XLI Options History — August 2007

In August 2007, XLI traded between $37.60 and $40.05. ATM implied volatility averaged 22.3%, placing in the 79.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.3% (HV 20d: 22.6%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 13.16.

Notable Days

  • 2007-08-17: Highest Volume — 11,265 contracts
  • 2007-08-09: Largest IV spike — 37.0% change
  • 2007-08-09: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.91$37.60$40.05$39.70$39.42
Max Pain$39.26$39.00$41.00$41.00$39.00
ATM IV22.3%17.9%27.4%21.2%20.3%
Expected Move6.3%5.4%7.7%6.1%5.8%
HV 20d22.6%19.5%24.9%19.5%23.8%
HV 60d17.4%14.6%19.7%14.6%19.5%
IV Rank79.8%56.3%100.0%85.1%64.4%
IV Percentile93.9%85.2%100.0%97.2%88.0%
Term Structure-0.9%-4.3%1.2%-0.6%0.7%
VWIV21.8%16.3%26.9%23.2%20.8%
Skew 25d9.3%6.3%12.5%10.1%10.8%
Skew 10d14.9%8.3%23.5%10.8%9.5%
Call IV 25d16.9%9.1%22.4%18.0%12.0%
Put IV 25d26.3%21.7%32.6%28.1%22.8%
Bid-Ask Spread %51.1535.7593.6993.6942.88
Gamma HHI0.250.150.330.150.27
Net GEX-154.8K-3.0M2.6M-477.2K2.5M
Net DEX-48.4M-83.5M968.7K-56.5M-82.9M
Net VEX-437.6K-487.7K-372.1K-372.1K-445.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.160.06201.751.173.13
Total Volume2,140.8712411,265526124
Total OI76,856.95764,38389,66965,06788,444

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$39.70$41.0021.2%6.1%19.5%85.1%23.2%10.1%-0.6%-477.2K-56.5M-372.1K1.1793.6924228432,15132,916
2007-08-02$39.97$41.0020.0%5.7%19.6%77.5%22.3%6.3%-0.3%-213.2K-61.3M-378.6K1.1152.3445650532,25232,131
2007-08-03$39.15$41.0023.3%6.7%20.9%97.7%22.6%10.0%-2.3%-490.2K-48.3M-392.5K3.9635.7515159832,44132,153
2007-08-06$39.74$39.0019.6%5.7%21.4%75.2%22.5%6.3%-0.1%-515.5K-56.1M-382.5K14.0173.604366,10932,55032,529
2007-08-07$39.74$39.0019.6%5.7%20.5%74.7%19.1%7.2%-0.6%-1.7M-49.1M-396.9K0.4759.1326912732,89337,533
2007-08-08$40.05$39.0017.9%5.8%20.4%64.5%21.6%7.4%-0.4%-1.9M-53.4M-392.9K17.5644.67721,26433,06037,143
2007-08-09$38.98$39.0024.5%6.4%21.8%100.0%22.1%6.9%-1.3%-2.5M-28.6M-431.3K201.7567.66480733,08938,275
2007-08-10$38.53$39.0024.4%6.9%21.8%99.3%26.9%8.6%-2.0%-2.4M-24.9M-439.2K2.4243.145841,41133,08938,831
2007-08-13$39.05$39.0026.0%6.6%22.3%100.0%23.6%6.6%-2.5%-2.8M-33.5M-415.9K0.2749.8739410533,07339,719
2007-08-14$38.05$39.0027.3%7.0%23.6%100.0%22.4%8.5%-3.6%-3.0M-20.9M-418.8K0.9946.2274973833,25839,726
2007-08-15$37.60$39.0027.4%7.2%23.7%100.0%26.1%8.8%-4.3%-1.9M-5.1M-443.8K4.3546.132911,26633,77339,061
2007-08-16$37.62$39.0026.7%7.7%23.3%96.4%26.6%9.6%-2.4%-1.8M968.7K-456.7K43.6175.972149,33233,97939,226
2007-08-17$38.00$39.0025.0%7.2%23.6%87.6%22.8%11.1%-2.7%-2.7M-10.7M-469.6K0.0668.3410,57868734,09845,574
2007-08-20$38.55$39.0023.6%6.8%24.2%80.8%24.7%10.9%-2.1%986.6K-51.7M-487.7K1.7343.577971,37542,02238,122
2007-08-21$38.40$39.0023.1%6.6%23.8%78.2%19.8%9.0%0.8%910.2K-50.0M-480.4K0.4847.5869533242,49939,429
2007-08-22$39.09$39.0019.4%5.6%24.9%59.8%19.8%12.2%0.6%1.4M-68.5M-463.9K0.0739.842,58916943,14639,758
2007-08-23$38.88$39.0019.6%5.6%23.9%60.7%21.3%11.4%1.2%1.9M-66.5M-476.3K1.1139.6926128945,67539,861
2007-08-24$39.20$39.0018.7%5.4%23.2%56.3%16.3%12.5%1.0%2.6M-83.5M-456.6K1.0140.6118318545,69940,029
2007-08-27$39.11$39.0019.5%5.6%21.8%60.0%19.1%9.9%1.0%2.6M-78.1M-450.0K1.9835.869118045,87140,194
2007-08-28$38.17$39.0022.5%6.5%22.9%75.4%18.2%9.0%-0.4%1.4M-47.3M-471.7K0.3348.0731010245,91640,333
2007-08-29$39.07$39.0021.4%6.1%24.4%69.7%21.5%11.4%0.0%2.1M-70.3M-463.9K0.9144.351,8141,64546,12640,394
2007-08-30$38.83$39.0021.8%6.2%24.3%71.4%17.8%10.5%0.2%2.3M-67.3M-477.9K0.2037.463547247,81241,857
2007-08-31$39.42$39.0020.3%5.8%23.8%64.4%20.8%10.8%0.7%2.5M-82.9M-445.0K3.1342.88309446,53741,907