XLI Options History — January 2007

In January 2007, XLI traded between $34.96 and $35.80. ATM implied volatility averaged 11.3%. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.3% (HV 20d: 9.0%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 8.09.

Notable Days

  • 2007-01-08: Highest Volume — 5,684 contracts
  • 2007-01-25: Largest IV spike — 61.9% change
  • 2007-01-11: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.39$34.96$35.80$35.23$35.74
Max Pain$34.80$34.00$35.00$35.00$35.00
ATM IV11.3%7.5%13.4%12.8%10.1%
Expected Move3.3%2.1%3.8%3.7%2.9%
HV 20d9.0%8.6%9.6%9.2%9.6%
Term Structure1.0%0.3%1.8%1.0%1.0%
VWIV12.5%10.5%16.6%12.8%12.1%
Skew 25d3.5%1.9%6.9%3.2%2.8%
Skew 10d5.9%2.4%9.6%5.0%3.2%
Call IV 25d10.1%7.3%11.6%11.6%8.9%
Put IV 25d13.6%11.8%15.3%14.8%11.8%
Bid-Ask Spread %15.987.9721.0319.6514.42
Gamma HHI0.560.320.810.660.49
Net GEX-1.5M-6.6M1.1M-3.5M767.2K
Net DEX-44.2M-71.5M-31.8M-38.2M-40.6M
Net VEX-308.4K-367.9K-266.2K-267.1K-367.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.090.0068.3017.500.56
Total Volume1,072.6525,684371,098
Total OI62,742.0537,76683,04572,73243,598

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$35.23$35.0012.8%3.7%0.0%0.0%12.8%3.2%1.0%-3.5M-38.2M-267.1K17.5019.6523522,26050,472
2007-01-04$35.08$35.0012.5%3.6%0.0%0.0%16.6%6.9%1.2%-3.8M-35.3M-275.6K68.3014.501068322,26050,497
2007-01-05$34.96$35.0011.5%3.8%0.0%0.0%0.0%3.7%0.9%-4.6M-32.2M-266.2K14.4712.571111,60622,26650,717
2007-01-08$35.09$35.0012.1%3.5%0.0%0.0%13.1%3.3%1.5%-4.7M-35.1M-270.1K1.6916.002,1123,57222,32751,070
2007-01-09$35.07$35.0010.5%3.5%0.0%0.0%0.0%3.0%1.5%-6.6M-38.5M-312.9K0.0017.922024,41754,343
2007-01-10$35.19$35.0010.5%3.5%0.0%0.0%13.0%4.2%0.9%-5.6M-41.7M-313.2K0.4421.0355524624,41753,280
2007-01-11$35.48$34.0013.4%3.8%0.0%0.0%13.2%3.4%0.5%-3.5M-47.8M-314.1K0.0315.573,59911324,96453,522
2007-01-12$35.58$34.0011.2%3.2%0.0%0.0%10.7%2.7%0.8%-2.2M-64.3M-319.9K0.3716.601907128,52953,512
2007-01-16$35.77$34.0011.6%3.3%0.0%0.0%13.6%3.9%0.7%275.9K-70.2M-300.4K0.7018.01372628,60553,518
2007-01-17$35.80$34.0010.6%3.0%0.0%0.0%10.9%1.9%0.8%507.1K-71.5M-290.7K1.7515.5134460228,61753,522
2007-01-18$35.64$35.0011.2%3.2%0.0%0.0%0.0%1.9%0.3%-1.9M-61.3M-307.5K1.077.9711512328,78954,039
2007-01-19$35.62$35.0010.7%3.1%0.0%0.0%10.5%4.2%1.6%-1.0M-66.1M-313.1K1.1916.49425028,88354,162
2007-01-22$35.23$35.0012.5%3.6%0.0%0.0%12.7%2.1%0.4%942.4K-33.3M-321.4K0.0017.2740019,73618,030
2007-01-23$35.64$35.0010.1%2.9%0.0%0.0%0.0%4.7%1.1%844.9K-37.2M-310.8K1.2615.0866984619,75918,030
2007-01-24$35.54$35.007.5%2.1%0.0%0.0%12.9%5.7%1.8%801.0K-38.4M-315.8K2.8312.11236520,34618,736
2007-01-25$35.35$35.0012.1%3.5%9.2%0.0%0.0%2.6%0.7%976.9K-33.6M-325.1K46.4318.89732520,36918,794
2007-01-26$35.21$35.0011.4%3.3%9.1%0.0%11.5%2.3%0.8%1.0M-31.8M-329.4K0.0017.632020,37419,065
2007-01-29$35.29$35.0012.0%3.4%8.8%0.0%0.0%4.0%0.8%1.0M-32.8M-326.1K2.1413.32214520,37619,108
2007-01-30$35.27$35.0011.9%3.4%8.6%0.0%11.8%3.1%0.8%1.1M-33.4M-320.5K1.0019.122,0362,03020,37919,153
2007-01-31$35.74$35.0010.1%2.9%9.6%0.0%12.1%2.8%1.0%767.2K-40.6M-367.9K0.5614.4270239622,41521,183