XLI Options History — August 2022

In August 2022, XLI traded between $93.30 and $100.59. ATM implied volatility averaged 19.9%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.6% (HV 20d: 18.2%). Max pain ranged from $87.00 to $100.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 3.55.

Notable Days

2022-08-09: Highest Volume — 76,595 contracts
2022-08-17: Largest IV spike — 49.9% change
2022-08-17: Highest IV Rank — 67.4%
2022-08-30: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.14	$93.30	$100.59	$95.77	$93.30
Max Pain	$97.96	$87.00	$100.00	$87.00	$100.00
ATM IV	19.9%	16.6%	25.2%	19.4%	23.5%
Expected Move	5.7%	4.8%	7.3%	5.5%	6.8%
HV 20d	18.2%	14.0%	20.8%	20.8%	19.8%
HV 60d	23.7%	22.5%	25.5%	25.5%	23.6%
IV Rank	35.1%	15.2%	67.4%	32.3%	56.9%
IV Percentile	48.3%	20.2%	83.3%	46.8%	71.4%
Term Structure	0.2%	-0.9%	2.7%	-0.9%	0.1%
VWIV	20.7%	17.3%	25.7%	22.1%	25.7%
Skew 25d	4.6%	-6.3%	7.0%	5.4%	6.3%
Skew 10d	10.7%	7.2%	33.3%	11.9%	11.7%
Call IV 25d	18.2%	15.4%	35.1%	17.0%	21.1%
Put IV 25d	22.8%	18.8%	28.8%	22.3%	27.4%
Bid-Ask Spread %	22.50	6.80	112.71	12.58	17.83
Gamma HHI	0.13	0.04	0.85	0.04	0.07
Net GEX	3.6M	-42.8M	295.4M	-3.5M	-38.8M
Net DEX	999.6K	-309.7M	508.0M	-145.5M	508.0M
Net VEX	-3.2M	-3.9M	-2.7M	-2.7M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.55	0.49	24.44	0.49	2.28
Total Volume	27,567.957	5,767	76,595	30,567	50,976
Total OI	329,495.87	286,161	388,063	286,161	359,807

Daily Data (23 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
2022-08-01	$95.77	$87.00	19.4%	5.5%	20.8%	32.3%	22.1%	5.4%	-0.9%	-3.5M	-145.5M	-2.7M	0.49	12.58	20,482	10,085	104,728	181,433
2022-08-02	$95.10	$87.00	20.5%	5.8%	19.5%	39.2%	21.6%	5.7%	-0.5%	18.3M	-146.9M	-2.7M	1.21	34.01	10,572	12,741	118,728	181,687
2022-08-03	$95.87	$87.00	19.0%	5.2%	19.5%	29.7%	20.9%	5.2%	-0.2%	35.6M	-250.2M	-2.7M	0.90	17.53	14,027	12,660	123,685	182,130
2022-08-04	$95.90	$98.00	19.2%	5.4%	19.5%	30.9%	19.9%	5.3%	-0.2%	44.3M	-263.0M	-2.7M	0.95	15.04	18,275	17,279	124,780	182,062
2022-08-05	$96.09	$98.00	18.6%	5.3%	19.4%	27.2%	20.0%	5.1%	-0.2%	295.4M	-309.7M	-2.7M	0.62	24.41	28,281	17,598	128,967	187,459
2022-08-08	$96.15	$98.00	19.3%	5.5%	18.7%	31.6%	20.4%	5.2%	-0.0%	-5.2M	-128.3M	-2.7M	1.95	19.18	8,563	16,731	107,591	188,399
2022-08-09	$95.58	$98.00	19.8%	5.6%	18.9%	34.5%	17.3%	5.2%	-0.3%	-8.5M	-87.1M	-2.8M	0.93	20.11	39,745	36,850	108,159	192,639
2022-08-10	$97.84	$100.00	17.2%	5.0%	19.3%	19.1%	17.3%	4.0%	0.4%	453.3K	-61.9M	-3.1M	1.00	15.21	9,213	9,247	115,119	197,096
2022-08-11	$98.24	$100.00	18.2%	5.3%	18.5%	25.3%	19.0%	4.0%	0.2%	2.8M	-103.1M	-3.1M	0.99	12.71	8,370	8,290	117,930	202,486
2022-08-12	$99.67	$100.00	16.6%	4.8%	18.5%	15.2%	17.9%	3.4%	0.3%	5.2M	-218.0M	-3.1M	1.10	12.37	10,510	11,542	119,944	208,413
2022-08-15	$100.08	$100.00	17.4%	5.0%	17.9%	20.1%	19.8%	3.7%	0.7%	7.4M	-221.8M	-3.1M	4.32	13.82	9,544	41,184	119,003	208,821
2022-08-16	$100.59	$100.00	16.8%	4.8%	14.0%	16.8%	18.2%	3.8%	0.5%	-1.1M	-219.4M	-3.5M	3.56	19.34	1,264	4,503	127,537	247,607
2022-08-17	$99.83	$100.00	25.2%	7.2%	14.8%	67.4%	22.6%	-6.3%	2.7%	-7.1M	-119.0M	-3.7M	15.00	112.71	516	7,739	128,028	250,755
2022-08-18	$100.15	$100.00	17.3%	4.9%	14.8%	19.6%	18.1%	3.8%	0.6%	-7.2M	-164.8M	-3.5M	1.90	16.59	5,178	9,860	128,070	255,069
2022-08-19	$98.83	$100.00	18.0%	5.1%	15.9%	23.7%	19.3%	4.2%	0.9%	-24.3M	11.9M	-3.6M	0.85	16.35	4,811	4,085	127,147	260,916
2022-08-22	$96.90	$100.00	21.2%	6.0%	18.1%	43.3%	22.3%	5.8%	0.0%	-41.8M	297.2M	-3.5M	2.48	15.32	6,416	15,890	117,472	200,341
2022-08-23	$97.26	$100.00	20.6%	5.9%	18.0%	39.4%	20.4%	5.3%	-0.5%	-42.8M	275.9M	-3.6M	1.23	11.45	11,660	14,309	121,581	211,320
2022-08-24	$97.58	$100.00	20.5%	5.5%	17.2%	39.2%	20.9%	5.7%	-0.3%	-41.3M	224.0M	-3.8M	24.44	17.06	1,415	34,577	131,118	220,342
2022-08-25	$98.76	$100.00	19.0%	5.3%	16.8%	30.2%	21.9%	5.3%	-0.1%	-10.7M	1.8M	-3.5M	3.89	6.80	1,285	4,999	131,682	191,081
2022-08-26	$95.65	$100.00	22.1%	6.3%	19.3%	48.7%	21.1%	5.7%	-0.8%	-28.6M	322.1M	-3.5M	2.29	11.76	2,830	6,482	131,940	194,457
2022-08-29	$95.33	$100.00	23.1%	6.6%	19.3%	54.7%	24.7%	6.2%	0.3%	-29.4M	325.1M	-3.5M	8.08	16.71	2,186	17,656	128,932	186,601
2022-08-30	$93.70	$100.00	24.2%	7.3%	20.1%	61.4%	25.2%	7.0%	1.3%	-37.0M	495.7M	-3.5M	1.28	58.60	23,551	30,086	130,290	195,053
2022-08-31	$93.30	$100.00	23.5%	6.8%	19.8%	56.9%	25.7%	6.3%	0.1%	-38.8M	508.0M	-3.9M	2.28	17.83	15,537	35,439	152,484	207,323