XLI Options History — April 2007

In April 2007, XLI traded between $35.61 and $37.64. ATM implied volatility averaged 12.0%. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.7% (HV 20d: 9.3%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 34.64.

Notable Days

  • 2007-04-17: Highest Volume — 5,610 contracts
  • 2007-04-12: Largest IV spike — 53.2% change
  • 2007-04-12: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.40$35.61$37.64$35.61$37.20
Max Pain$35.45$35.00$36.00$35.00$36.00
ATM IV12.0%9.0%13.8%12.6%13.0%
Expected Move3.6%3.0%4.0%3.6%3.7%
HV 20d9.3%7.3%11.3%11.3%9.4%
HV 60d11.8%11.6%12.1%11.8%11.9%
Term Structure0.5%-1.0%2.7%1.7%0.3%
VWIV13.5%11.5%16.2%15.4%11.7%
Skew 25d4.0%1.5%7.4%5.2%3.6%
Skew 10d7.3%2.6%14.0%8.0%8.4%
Call IV 25d10.5%8.4%12.1%10.7%10.8%
Put IV 25d14.5%12.5%16.8%15.9%14.5%
Bid-Ask Spread %20.9212.1629.3617.6325.75
Gamma HHI0.360.220.510.290.26
Net GEX1.3M-378.2K2.8M1.5M-105.2K
Net DEX-51.4M-67.0M-35.5M-35.5M-60.8M
Net VEX-442.2K-487.9K-386.9K-487.9K-400.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.640.00560.002.001.11
Total Volume472.265,6101538
Total OI58,245.756,48064,02156,48057,199

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$35.61$35.0012.6%3.6%11.3%0.0%0.0%5.2%1.7%1.5M-35.5M-487.9K2.0017.6351030,16926,311
2007-04-03$35.86$35.0012.0%3.5%10.9%0.0%15.4%7.4%1.2%1.6M-41.0M-479.4K0.0013.6924030,17126,321
2007-04-04$35.72$35.0011.3%3.2%10.9%0.0%13.6%4.0%1.7%1.6M-42.1M-470.1K0.2512.1620530,17526,321
2007-04-05$35.83$35.0010.7%3.1%10.7%0.0%0.0%4.5%2.7%1.7M-37.8M-480.3K0.0117.309081030,19526,319
2007-04-09$35.79$35.0010.9%3.7%10.6%0.0%15.3%4.0%-0.9%2.1M-44.9M-470.1K0.4221.901747330,88926,319
2007-04-10$35.78$35.0011.9%3.9%10.5%0.0%0.0%3.8%-0.5%2.0M-45.9M-457.4K0.0819.9712130,92326,374
2007-04-11$35.64$35.009.0%3.7%8.4%0.0%12.8%3.4%-0.3%2.0M-41.2M-460.6K0.0522.641,4666830,93226,375
2007-04-12$36.07$35.0013.8%4.0%9.3%0.0%16.2%6.4%-1.0%2.6M-47.5M-462.8K0.0026.038031,92226,443
2007-04-13$36.06$35.0013.3%3.8%9.3%0.0%14.6%3.7%-0.4%2.6M-50.9M-451.9K0.0024.3232031,92726,443
2007-04-16$36.35$35.0013.2%3.8%9.6%0.0%0.0%4.2%-0.2%2.8M-55.7M-445.5K3.0019.72103031,95826,443
2007-04-17$36.35$35.0013.3%3.8%9.4%0.0%13.3%4.8%-0.1%2.8M-55.9M-440.5K560.0017.53105,60031,96026,467
2007-04-18$36.45$36.0012.9%3.7%9.4%0.0%11.7%2.2%1.2%882.4K-53.6M-456.0K0.1224.642513031,95432,067
2007-04-19$36.57$36.0011.6%3.3%8.2%0.0%0.0%5.5%0.7%992.8K-54.6M-447.2K0.0022.65120031,95631,586
2007-04-20$36.82$36.0011.0%3.2%8.5%0.0%12.5%1.7%0.2%1.5M-67.0M-410.7K0.9623.43535132,02831,586
2007-04-23$36.96$36.0011.7%3.3%8.3%0.0%0.0%1.5%0.7%-298.3K-57.2M-405.7K0.0029.366027,82229,108
2007-04-24$36.85$36.0012.3%3.5%7.8%0.0%0.0%2.6%0.5%-378.2K-55.4M-407.5K124.5023.89224927,82629,108
2007-04-25$37.23$36.0013.4%3.8%8.1%0.0%11.5%3.7%0.0%-223.4K-56.9M-416.8K0.1023.4521227,82829,241
2007-04-26$37.21$36.0011.8%3.4%7.3%0.0%0.0%2.6%1.0%-202.8K-58.4M-406.4K0.1315.871011327,83829,241
2007-04-27$37.64$36.0010.5%3.0%7.9%0.0%0.0%5.0%1.9%59.7K-65.5M-386.9K0.0016.4741027,91729,252
2007-04-30$37.20$36.0013.0%3.7%9.4%0.0%11.7%3.6%0.3%-105.2K-60.8M-400.8K1.1125.75182027,94729,252