18024,085193,314301,245
2021-09-15$102.19$103.0017.1%4.9%12.1%11.9%18.2%4.8%0.4%3.5M-50.3M-4.6M0.5118.889,5104,879203,563312,331
2021-09-16$101.53$103.0016.6%4.7%12.2%9.6%17.5%4.3%0.6%-17.5M79.6M-4.8M0.3139.6713,3234,072211,387323,578
2021-09-17$100.31$103.0018.0%5.2%12.4%15.8%18.0%4.7%-0.7%-36.7M274.4M-4.6M1.2812.515,5637,147215,718326,403
2021-09-20$98.60$103.0023.5%6.9%13.5%39.9%25.0%8.1%-0.1%-23.4M410.3M-4.7M1.219.7318,30122,063162,418198,837
2021-09-21$98.51$103.0021.1%6.2%12.9%29.5%21.7%7.2%0.1%-32.1M465.3M-4.7M2.4320.049,38522,819165,692206,721
2021-09-22$99.19$103.0019.1%5.5%13.2%20.5%21.0%6.0%0.4%-23.2M363.6M-4.7M0.4837.1918,0288,691175,139211,252
2021-09-23$100.69$101.0016.9%4.8%14.3%10.9%18.7%4.8%0.5%-15.1M166.7M-4.9M2.2315.5013,10029,205179,822227,671
2021-09-24$100.99$101.0016.1%4.5%14.3%7.5%16.8%4.4%0.6%-5.9M77.8M-5.0M1.3224.824,0685,389190,792228,260
2021-09-27$101.05$101.0016.6%4.6%13.8%9.7%15.3%4.2%0.5%-2.9M35.2M-5.0M0.3850.8413,1125,039177,927224,291
2021-09-28$99.90$101.0019.8%5.8%14.2%23.8%20.4%6.2%0.5%-21.2M219.5M-5.1M0.9950.9016,42116,285178,988231,706
2021-09-29$100.01$101.0019.9%5.8%14.3%24.0%19.3%6.0%0.2%-22.7M233.8M-5.1M0.539.806,1913,287183,834236,493
2021-09-30$98.23$101.0021.7%6.5%15.3%31.9%22.0%6.0%0.0%-48.6M452.7M-5.2M0.7312.9014,21610,374194,047246,256