XLI Options History — July 2007

In July 2007, XLI traded between $39.11 and $41.50. ATM implied volatility averaged 16.3%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.1% (HV 20d: 14.2%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2007-07-17: Highest Volume — 5,385 contracts
  • 2007-07-10: Largest IV spike — 28.3% change
  • 2007-07-31: Highest IV Rank — 99.9%
  • 2007-07-31: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.25$39.11$41.50$39.32$39.41
Max Pain$39.81$39.00$41.00$40.00$41.00
ATM IV16.3%12.1%23.6%14.6%23.6%
Expected Move4.8%3.6%6.8%4.2%6.8%
HV 20d14.2%12.0%19.5%15.0%19.5%
HV 60d12.2%10.9%14.6%11.0%14.6%
IV Rank56.4%28.7%99.9%31.7%99.9%
IV Percentile84.6%41.7%99.3%51.6%99.3%
Term Structure-0.0%-4.1%1.7%1.4%-1.6%
VWIV16.9%13.0%25.1%13.0%18.9%
Skew 25d5.0%3.4%8.2%6.3%4.9%
Skew 10d10.1%4.2%15.3%13.2%10.5%
Call IV 25d14.0%10.3%20.7%10.3%19.4%
Put IV 25d19.1%16.4%25.5%16.6%24.3%
Bid-Ask Spread %29.7914.0678.5819.5541.28
Gamma HHI0.310.160.520.350.16
Net GEX1.4M-320.5K3.4M1.1M-320.5K
Net DEX-85.3M-146.2M-50.4M-58.8M-53.0M
Net VEX-330.2K-412.4K-87.9K-412.4K-376.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0112.371.421.05
Total Volume1,319.524525,3851771,353
Total OI74,385.8145,94587,30082,09063,165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$39.32$40.0014.6%4.2%15.0%0.0%0.0%6.3%1.4%1.1M-58.8M-412.4K1.4219.557310439,64442,446
2007-07-03$39.60$40.0013.1%3.8%15.1%0.0%13.0%6.0%1.6%1.3M-61.9M-410.1K0.0214.06123239,73442,517
2007-07-05$39.56$40.0012.6%3.6%14.5%31.7%15.2%5.4%1.7%1.6M-61.8M-399.5K0.4317.2449221439,69642,519
2007-07-06$39.80$39.0012.1%4.2%13.1%28.7%0.0%5.3%0.7%2.0M-72.2M-383.3K0.0823.8248440,09242,613
2007-07-09$40.10$39.0013.3%4.2%12.5%35.8%0.0%4.5%1.2%2.6M-89.2M-351.7K0.5324.721266740,08442,609
2007-07-10$39.43$39.0017.0%4.8%14.2%59.0%15.4%4.3%-0.1%989.1K-54.6M-384.9K0.0134.00173239,97842,649
2007-07-11$39.85$39.0013.6%4.4%13.5%37.6%14.4%4.8%0.8%2.4M-75.8M-368.6K0.2229.501,88941040,06742,651
2007-07-12$40.44$39.0015.2%4.3%12.0%47.5%15.3%4.7%1.4%1.6M-94.4M-363.1K0.4721.7554825741,93842,995
2007-07-13$40.72$39.0014.4%4.1%12.0%43.1%15.4%3.8%0.2%3.4M-120.8M-322.1K0.0125.591,8222642,07343,169
2007-07-16$40.98$39.0015.3%4.4%12.1%48.3%15.0%4.3%-0.1%3.0M-71.2M-87.9K0.6922.9422715622,66823,277
2007-07-17$41.22$39.0015.2%4.4%12.2%47.6%14.2%4.2%-0.0%2.1M-144.1M-263.3K0.0225.845,27311242,54043,302
2007-07-18$41.13$39.0015.6%4.5%12.3%50.2%15.1%4.8%0.3%2.5M-140.3M-285.1K0.1734.631,13319743,91543,385
2007-07-19$41.50$39.0015.4%4.4%12.2%49.0%16.9%4.4%0.2%1.4M-146.2M-272.2K0.8222.36746143,43443,411
2007-07-20$40.90$39.0015.4%4.4%13.6%48.8%15.9%6.5%0.4%1.7M-140.9M-271.2K12.3738.272372,93143,42643,415
2007-07-23$41.17$41.0016.9%4.8%13.4%58.3%17.5%4.3%-0.7%714.1K-82.8M-290.5K0.9424.3446844129,74927,753
2007-07-24$40.60$41.0017.3%5.0%14.5%60.7%18.4%3.7%-4.1%670.1K-80.3M-273.6K1.8918.6552499029,72427,009
2007-07-25$40.70$41.0017.4%5.0%14.0%61.7%15.7%4.5%-0.3%350.3K-73.6M-318.8K1.2029.791,0901,30730,56028,843
2007-07-26$39.85$41.0021.2%6.1%16.0%85.0%25.1%8.2%-1.5%87.2K-61.5M-353.1K5.6278.582711,52331,12929,766
2007-07-27$39.11$41.0022.2%6.4%17.4%91.4%22.8%3.4%0.1%-223.8K-50.4M-382.4K3.1959.023971,26731,26430,387
2007-07-30$39.95$41.0021.7%6.2%18.9%87.8%20.8%7.7%-2.0%-183.2K-58.5M-364.2K1.9219.7644485431,34431,162
2007-07-31$39.41$41.0023.6%6.8%19.5%99.9%18.9%4.9%-1.6%-320.5K-53.0M-376.1K1.0541.2866169231,66731,498