XLI Options History — February 2007 In February 2007, XLI traded between $35.30 and $36.82. ATM implied volatility averaged 11.6%. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.3% (HV 20d: 10.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 4.83.
Notable Days 2007-02-02 : Highest Volume — 10,283 contracts2007-02-27 : Largest IV spike — 38.9% change2007-02-27 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $36.27 $35.30 $36.82 $36.05 $35.42 Max Pain $33.63 $33.00 $34.00 $34.00 $34.00 ATM IV 11.6% 9.8% 17.7% 10.2% 16.8% Expected Move 3.4% 2.8% 5.1% 2.9% 4.8% HV 20d 10.3% 9.1% 14.7% 9.7% 14.7% Term Structure 0.7% -2.2% 2.6% 0.6% -2.2% VWIV 11.0% 7.0% 17.2% 10.2% 16.5% Skew 25d 3.8% 2.4% 6.4% 6.4% 5.2% Skew 10d 6.7% 1.8% 11.0% 11.0% 7.8% Call IV 25d 9.7% 6.4% 14.4% 6.4% 13.1% Put IV 25d 13.5% 10.8% 18.6% 12.8% 18.4% Bid-Ask Spread % 20.20 10.09 81.36 11.78 29.68 Gamma HHI 0.28 0.14 0.42 0.32 0.14 Net GEX 588.8K 82.6K 1.1M 490.7K 82.6K Net DEX -50.4M -64.0M -21.0M -47.5M -22.3M Net VEX -434.3K -485.6K -329.7K -348.9K -483.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.83 0.00 65.00 2.14 0.01 Total Volume 1,198.632 28 10,283 66 2,233 Total OI 54,050.632 44,633 58,450 44,633 58,450
Daily Data (19 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 2007-02-01 $36.05 $34.00 10.2% 2.9% 9.7% 0.0% 10.2% 6.4% 0.6% 490.7K -47.5M -348.9K 2.14 11.78 21 45 23,054 21,579 2007-02-02 $36.19 $33.00 11.4% 3.3% 9.6% 0.0% 7.0% 4.8% 1.5% 470.6K -51.0M -329.7K 0.66 17.41 6,203 4,080 23,056 21,603 2007-02-05 $36.26 $33.00 10.2% 3.2% 9.4% 0.0% 10.8% 3.5% 2.6% 276.5K -54.1M -446.6K 0.07 81.36 553 40 27,184 25,693 2007-02-06 $36.27 $33.00 10.9% 3.5% 9.4% 0.0% 9.5% 4.1% 0.3% 498.9K -53.0M -457.2K 0.09 13.63 329 28 27,705 26,233 2007-02-07 $36.24 $33.00 11.0% 3.5% 9.4% 0.0% 0.0% 4.5% 0.0% 575.7K -54.2M -450.8K 0.00 16.27 28 0 27,909 25,758 2007-02-08 $35.99 $33.00 11.5% 3.3% 9.8% 0.0% 11.0% 2.4% 1.3% 598.5K -53.5M -440.5K 4.57 13.79 23 105 27,922 25,758 2007-02-09 $35.85 $33.00 11.8% 3.4% 9.6% 0.0% 9.9% 3.1% 1.0% 759.2K -49.2M -451.6K 0.58 16.77 290 168 27,916 25,858 2007-02-12 $35.91 $33.00 12.0% 3.4% 9.6% 0.0% 11.6% 4.2% 0.6% 667.8K -50.0M -450.7K 0.32 17.89 1,656 522 28,184 26,018 2007-02-13 $36.20 $34.00 11.5% 3.3% 9.8% 0.0% 10.8% 2.6% 1.2% 299.7K -53.5M -455.2K 3.33 14.04 15 50 29,196 26,540 2007-02-14 $36.73 $34.00 10.7% 3.1% 11.0% 0.0% 11.0% 2.4% 1.7% 544.8K -63.5M -428.9K 0.07 12.92 697 50 29,201 26,570 2007-02-15 $36.81 $34.00 10.4% 3.0% 10.8% 0.0% 9.9% 2.4% 1.8% 769.2K -64.0M -433.0K 1.01 14.95 89 90 29,670 26,590 2007-02-16 $36.66 $34.00 9.9% 2.8% 11.0% 0.0% 8.1% 4.0% 2.0% 787.1K -63.6M -424.9K 1.39 16.49 115 160 29,679 26,680 2007-02-20 $36.72 $34.00 9.8% 2.8% 9.9% 0.0% 9.8% 3.7% 1.1% 911.9K -53.8M -428.6K 0.74 16.34 349 260 27,240 26,436 2007-02-21 $36.82 $34.00 10.3% 3.0% 9.3% 0.0% 10.8% 3.5% 0.9% 846.4K -55.9M -420.7K 0.89 11.74 19 17 27,493 26,696 2007-02-22 $36.70 $34.00 10.0% 2.9% 9.3% 0.0% 10.5% 2.5% 1.7% 868.2K -52.1M -427.2K 0.00 10.09 961 2 27,469 26,696 2007-02-23 $36.60 $34.00 10.6% 3.0% 9.1% 0.0% 0.0% 4.3% 0.2% 1.1M -51.8M -436.7K 4.97 14.22 503 2,500 28,268 26,698 2007-02-26 $36.39 $34.00 12.8% 3.7% 9.2% 0.0% 12.4% 4.5% -0.5% 466.6K -43.5M -451.5K 65.00 17.90 1 65 28,771 29,198 2007-02-27 $35.30 $34.00 17.7% 5.1% 14.7% 0.0% 17.2% 4.2% -2.2% 203.6K -21.0M -485.6K 5.95 36.45 73 434 28,771 29,220 2007-02-28 $35.42 $34.00 16.8% 4.8% 14.7% 0.0% 16.5% 5.2% -2.2% 82.6K -22.3M -483.3K 0.01 29.68 2,202 31 28,811 29,639
« Jan 2007 | All History | Mar 2007 » Home XLI History February 2007