XLI Options History — September 2007

In September 2007, XLI traded between $38.71 and $41.08. ATM implied volatility averaged 19.1%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.0% (HV 20d: 21.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 35.25.

Notable Days

  • 2007-09-20: Highest Volume — 29,753 contracts
  • 2007-09-05: Largest IV spike — 22.1% change
  • 2007-09-11: Highest IV Rank — 77.3%
  • 2007-09-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.89$38.71$41.08$39.60$41.08
Max Pain$39.05$38.00$40.00$39.00$40.00
ATM IV19.1%15.1%22.9%18.1%15.5%
Expected Move5.5%4.3%6.7%5.2%4.5%
HV 20d21.1%17.7%23.6%23.3%17.7%
HV 60d19.9%19.2%20.6%19.4%20.6%
IV Rank58.1%38.1%77.3%53.1%40.3%
IV Percentile80.3%61.6%93.1%81.5%66.7%
Term Structure0.5%-1.6%2.0%1.7%2.0%
VWIV19.3%9.9%25.6%25.1%15.4%
Skew 25d7.5%4.3%11.9%11.9%5.9%
Skew 10d14.0%0.9%22.0%13.3%11.8%
Call IV 25d15.6%11.9%19.6%12.4%13.2%
Put IV 25d23.1%17.1%28.3%24.3%19.0%
Bid-Ask Spread %36.4217.7560.3626.2621.53
Gamma HHI0.260.160.420.290.17
Net GEX2.1M-499.3K5.0M2.8M-53.3K
Net DEX-80.1M-127.8M-55.4M-88.3M-71.8M
Net VEX-389.9K-450.6K-312.7K-427.8K-324.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio35.250.10502.80502.801.11
Total Volume2,758.10525729,7532,519316
Total OI84,504.52665,51595,93688,48766,202

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$39.60$39.0018.1%5.2%23.3%53.1%25.1%11.9%1.7%2.8M-88.3M-427.8K502.8026.2652,51446,54841,939
2007-09-05$39.20$39.0022.1%6.3%23.5%73.2%22.1%8.3%0.3%2.9M-75.1M-436.7K61.5357.37171,04646,55240,781
2007-09-06$39.52$39.0019.2%5.5%23.6%58.5%21.7%9.0%1.3%3.1M-83.5M-427.5K0.9322.8521219746,56741,604
2007-09-07$38.71$38.0021.5%6.7%22.7%70.2%23.1%8.7%-1.6%2.4M-59.5M-450.5K2.0657.8318538246,68041,659
2007-09-10$38.74$39.0021.7%6.4%22.3%71.2%22.5%8.8%-1.0%2.6M-55.4M-441.4K2.0641.2812024746,76141,955
2007-09-11$39.09$39.0022.9%6.4%22.0%77.3%25.6%8.5%-1.3%3.4M-71.1M-420.0K0.9935.092,0902,06446,83342,144
2007-09-12$39.06$39.0022.1%6.2%19.8%73.1%23.3%7.3%-1.1%3.8M-77.5M-450.6K32.9850.451494,91448,84244,199
2007-09-13$39.47$39.0022.5%6.4%19.4%75.1%22.6%8.5%-0.7%3.5M-80.3M-428.6K2.0234.265531,11546,83145,949
2007-09-14$39.54$39.0021.6%6.2%19.4%70.6%24.2%9.8%-1.0%3.9M-80.0M-442.1K46.4851.712197647,34946,914
2007-09-17$39.20$39.0022.5%6.5%19.5%75.4%9.9%8.6%-1.0%5.0M-75.4M-421.9K1.8637.1018033547,36147,817
2007-09-18$40.47$39.0019.4%5.6%21.9%59.5%16.0%7.4%0.2%3.3M-118.7M-360.0K2.5231.5536090947,44047,967
2007-09-19$40.90$39.0016.4%4.7%22.0%44.7%16.5%6.0%1.5%2.5M-127.8M-346.1K0.9224.8173367447,65148,207
2007-09-20$40.56$39.0016.2%4.6%21.6%43.6%18.8%6.8%1.3%2.1M-126.4M-350.0K0.1035.6127,0632,69047,78448,152
2007-09-21$40.63$39.0016.1%4.6%21.4%43.0%16.1%6.8%2.0%-499.3K-64.7M-355.7K0.3928.7027410632,29150,698
2007-09-24$40.24$39.0017.6%5.0%21.7%50.7%16.5%7.1%2.0%-428.9K-61.7M-343.3K1.4760.3632647829,52436,939
2007-09-25$40.40$39.0016.9%4.8%21.7%47.2%16.5%5.0%1.8%-134.6K-65.4M-336.3K0.6034.3327816629,73635,779
2007-09-26$40.68$39.0015.3%4.4%19.4%39.1%12.7%4.4%1.6%-119.4K-67.3M-333.6K1.9423.0715429829,96135,913
2007-09-27$40.86$40.0015.1%4.3%18.0%38.1%17.4%4.3%1.5%-8.2K-72.5M-312.7K7.0317.753222530,07935,978
2007-09-28$41.08$40.0015.5%4.5%17.7%40.3%15.4%5.9%2.0%-53.3K-71.8M-324.1K1.1121.5315016630,07836,124