XLI Options History — August 2023

In August 2023, XLI traded between $105.81 and $110.73. ATM implied volatility averaged 14.7%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.3% (HV 20d: 10.4%). Max pain ranged from $103.00 to $107.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 3.32.

Notable Days

2023-08-18: Highest Volume — 334,801 contracts
2023-08-02: Largest IV spike — 13.6% change
2023-08-17: Highest IV Rank — 18.6%
2023-08-17: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.94	$105.81	$110.73	$110.73	$108.44
Max Pain	$105.83	$103.00	$107.00	$107.00	$106.00
ATM IV	14.7%	12.8%	16.2%	13.2%	12.8%
Expected Move	4.1%	3.3%	4.6%	3.7%	3.3%
HV 20d	10.4%	9.2%	11.8%	9.7%	11.3%
HV 60d	13.2%	11.6%	13.8%	13.6%	11.6%
IV Rank	10.5%	0.0%	18.6%	2.3%	0.0%
IV Percentile	14.9%	0.0%	24.6%	1.2%	0.0%
Term Structure	0.2%	-0.4%	0.8%	-0.1%	0.3%
VWIV	15.4%	12.0%	18.8%	14.5%	13.4%
Skew 25d	3.6%	2.7%	4.3%	2.8%	2.7%
Skew 10d	7.4%	6.0%	8.8%	6.5%	6.0%
Call IV 25d	13.2%	11.9%	14.3%	12.1%	11.9%
Put IV 25d	16.8%	14.6%	18.5%	14.8%	14.6%
Bid-Ask Spread %	6.89	2.19	33.69	3.73	33.69
Gamma HHI	0.11	0.10	0.13	0.13	0.12
Net GEX	-110.6M	-240.7M	23.8M	15.0M	23.8M
Net DEX	-163.7M	-1.05B	730.3M	-1.05B	-632.9M
Net VEX	-8.9M	-10.1M	-7.0M	-7.0M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.32	0.61	15.79	2.77	1.99
Total Volume	51,610.609	7,016	334,801	17,353	21,411
Total OI	1,039,600.739	817,185	1,202,073	817,185	1,202,073

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
2023-08-01	$110.73	$107.00	13.2%	3.7%	9.7%	2.3%	14.5%	2.8%	-0.1%	15.0M	-1.05B	-7.0M	2.77	3.73	4,601	12,752	250,603	566,582
2023-08-02	$109.56	$107.00	15.0%	4.3%	10.2%	12.3%	16.8%	3.4%	-0.1%	-29.4M	-738.2M	-7.7M	10.99	3.35	4,630	50,863	253,656	574,992
2023-08-03	$109.00	$103.00	14.6%	4.2%	9.8%	10.2%	14.5%	3.4%	-0.2%	-63.2M	-543.0M	-8.2M	1.08	30.90	13,254	14,311	255,649	612,021
2023-08-04	$108.18	$103.00	15.1%	4.4%	10.2%	12.9%	16.5%	3.4%	-0.2%	-95.4M	-280.4M	-9.1M	7.43	2.92	4,831	35,877	266,026	619,634
2023-08-07	$109.41	$106.00	13.9%	4.2%	10.1%	6.2%	15.9%	3.4%	0.5%	-56.3M	-631.8M	-8.7M	3.08	5.23	2,002	6,175	264,866	641,842
2023-08-08	$109.25	$106.00	14.6%	4.2%	9.2%	9.8%	17.4%	3.7%	0.3%	-69.7M	-562.1M	-8.7M	3.98	2.49	2,703	10,748	265,773	644,777
2023-08-09	$109.16	$106.00	14.5%	4.2%	9.2%	9.7%	15.8%	3.7%	0.2%	-70.8M	-536.5M	-8.6M	2.29	8.13	2,429	5,574	266,827	647,644
2023-08-10	$108.47	$106.00	14.7%	4.3%	9.5%	10.8%	16.3%	3.6%	0.5%	-108.2M	-334.1M	-8.7M	0.98	11.91	4,672	4,564	268,170	651,238
2023-08-11	$108.85	$106.00	14.0%	4.1%	9.4%	6.9%	16.4%	3.4%	0.3%	-103.2M	-476.6M	-8.4M	3.35	2.27	3,811	12,754	271,128	651,676
2023-08-14	$108.88	$106.00	14.2%	4.1%	9.2%	7.8%	15.4%	3.4%	0.4%	-86.0M	-525.7M	-8.1M	1.00	2.26	160,350	160,825	271,024	650,112
2023-08-15	$107.44	$106.00	15.7%	4.5%	10.2%	16.3%	18.8%	3.9%	0.4%	-166.9M	-13.6M	-9.7M	15.79	3.56	5,994	94,632	348,185	725,737
2023-08-16	$106.93	$106.00	15.6%	4.5%	10.3%	15.5%	16.0%	4.1%	0.7%	-174.8M	268.5M	-10.0M	4.65	4.21	2,750	12,781	352,060	754,254
2023-08-17	$106.10	$106.00	16.2%	4.6%	10.4%	18.6%	14.8%	4.2%	0.8%	-212.6M	565.6M	-10.0M	1.02	3.59	10,728	10,901	351,524	758,120
2023-08-18	$106.31	$106.00	15.8%	4.5%	10.5%	16.5%	16.8%	3.7%	0.3%	-207.9M	510.2M	-9.7M	1.13	2.74	157,167	177,634	354,345	760,359
2023-08-21	$106.25	$106.00	15.7%	4.4%	10.4%	16.3%	15.8%	4.3%	-0.1%	-197.8M	535.9M	-10.1M	1.04	2.19	5,077	5,297	396,651	769,227
2023-08-22	$105.81	$106.00	15.7%	4.3%	10.5%	16.0%	16.5%	4.2%	0.0%	-220.5M	730.3M	-10.1M	1.81	2.40	2,501	4,515	400,602	770,712
2023-08-23	$107.02	$106.00	14.8%	4.0%	11.1%	11.0%	14.2%	4.1%	0.0%	-166.0M	181.7M	-9.7M	0.97	15.34	9,086	8,852	401,357	773,171
2023-08-24	$105.88	$106.00	15.7%	4.3%	11.2%	16.2%	13.9%	4.0%	0.1%	-240.7M	712.7M	-9.8M	0.61	3.04	10,755	6,572	406,546	776,074
2023-08-25	$106.75	$106.00	14.6%	4.0%	11.3%	10.3%	14.1%	3.4%	-0.0%	-183.7M	274.1M	-9.3M	4.92	5.48	10,197	50,197	400,728	779,858
2023-08-28	$107.34	$106.00	14.2%	3.9%	11.5%	7.9%	16.2%	3.6%	0.4%	-117.3M	-67.7M	-8.7M	3.80	2.65	2,962	11,254	403,812	764,363
2023-08-29	$108.27	$106.00	13.5%	3.6%	11.8%	3.6%	12.5%	3.1%	0.2%	-34.9M	-455.9M	-8.2M	0.84	3.49	14,704	12,409	404,456	770,186
2023-08-30	$108.68	$106.00	13.4%	3.5%	11.4%	3.2%	12.0%	3.0%	-0.4%	22.4M	-690.8M	-7.9M	0.87	2.99	11,211	9,731	411,054	781,123
2023-08-31	$108.44	$106.00	12.8%	3.3%	11.3%	0.0%	13.4%	2.7%	0.3%	23.8M	-632.9M	-7.8M	1.99	33.69	7,168	14,243	417,609	784,464