XLI Options History — June 2007

In June 2007, XLI traded between $38.12 and $39.52. ATM implied volatility averaged 13.5%. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.9% (HV 20d: 12.6%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 13.46.

Notable Days

  • 2007-06-14: Highest Volume — 35,734 contracts
  • 2007-06-07: Largest IV spike — 56.9% change
  • 2007-06-07: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.03$38.12$39.52$39.28$39.04
Max Pain$38.48$37.00$40.00$38.00$40.00
ATM IV13.5%9.7%16.0%11.3%14.4%
Expected Move4.0%3.3%4.4%3.3%4.1%
HV 20d12.6%7.3%14.8%7.3%14.7%
HV 60d10.4%9.2%11.2%9.2%10.9%
Term Structure1.0%-0.0%3.2%1.5%1.7%
VWIV14.2%11.2%18.3%11.2%18.3%
Skew 25d3.7%2.2%4.7%3.2%2.2%
Skew 10d8.2%4.7%11.6%4.7%8.5%
Call IV 25d12.4%10.2%14.7%10.2%14.0%
Put IV 25d16.1%13.4%18.1%13.4%16.2%
Bid-Ask Spread %21.8217.4232.5517.4218.98
Gamma HHI0.360.260.620.390.27
Net GEX-912.0K-5.8M2.5M-675.0K-242.0K
Net DEX-63.9M-101.3M-34.2M-81.7M-41.7M
Net VEX-374.4K-438.1K-316.6K-327.1K-431.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.460.00146.6313.521.73
Total Volume4,209.193235,7342,323218
Total OI71,702.47652,97781,88063,35881,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$39.28$38.0011.3%3.3%7.3%0.0%11.2%3.2%1.5%-675.0K-81.7M-327.1K13.5217.421602,16330,70532,653
2007-06-04$39.29$37.0013.7%3.9%7.3%0.0%11.9%3.9%1.1%-1.7M-78.6M-338.7K0.0022.255,273130,72734,745
2007-06-05$39.17$37.0014.1%3.7%7.5%0.0%12.9%4.1%1.5%-339.8K-84.3M-356.1K0.4521.30221035,99734,746
2007-06-06$38.75$37.009.7%3.9%8.7%0.0%16.9%3.9%0.8%-1.8M-75.2M-374.4K47.0922.80472,21336,01834,756
2007-06-07$38.12$37.0015.3%4.4%10.6%0.0%12.4%4.2%-0.0%-3.8M-49.3M-396.3K0.1023.835,45357236,04936,747
2007-06-08$38.65$37.009.7%4.1%11.3%0.0%13.4%4.5%0.1%-4.2M-62.7M-378.2K0.4320.11472033,86737,083
2007-06-11$38.70$37.0011.5%4.0%11.1%0.0%13.9%4.4%0.6%-4.6M-68.2M-354.5K0.2421.66411033,90437,083
2007-06-12$38.20$37.0016.0%4.3%12.0%0.0%14.4%3.5%0.1%-5.8M-55.4M-352.2K0.8619.811,2071,04233,93637,073
2007-06-13$39.11$37.0011.4%4.3%14.5%0.0%13.6%4.4%0.0%-4.1M-78.5M-353.6K0.0032.552,1371035,06238,079
2007-06-14$39.31$37.0014.4%4.1%14.6%0.0%14.3%4.6%0.2%2.4M-101.3M-326.0K0.0021.7135,6666836,70338,069
2007-06-15$39.42$39.0014.1%4.1%14.6%0.0%13.9%3.3%0.7%745.7K-89.1M-316.6K0.0119.822,1681433,55638,136
2007-06-18$39.40$39.0014.1%4.0%14.5%0.0%13.8%4.0%0.6%2.5M-73.1M-319.4K56.9818.68533,02029,45623,521
2007-06-19$39.52$39.0012.8%3.7%14.4%0.0%13.3%3.7%1.2%1.7M-72.4M-317.4K1.6026.866,27410,06129,49226,541
2007-06-20$39.30$40.0014.7%4.2%14.6%0.0%13.5%3.0%3.2%436.8K-60.4M-387.2K1.1826.6883498535,50936,552
2007-06-21$39.38$40.0014.1%4.0%14.5%0.0%12.9%3.8%0.5%732.6K-62.5M-405.2K1.2121.391,0761,30436,30337,537
2007-06-22$39.15$40.0014.2%4.1%14.3%0.0%12.5%3.4%1.8%204.8K-49.5M-415.2K146.6322.8381,17337,33538,829
2007-06-25$39.05$40.0014.4%4.1%14.3%0.0%15.0%2.5%1.1%-91.7K-41.5M-419.2K7.7119.155844737,34139,949
2007-06-26$38.72$40.0015.2%4.3%14.5%0.0%15.8%3.0%1.3%-471.6K-34.2M-416.7K0.6217.831,7241,06937,38340,364
2007-06-27$39.10$40.0014.7%4.2%14.8%0.0%17.9%4.7%1.4%-151.5K-39.6M-437.6K1.3018.2167487538,87341,431
2007-06-28$38.90$40.0014.0%4.0%14.7%0.0%16.5%4.3%2.0%10.9K-42.6M-438.1K0.9424.351019539,49742,265
2007-06-29$39.04$40.0014.4%4.1%14.7%0.0%18.3%2.2%1.7%-242.0K-41.7M-431.9K1.7318.988013839,56442,316