XLI Options History — September 2023

In September 2023, XLI traded between $100.78 and $108.77. ATM implied volatility averaged 14.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.4% (HV 20d: 11.0%). Max pain ranged from $104.00 to $108.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.81.

Notable Days

  • 2023-09-26: Highest Volume — 394,398 contracts
  • 2023-09-21: Largest IV spike — 15.4% change
  • 2023-09-27: Highest IV Rank — 30.2%
  • 2023-09-26: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.24$100.78$108.77$108.77$101.27
Max Pain$105.60$104.00$108.00$106.00$104.00
ATM IV14.5%12.2%17.8%12.2%16.3%
Expected Move4.1%3.1%5.0%3.1%4.6%
HV 20d11.0%10.2%11.5%11.0%10.8%
HV 60d11.1%10.8%11.7%11.2%10.9%
IV Rank12.3%0.0%30.2%0.0%22.1%
IV Percentile16.8%0.0%45.2%0.0%35.7%
Term Structure0.2%-0.3%0.5%0.4%0.1%
VWIV14.6%12.0%18.8%12.0%15.3%
Skew 25d3.4%2.3%4.7%2.3%3.8%
Skew 10d7.0%5.0%8.9%5.6%7.5%
Call IV 25d13.1%11.4%15.6%11.5%14.5%
Put IV 25d16.5%13.8%20.3%13.8%18.3%
Bid-Ask Spread %9.212.6356.8913.504.43
Gamma HHI0.170.100.750.130.10
Net GEX-212.9M-1.21B67.9M67.9M-95.6M
Net DEX516.3M-833.7M1.14B-833.7M847.3M
Net VEX-8.2M-9.1M-7.3M-7.4M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.811.018.131.013.09
Total Volume95,254.89,510394,398315,15317,230
Total OI897,872.9667,3361,205,5021,205,502757,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$108.77$106.0012.2%3.1%11.0%0.0%12.0%2.3%0.4%67.9M-833.7M-7.4M1.0113.50156,849158,304423,373782,129
2023-09-05$107.22$108.0013.7%4.0%11.3%8.4%13.9%2.9%0.2%-159.1M19.3M-7.9M8.1310.995,67446,145339,593701,815
2023-09-06$106.53$107.0014.0%4.0%11.5%9.9%13.8%2.9%0.1%-207.2M257.4M-8.1M3.084.173,86111,903343,799705,979
2023-09-07$106.20$107.0014.2%4.1%11.5%10.8%16.4%2.9%0.1%-243.3M385.7M-8.0M1.243.65155,226191,898346,046709,637
2023-09-08$105.57$106.0014.0%4.0%11.5%9.6%14.7%3.0%0.2%-224.8M501.4M-8.0M2.483.252,7336,777350,356723,239
2023-09-11$105.55$106.0013.7%3.9%11.4%8.5%14.0%3.2%-0.3%-252.5M420.4M-7.6M8.113.484,08733,153349,303717,445
2023-09-12$105.27$106.0013.9%4.1%11.3%9.3%14.1%3.1%0.3%-279.0M548.2M-7.4M3.892.964,13216,092351,662725,023
2023-09-13$104.50$105.0013.7%4.1%10.7%8.1%15.4%3.2%0.5%-355.5M912.7M-7.3M1.3412.61158,808212,142354,935730,751
2023-09-14$105.48$105.0012.7%3.7%11.3%2.6%12.9%2.9%0.2%-321.4M144.3M-7.9M1.732.6312,50421,641362,025729,778
2023-09-15$104.91$105.0012.6%3.6%11.1%2.4%13.3%2.5%0.1%-1.21B613.2M-8.2M6.763.518,38956,743371,080736,852
2023-09-18$104.77$106.0012.6%3.6%11.1%2.1%12.6%3.1%0.4%-61.1M191.0M-8.2M5.372.812,33112,507226,935440,401
2023-09-19$104.31$106.0013.1%3.7%11.1%4.8%13.5%3.2%0.3%-82.7M346.9M-8.3M1.232.9915,76219,368228,014447,554
2023-09-20$103.88$106.0013.6%3.9%11.1%7.7%13.6%3.3%0.3%-102.4M468.3M-8.6M7.8956.891,86214,700232,051464,067
2023-09-21$102.30$106.0015.7%4.5%11.3%18.9%14.8%4.2%0.5%-124.1M930.9M-8.6M3.3436.817,00323,418233,254466,780
2023-09-22$101.98$105.0015.5%4.4%10.8%17.8%14.1%3.8%0.2%-133.5M987.8M-8.8M1.934.077,39114,288239,144473,426
2023-09-25$102.19$105.0016.1%4.6%10.3%20.9%15.3%4.3%0.3%-132.7M888.5M-8.6M6.243.541,76211,001241,504467,577
2023-09-26$100.78$105.0017.6%5.0%10.6%29.1%18.8%4.7%0.1%-138.3M1.14B-8.5M1.543.59155,060239,338242,387461,657
2023-09-27$101.28$104.0017.8%5.0%10.2%30.2%17.5%4.6%-0.1%-107.2M894.8M-9.1M6.263.728,69554,413245,393486,705
2023-09-28$102.09$104.0016.5%4.7%10.7%23.4%15.3%4.1%0.4%-97.8M657.2M-9.0M1.584.5712,35819,548253,709495,035
2023-09-29$101.27$104.0016.3%4.6%10.8%22.1%15.3%3.8%0.1%-95.6M847.3M-8.8M3.094.434,21413,016263,288493,757