XLI Options History — December 2021

In December 2021, XLI traded between $100.25 and $106.20. ATM implied volatility averaged 18.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.9% (HV 20d: 19.0%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.07.

Notable Days

2021-12-02: Highest Volume — 91,691 contracts
2021-12-06: Largest IV drop — 17.9% change
2021-12-03: Highest IV Rank — 66.4%
2021-12-03: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.89	$100.25	$106.20	$100.38	$106.20
Max Pain	$103.00	$100.00	$105.00	$104.00	$105.00
ATM IV	18.1%	14.6%	25.4%	22.9%	14.7%
Expected Move	5.3%	4.0%	8.1%	7.4%	4.1%
HV 20d	19.0%	13.9%	23.1%	13.9%	18.2%
HV 60d	15.0%	13.6%	15.9%	13.6%	15.4%
IV Rank	23.5%	3.5%	66.4%	51.6%	3.8%
IV Percentile	44.0%	3.2%	96.4%	85.3%	4.8%
Term Structure	0.2%	-0.8%	0.7%	0.1%	0.2%
VWIV	20.5%	14.1%	39.9%	26.8%	14.1%
Skew 25d	6.5%	3.8%	11.1%	8.9%	4.2%
Skew 10d	13.4%	8.1%	26.7%	15.8%	8.1%
Call IV 25d	15.9%	13.2%	21.9%	19.2%	13.2%
Put IV 25d	22.4%	17.3%	33.0%	28.1%	17.3%
Bid-Ask Spread %	63.23	43.11	74.34	74.34	50.92
Gamma HHI	0.09	0.05	0.16	0.06	0.09
Net GEX	927.2K	-61.3M	79.8M	-61.3M	46.2M
Net DEX	-41.1M	-417.0M	590.1M	590.1M	-376.3M
Net VEX	-4.0M	-4.8M	-3.4M	-4.4M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.57	5.07	3.02	2.54
Total Volume	55,769.136	26,494	91,691	56,590	36,731
Total OI	435,274.955	343,776	513,960	438,473	390,443

Daily Data (22 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
2021-12-01	$100.38	$104.00	22.9%	7.4%	13.9%	51.6%	26.8%	8.9%	0.1%	-61.3M	590.1M	-4.4M	3.02	74.34	14,067	42,523	162,325	276,148
2021-12-02	$102.47	$103.00	22.3%	7.1%	16.1%	48.0%	34.6%	9.2%	-0.7%	-43.6M	300.9M	-4.6M	2.61	65.82	25,411	66,280	170,977	286,921
2021-12-03	$101.63	$103.00	25.4%	8.1%	16.3%	66.4%	39.9%	11.1%	-0.8%	-36.2M	369.6M	-4.8M	2.07	74.09	20,430	42,302	184,188	282,443
2021-12-06	$103.94	$100.00	20.9%	6.0%	17.8%	39.8%	22.3%	9.7%	0.4%	-17.4M	-3.3M	-4.5M	1.92	54.67	21,227	40,852	174,446	280,454
2021-12-07	$104.86	$100.00	17.6%	5.3%	18.1%	20.5%	19.5%	6.9%	0.5%	-6.2M	-166.2M	-4.3M	1.70	58.74	23,381	39,784	174,724	292,380
2021-12-08	$105.42	$100.00	16.0%	4.9%	18.2%	11.2%	18.4%	6.0%	0.7%	10.7M	-316.8M	-4.0M	1.41	67.84	24,719	34,878	177,615	297,188
2021-12-09	$105.12	$100.00	17.4%	5.1%	18.1%	19.8%	19.4%	6.5%	0.4%	5.6M	-251.5M	-4.1M	1.76	46.82	30,151	53,181	180,985	298,488
2021-12-10	$105.30	$100.00	15.9%	4.8%	18.1%	11.1%	17.3%	5.6%	0.4%	23.5M	-284.5M	-4.1M	1.80	67.49	27,948	50,366	190,011	307,717
2021-12-13	$104.55	$100.00	16.8%	4.7%	18.0%	16.1%	17.8%	6.1%	-0.4%	1.2M	-139.2M	-4.0M	1.59	68.97	23,307	37,166	184,233	300,596
2021-12-14	$103.28	$102.00	18.0%	5.3%	18.4%	23.2%	19.4%	6.7%	0.3%	-38.9M	108.5M	-4.0M	5.07	66.28	5,484	27,809	183,564	303,380
2021-12-15	$104.00	$103.00	17.3%	4.9%	18.6%	18.7%	18.7%	6.8%	0.1%	-19.4M	-55.6M	-3.8M	2.13	68.17	22,926	48,735	184,370	305,604
2021-12-16	$104.35	$103.00	17.9%	5.2%	18.7%	22.5%	18.3%	6.4%	0.3%	-14.5M	-99.3M	-3.9M	1.87	71.55	16,592	30,983	188,099	320,179
2021-12-17	$102.99	$103.00	19.0%	5.3%	19.1%	28.9%	22.4%	6.4%	-0.4%	-51.3M	128.4M	-3.9M	2.76	68.03	12,398	34,184	190,628	323,332
2021-12-20	$100.25	$105.00	22.0%	6.3%	21.1%	46.7%	22.5%	7.6%	0.3%	-41.8M	446.4M	-3.9M	0.73	43.11	30,660	22,524	125,412	218,364
2021-12-21	$102.09	$105.00	19.4%	5.6%	22.2%	31.4%	21.1%	6.6%	0.2%	-9.7M	176.4M	-4.0M	1.80	56.25	11,535	20,747	143,804	221,334
2021-12-22	$102.65	$105.00	17.6%	5.0%	22.4%	20.6%	18.9%	6.2%	0.5%	-684.5K	112.5M	-3.9M	2.18	60.72	11,303	24,615	147,500	222,803
2021-12-23	$104.17	$105.00	16.2%	4.6%	23.1%	12.7%	18.0%	5.3%	0.6%	21.9M	-113.5M	-3.9M	0.57	62.40	50,901	29,037	149,046	224,688
2021-12-27	$104.88	$105.00	15.6%	4.3%	21.4%	8.9%	17.1%	4.6%	0.6%	54.6M	-236.3M	-3.6M	2.46	63.68	7,667	18,827	148,809	222,974
2021-12-28	$105.66	$105.00	15.6%	4.3%	21.6%	8.8%	15.4%	4.5%	0.3%	66.9M	-364.3M	-3.5M	2.43	64.55	10,028	24,389	149,198	223,930
2021-12-29	$105.83	$105.00	14.6%	4.1%	19.7%	3.5%	14.8%	3.8%	0.4%	79.8M	-417.0M	-3.4M	0.77	67.97	42,633	32,954	151,953	227,544
2021-12-30	$105.55	$105.00	14.7%	4.0%	19.4%	3.6%	14.9%	4.0%	0.4%	51.2M	-312.9M	-3.5M	2.37	68.74	10,456	24,830	151,249	236,003
2021-12-31	$106.20	$105.00	14.7%	4.1%	18.2%	3.8%	14.1%	4.2%	0.2%	46.2M	-376.3M	-3.4M	2.54	50.92	10,363	26,368	153,744	236,699