XLI Options History — March 2007

In March 2007, XLI traded between $34.75 and $36.36. ATM implied volatility averaged 15.4%. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.8% (HV 20d: 14.6%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.66.

Notable Days

  • 2007-03-15: Highest Volume — 14,014 contracts
  • 2007-03-13: Largest IV spike — 122.7% change
  • 2007-03-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.47$34.75$36.36$35.28$35.55
Max Pain$35.64$34.00$37.00$34.00$35.00
ATM IV15.4%10.6%23.6%19.0%12.3%
Expected Move4.2%3.5%5.9%5.4%3.5%
HV 20d14.6%11.4%16.4%13.9%11.4%
HV 60d12.1%11.9%12.5%12.0%11.9%
Term Structure0.1%-4.2%1.8%-4.0%1.1%
VWIV14.5%8.7%22.8%22.8%12.2%
Skew 25d4.7%3.4%8.4%8.4%5.9%
Skew 10d9.4%4.8%16.2%11.2%8.4%
Call IV 25d12.4%9.2%18.1%15.5%10.2%
Put IV 25d17.1%13.4%23.9%23.9%16.1%
Bid-Ask Spread %21.5016.2926.5225.6716.29
Gamma HHI0.280.190.380.310.28
Net GEX836.7K232.5K1.6M504.7K1.4M
Net DEX-26.5M-48.3M-7.9M-23.7M-37.5M
Net VEX-495.5K-511.9K-481.4K-502.7K-488.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.0023.330.540.00
Total Volume1,485.591214,01492513
Total OI61,262.553,39568,92760,44956,467

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$35.28$34.0019.0%5.4%13.9%0.0%22.8%8.4%-4.0%504.7K-23.7M-502.7K0.5425.6760032530,78029,669
2007-03-02$34.84$34.0020.5%5.9%14.1%0.0%20.2%4.9%-4.2%460.3K-16.5M-505.2K0.2723.5649213331,34729,994
2007-03-05$34.75$37.0019.8%4.9%13.9%0.0%16.4%4.9%-0.9%462.6K-11.6M-500.1K9.0923.741581,43731,46730,072
2007-03-06$35.15$37.0017.4%4.3%14.7%0.0%15.0%6.4%-0.1%397.1K-13.9M-500.6K0.8119.143,0662,49331,56331,365
2007-03-07$35.01$36.0015.9%4.2%14.7%0.0%0.0%4.3%0.1%748.1K-14.6M-511.9K10.5021.0822134,38433,672
2007-03-08$35.27$37.0016.7%4.3%15.0%0.0%13.0%4.2%-0.6%506.7K-18.2M-504.3K1.4519.7027940533,53433,661
2007-03-09$35.45$37.0016.5%4.3%15.1%0.0%13.4%3.8%0.1%388.1K-20.7M-494.7K2.2923.29317133,67134,012
2007-03-12$35.62$37.0010.6%3.8%15.1%0.0%15.1%3.9%0.5%292.7K-25.3M-488.9K0.4020.9577630933,65234,038
2007-03-13$35.02$36.0023.6%4.8%16.2%0.0%16.5%3.7%-1.1%450.7K-11.3M-506.2K0.6326.52412634,39434,340
2007-03-14$35.16$36.0018.5%4.4%16.0%0.0%15.5%5.8%0.4%446.4K-12.3M-505.8K1.0116.9820821034,42834,342
2007-03-15$35.20$36.0015.4%4.4%14.9%0.0%13.8%3.6%0.2%275.0K-15.5M-504.4K0.0018.8714,014034,42434,503
2007-03-16$35.25$36.0015.9%4.6%14.8%0.0%9.5%4.5%0.3%232.5K-7.9M-495.8K1.0321.0529230131,54034,503
2007-03-19$35.50$36.0015.6%4.5%15.2%0.0%8.7%4.6%0.6%361.8K-21.0M-494.5K21.2521.501102,33827,27328,318
2007-03-20$35.59$35.0012.2%3.5%15.2%0.0%12.5%4.5%1.3%1.1M-31.0M-481.4K0.1524.852,61440127,37526,020
2007-03-21$36.08$35.0012.2%3.5%16.1%0.0%13.4%3.4%1.6%1.5M-46.2M-488.4K2.5920.2925866929,69925,933
2007-03-22$36.15$35.0012.3%3.5%16.1%0.0%13.7%4.0%1.1%1.5M-45.2M-486.0K2.3623.88112629,93326,188
2007-03-23$36.36$35.0012.8%3.7%16.2%0.0%14.9%5.2%1.1%1.6M-48.3M-486.4K0.5121.761346829,93426,199
2007-03-26$36.06$35.0013.1%3.7%16.4%0.0%0.0%4.1%1.2%1.6M-47.8M-482.0K23.3324.3637030,04426,209
2007-03-27$35.89$35.0013.2%3.8%12.1%0.0%0.0%3.4%0.3%1.5M-41.7M-491.4K0.0022.182030,04726,159
2007-03-28$35.60$35.0013.7%3.9%12.5%0.0%13.6%5.1%0.4%1.3M-34.8M-498.6K2.2419.666815230,04926,159
2007-03-29$35.59$35.0012.2%3.5%12.4%0.0%12.2%5.5%1.8%1.4M-38.7M-484.1K0.0017.7656030,10326,311
2007-03-30$35.55$35.0012.3%3.5%11.4%0.0%0.0%5.9%1.1%1.4M-37.5M-488.3K0.0016.2913030,15626,311