XLI Options History — May 2007

In May 2007, XLI traded between $37.43 and $39.20. ATM implied volatility averaged 13.1%. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.1% (HV 20d: 8.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 26.44.

Notable Days

  • 2007-05-08: Highest Volume — 3,040 contracts
  • 2007-05-02: Largest IV drop — 16.8% change
  • 2007-05-14: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.25$37.43$39.20$37.43$39.20
Max Pain$36.86$36.00$38.00$36.00$38.00
ATM IV13.1%11.6%14.2%14.0%11.9%
Expected Move3.8%3.3%4.1%4.0%3.4%
HV 20d8.9%7.5%9.5%9.5%7.6%
HV 60d11.2%9.3%12.1%11.9%9.3%
Term Structure0.7%-0.1%2.1%0.8%1.1%
VWIV13.5%11.2%17.5%14.1%17.5%
Skew 25d4.4%2.9%5.9%4.7%3.1%
Skew 10d7.9%2.6%12.0%11.6%4.1%
Call IV 25d10.5%8.4%12.4%10.8%10.4%
Put IV 25d14.9%13.5%16.3%15.5%13.5%
Bid-Ask Spread %18.0512.8023.2117.1514.09
Gamma HHI0.340.170.620.260.56
Net GEX-504.3K-2.5M503.9K-118.6K-1.6M
Net DEX-68.7M-76.1M-61.2M-61.2M-76.1M
Net VEX-361.1K-398.5K-325.9K-398.5K-325.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.440.00214.2922.670.00
Total Volume757.636103,040712,505
Total OI59,276.18255,68463,09757,21860,854

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$37.43$36.0014.0%4.0%9.5%0.0%14.1%4.7%0.8%-118.6K-61.2M-398.5K22.6717.1536827,94629,272
2007-05-02$37.67$36.0011.6%3.3%9.4%0.0%12.7%4.1%0.8%153.6K-68.6M-365.2K3.8114.746725527,94729,340
2007-05-03$37.94$36.0012.1%3.5%9.3%0.0%0.0%5.7%0.9%248.4K-69.2M-363.4K0.0016.0331028,00629,374
2007-05-04$37.98$36.0011.7%3.9%9.3%0.0%12.2%3.6%-0.0%327.5K-69.1M-368.0K0.1823.215049128,02329,374
2007-05-07$38.08$36.0013.0%3.9%9.2%0.0%16.5%4.0%0.2%503.9K-71.5M-358.7K1.5021.924628,48229,423
2007-05-08$38.06$36.0013.7%3.9%9.2%0.0%13.9%3.8%0.5%452.8K-71.4M-354.5K0.0022.7203,04028,48129,426
2007-05-09$38.16$37.0013.8%4.0%8.8%0.0%12.7%4.2%-0.0%-361.7K-69.8M-362.1K0.0522.2719128,48132,466
2007-05-10$37.90$37.0013.4%3.8%8.9%0.0%13.3%3.2%0.6%-763.3K-62.7M-379.1K3.6720.2210337828,49432,467
2007-05-11$38.19$37.0013.6%3.9%9.0%0.0%13.4%4.1%0.4%-169.5K-67.8M-365.8K6.4717.797246628,49132,627
2007-05-14$38.02$37.0014.2%4.1%9.2%0.0%13.5%3.9%-0.1%-391.2K-65.8M-368.9K1.7414.517813628,54232,941
2007-05-15$38.12$37.0013.8%4.0%9.1%0.0%13.8%4.5%0.3%-247.1K-67.6M-364.8K2.5218.168521428,47932,883
2007-05-16$38.31$37.0013.5%3.9%9.2%0.0%13.4%5.3%1.1%-219.1K-70.1M-358.7K0.9920.641,0211,01328,54732,941
2007-05-17$38.38$37.0013.7%3.9%9.2%0.0%13.0%5.1%1.1%-213.0K-71.9M-365.8K0.9617.5440939129,20033,496
2007-05-18$38.25$37.0012.7%3.7%9.2%0.0%11.2%5.9%2.1%-225.0K-73.8M-361.9K0.3620.252448829,46433,633
2007-05-21$38.47$37.0013.5%3.9%9.3%0.0%11.9%5.3%0.2%-279.7K-70.4M-349.0K0.0018.9830028,10927,575
2007-05-22$38.39$37.0013.3%3.8%9.3%0.0%13.2%5.4%0.4%-390.2K-69.2M-353.7K150.0012.80575028,11427,575
2007-05-23$38.58$37.0011.9%3.4%8.8%0.0%13.3%3.9%1.1%-789.0K-69.4M-346.5K145.5617.3791,31028,11928,325
2007-05-24$38.27$37.0013.5%3.9%9.5%0.0%12.2%2.9%1.0%-1.3M-63.8M-369.5K0.0719.711341028,12429,635
2007-05-25$38.50$37.0013.8%4.0%8.9%0.0%13.7%3.8%0.6%-1.2M-66.6M-363.4K214.2915.41143,00028,13929,637
2007-05-29$38.75$38.0012.5%3.6%7.6%0.0%14.7%4.7%1.3%-2.5M-65.4M-356.0K0.2716.30551528,15332,637
2007-05-30$38.92$38.0012.5%3.6%7.5%0.0%17.5%5.2%1.0%-2.0M-70.7M-345.4K0.1915.3037728,18832,646
2007-05-31$39.20$38.0011.9%3.4%7.6%0.0%0.0%3.1%1.1%-1.6M-76.1M-325.9K0.0014.092,505028,20132,653