XLI Options History — September 2024

In September 2024, XLI traded between $125.84 and $135.09. ATM implied volatility averaged 15.6%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.6% (HV 20d: 14.0%). Max pain ranged from $124.00 to $133.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.98.

Notable Days

  • 2024-09-10: Highest Volume — 478,381 contracts
  • 2024-09-11: Largest IV drop — 12.6% change
  • 2024-09-05: Highest IV Rank — 49.4%
  • 2024-09-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.09$125.84$135.09$128.28$135.09
Max Pain$129.82$124.00$133.00$124.00$133.00
ATM IV15.6%13.8%17.8%17.2%14.7%
Expected Move4.5%3.9%5.4%5.4%4.2%
HV 20d14.0%13.0%14.8%14.8%14.3%
HV 60d16.7%16.4%16.9%16.4%16.6%
IV Rank33.7%21.5%49.4%45.3%27.8%
IV Percentile75.4%58.7%92.1%89.3%70.6%
Term Structure-0.2%-4.4%3.2%0.1%3.2%
VWIV16.8%13.4%20.5%18.5%15.2%
Skew 25d3.9%1.6%9.0%4.0%1.6%
Skew 10d8.8%6.0%15.1%7.8%6.0%
Call IV 25d14.3%12.4%16.9%15.2%15.5%
Put IV 25d18.2%15.9%24.9%19.2%17.2%
Bid-Ask Spread %42.1423.1463.1560.4752.08
Gamma HHI0.150.080.240.090.13
Net GEX69.7M-62.9M181.3M39.8M15.5M
Net DEX-829.5M-1.53B165.9M-638.1M-660.1M
Net VEX-6.8M-7.5M-5.9M-6.7M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.449.020.955.83
Total Volume85,685.858,681478,38125,3048,681
Total OI741,263.95599,325854,329752,411630,141

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$128.28$124.0017.2%5.4%14.8%45.3%18.5%4.0%0.1%39.8M-638.1M-6.7M0.9560.4712,99812,306278,562473,849
2024-09-04$128.69$124.5017.7%5.3%13.2%48.9%20.2%4.3%-0.1%53.1M-739.4M-6.7M4.2063.155,71123,996282,293480,544
2024-09-05$127.09$130.0017.8%5.1%13.8%49.4%18.8%9.0%-3.7%-22.0M-236.1M-7.2M2.2233.379,90422,001286,551496,668
2024-09-06$125.84$129.0017.0%5.2%13.0%44.1%18.0%4.5%-4.4%-62.9M165.9M-7.3M1.0131.9113,67213,842294,837507,138
2024-09-09$127.78$129.0017.3%4.9%14.0%46.1%17.5%4.0%-0.4%48.4M-535.6M-6.7M3.1136.782,6108,107298,167494,951
2024-09-10$127.84$129.0017.2%4.9%13.8%45.1%20.5%4.2%-0.1%49.2M-485.5M-6.6M1.5640.29187,063291,318298,968500,491
2024-09-11$127.84$129.0015.0%4.7%13.4%30.0%20.2%2.8%0.0%92.3M-549.1M-7.5M9.0238.293,60032,477305,427547,359
2024-09-12$129.19$129.0015.6%4.4%13.8%34.2%16.2%3.8%-0.1%181.3M-1.06B-7.0M0.4839.3911,8355,683306,198548,131
2024-09-13$130.47$129.0015.2%4.5%13.5%31.0%15.4%3.5%0.7%86.4M-1.37B-6.8M6.2333.002,48315,462300,603550,983
2024-09-16$131.30$129.0015.9%4.7%13.5%36.1%17.1%4.2%-1.0%88.7M-1.22B-6.6M1.2743.11194,728246,595253,266491,409
2024-09-17$131.70$129.0016.2%4.6%13.5%37.8%15.7%4.1%0.2%37.9M-956.6M-7.2M4.4735.884,01517,950265,736490,242
2024-09-18$131.87$130.0015.7%4.5%13.5%34.8%19.2%4.0%-0.1%33.3M-1.02B-7.0M7.5656.672,83021,403268,307503,734
2024-09-19$134.09$131.0014.4%4.1%14.4%25.6%16.3%3.1%0.2%109.2M-1.53B-6.4M4.6046.194,27819,686269,342501,077
2024-09-20$133.22$132.0014.1%4.0%14.7%23.7%14.1%3.5%0.2%57.6M-1.31B-6.5M2.1223.143,3587,128271,193516,587
2024-09-23$133.70$132.0013.8%3.9%14.5%21.5%13.4%3.5%0.1%100.7M-811.6M-6.2M0.8625.434,8544,177212,615386,710
2024-09-24$134.34$132.0014.3%4.0%14.5%24.7%14.1%3.4%-0.5%127.3M-973.7M-5.9M1.6049.4812,09419,398216,319388,406
2024-09-25$133.97$132.0014.0%3.9%14.6%22.6%15.5%4.1%0.3%120.0M-916.5M-6.2M0.4450.829,4284,115226,504396,398
2024-09-26$134.59$132.0014.1%3.9%14.6%23.5%14.9%3.1%0.0%129.8M-1.05B-6.2M1.1946.03203,131241,596230,833402,320
2024-09-27$134.91$132.0013.8%4.1%14.4%21.6%14.1%2.9%1.6%108.3M-687.0M-7.3M0.8837.334,8874,317232,376420,044
2024-09-30$135.09$133.0014.7%4.2%14.3%27.8%15.2%1.6%3.2%15.5M-660.1M-7.3M5.8352.081,2717,410221,399408,742