XLI Options History — September 2022

In September 2022, XLI traded between $83.16 and $95.78. ATM implied volatility averaged 25.5%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.7% (HV 20d: 22.9%). Max pain ranged from $91.00 to $100.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2022-09-28: Highest Volume — 34,052 contracts
  • 2022-09-13: Largest IV spike — 16.2% change
  • 2022-09-27: Highest IV Rank — 99.0%
  • 2022-09-27: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.48$83.16$95.78$92.67$83.16
Max Pain$94.14$91.00$100.00$100.00$91.00
ATM IV25.5%20.8%30.4%24.7%29.4%
Expected Move7.4%6.1%8.9%7.0%8.6%
HV 20d22.9%19.2%26.2%19.9%26.2%
HV 60d21.9%21.0%23.5%23.5%22.6%
IV Rank69.3%40.5%99.0%64.3%92.6%
IV Percentile82.1%53.2%99.6%80.6%98.0%
Term Structure-0.2%-1.1%0.1%-0.1%-0.0%
VWIV25.6%21.4%30.9%25.7%28.8%
Skew 25d5.1%-0.4%7.2%5.9%6.3%
Skew 10d10.7%8.8%14.2%10.5%10.8%
Call IV 25d23.7%18.9%33.8%22.2%26.6%
Put IV 25d28.8%21.9%34.3%28.1%32.9%
Bid-Ask Spread %20.887.18118.0619.1810.92
Gamma HHI0.070.040.210.060.05
Net GEX-29.5M-52.9M-9.8M-39.0M-10.0M
Net DEX502.4M245.4M838.1M578.6M496.5M
Net VEX-3.6M-3.9M-3.2M-3.9M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.4217.7117.710.92
Total Volume20,55611,32234,05211,43227,542
Total OI338,314.667256,327409,977375,680293,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$92.67$100.0024.7%7.0%19.9%64.3%25.7%5.9%-0.1%-39.0M578.6M-3.9M17.7119.1861110,821156,194219,486
2022-09-02$91.88$100.0023.9%6.8%20.0%59.3%25.0%5.8%-0.1%-46.8M687.3M-3.8M2.189.736,46214,076156,023222,697
2022-09-06$92.25$95.0025.1%7.2%20.1%66.9%26.4%5.6%-0.0%-45.9M643.5M-3.8M1.7516.3911,76820,598152,113223,815
2022-09-07$93.88$95.0023.3%6.6%21.2%56.1%25.7%5.3%-0.2%-51.3M516.7M-3.9M1.9114.5010,00919,151153,939232,309
2022-09-08$93.67$95.0022.8%6.4%19.2%53.0%23.3%5.2%-0.1%-52.9M527.3M-3.8M0.8818.427,5056,632156,386235,785
2022-09-09$95.41$95.0020.8%6.1%20.4%40.5%21.4%4.7%-0.0%-51.0M303.3M-3.9M1.1520.715,4326,253161,909236,733
2022-09-12$95.78$95.0021.3%6.1%19.7%43.7%21.5%5.3%0.0%-36.7M245.4M-3.8M1.6011.344,3516,971167,721231,165
2022-09-13$92.05$95.0024.7%7.0%23.6%64.5%23.6%5.6%-0.5%-48.8M646.2M-3.7M4.1117.996,05524,875167,742234,897
2022-09-14$92.12$95.0024.4%8.0%23.4%62.3%30.9%-0.4%-0.5%-9.8M646.0M-3.5M1.77118.064,6858,281168,051238,063
2022-09-15$91.24$95.0025.2%7.1%23.5%67.1%22.0%0.7%-1.1%-49.8M755.9M-3.5M1.6168.307,81412,593170,590239,387
2022-09-16$89.02$95.0025.2%7.2%24.3%67.3%25.2%5.5%0.0%-32.7M838.1M-3.5M2.8913.446,80619,666173,488228,437
2022-09-19$89.95$95.0024.5%7.0%24.8%63.1%23.3%5.2%0.1%-16.7M259.0M-3.6M1.478.244,7446,983116,415139,912
2022-09-20$89.10$95.0025.6%7.3%24.3%69.4%25.1%5.1%-0.1%-16.6M290.1M-3.6M0.939.6010,4199,672118,698139,841
2022-09-21$87.94$93.0025.4%7.3%24.3%68.7%24.8%5.1%-1.1%-17.9M348.7M-3.6M0.4211.8710,6504,512127,274146,078
2022-09-22$86.95$92.0025.6%7.3%24.2%69.7%25.3%4.8%-0.4%-18.0M404.4M-3.5M1.9812.953,8637,632132,957146,262
2022-09-23$84.62$92.0027.3%7.9%24.4%79.8%25.0%5.4%-0.2%-17.3M505.2M-3.3M3.027.184,67014,116134,052147,133
2022-09-26$84.14$91.0028.8%8.4%22.6%89.4%26.6%5.9%-0.1%-16.1M488.2M-3.3M1.4913.429,81314,663133,130144,301
2022-09-27$83.43$91.0030.4%8.9%22.6%99.0%29.6%7.2%-0.3%-16.1M512.2M-3.2M0.7414.3914,05210,393134,597145,333
2022-09-28$85.81$91.0027.7%8.1%25.3%82.3%28.6%6.3%-0.2%-13.8M382.4M-3.5M1.0010.1317,00717,045141,850145,381
2022-09-29$83.91$91.0029.9%8.7%26.1%95.6%29.1%6.4%-0.2%-12.2M476.0M-3.3M0.9711.8311,41711,068144,811146,346
2022-09-30$83.16$91.0029.4%8.6%26.2%92.6%28.8%6.3%-0.0%-10.0M496.5M-3.2M0.9210.9214,32413,218148,387144,920