XLI Options History — October 2007

In October 2007, XLI traded between $39.90 and $41.90. ATM implied volatility averaged 17.4%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.1% (HV 20d: 15.3%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 2.01.

Notable Days

  • 2007-10-19: Highest Volume — 5,258 contracts
  • 2007-10-02: Largest IV spike — 25.9% change
  • 2007-10-25: Highest IV Rank — 67.4%
  • 2007-10-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.87$39.90$41.90$41.61$40.55
Max Pain$40.83$40.00$42.00$40.00$40.00
ATM IV17.4%12.1%20.9%12.9%16.3%
Expected Move5.1%3.7%6.0%3.7%4.7%
HV 20d15.3%11.4%17.9%17.5%14.4%
HV 60d19.9%18.6%20.7%20.7%18.7%
IV Rank49.6%23.0%67.4%27.0%44.3%
IV Percentile70.4%27.2%86.8%38.5%67.0%
Term Structure0.7%-0.6%2.3%2.3%1.4%
VWIV18.4%13.9%22.7%15.1%16.5%
Skew 25d5.9%4.4%8.0%6.6%5.2%
Skew 10d10.3%2.5%16.7%6.7%4.1%
Call IV 25d15.1%10.8%17.9%10.8%15.1%
Put IV 25d21.0%17.4%24.4%17.4%20.3%
Bid-Ask Spread %30.3018.2746.2832.0233.04
Gamma HHI0.180.160.340.160.18
Net GEX146.3K-593.5K1.4M125.4K105.2K
Net DEX-72.4M-86.6M-53.3M-81.6M-77.9M
Net VEX-323.1K-382.7K-266.1K-284.3K-353.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0612.860.880.24
Total Volume980.391285,258975378
Total OI69,963.43566,34775,95466,34775,954

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$41.61$40.0012.9%3.7%17.5%27.0%15.1%6.6%2.3%125.4K-81.6M-284.3K0.8832.0252045530,09736,250
2007-10-02$41.27$40.0016.2%4.6%17.9%43.7%14.5%6.0%2.2%86.4K-77.4M-304.6K1.5930.4536458030,41336,393
2007-10-03$40.99$40.0015.6%4.5%17.6%40.4%15.4%5.2%1.8%52.9K-71.2M-319.3K1.4019.2819727530,67836,535
2007-10-04$41.13$40.0015.5%4.4%17.5%40.2%0.0%4.8%2.0%98.3K-73.6M-308.6K5.3518.272010730,69236,568
2007-10-05$41.58$42.0012.1%4.4%15.6%23.0%16.0%5.3%0.6%240.8K-81.6M-285.4K2.0525.857415230,63236,574
2007-10-08$41.51$42.0013.4%4.6%15.6%29.8%13.9%5.8%0.0%238.5K-80.0M-286.1K0.1932.04971830,64336,483
2007-10-09$41.90$42.0012.7%4.4%15.7%26.1%19.2%5.5%0.6%369.4K-86.6M-266.1K0.6543.4434522330,70336,493
2007-10-10$41.44$42.0015.2%5.0%16.4%38.6%20.5%4.4%0.3%328.5K-80.3M-278.5K1.0134.8711912030,81736,634
2007-10-11$41.14$42.0017.8%5.1%16.6%51.9%17.7%4.7%-0.6%278.8K-76.2M-289.0K2.2634.817216330,79636,642
2007-10-12$41.32$42.0018.0%5.2%16.6%52.8%18.1%7.1%-0.1%309.7K-76.1M-289.8K7.6546.282015330,79836,659
2007-10-15$41.00$42.0018.4%5.3%16.5%54.8%19.3%6.4%-0.1%347.1K-72.0M-291.2K2.4532.43297130,80636,655
2007-10-16$40.82$41.0020.1%5.8%12.4%63.3%22.7%5.2%-0.6%285.2K-67.9M-300.5K2.2022.718618930,82136,654
2007-10-17$40.93$41.0017.9%5.1%11.8%52.0%17.8%7.1%1.1%359.9K-68.6M-298.0K12.8640.085874630,86636,689
2007-10-18$41.04$41.0017.8%5.1%11.4%51.6%17.5%5.5%1.5%1.4M-69.6M-303.1K0.2821.403,15887430,83737,145
2007-10-19$39.90$41.0020.8%6.0%15.3%66.7%19.8%6.4%0.4%-345.2K-53.3M-359.1K0.8546.132,8372,42133,55837,817
2007-10-22$40.05$41.0020.3%5.8%15.0%63.9%20.3%5.5%0.9%-593.5K-55.9M-371.2K0.1740.462,23036933,33037,447
2007-10-23$40.32$40.0020.1%5.8%15.2%63.1%19.3%6.6%0.0%-32.8K-69.1M-358.2K0.7218.4673353135,42037,594
2007-10-24$40.20$40.0019.9%5.7%15.0%62.4%20.6%6.3%0.4%24.0K-69.2M-371.4K1.2320.899661,18735,88837,742
2007-10-25$40.27$40.0020.9%6.0%14.9%67.4%22.5%6.5%0.1%-137.4K-66.8M-380.9K1.0421.8944245936,60038,455
2007-10-26$40.30$40.0020.4%5.8%14.7%64.6%19.8%6.5%0.4%-99.2K-68.2M-382.7K0.6924.0125617736,97638,667
2007-10-29$40.56$40.0017.4%5.0%14.1%49.9%17.7%4.7%0.8%-15.8K-72.6M-372.6K0.0623.332361437,10838,688
2007-10-30$40.20$40.0019.9%5.7%14.1%62.4%19.7%8.0%-0.1%-41.6K-68.2M-376.6K0.4034.8020837,24838,694
2007-10-31$40.55$40.0016.3%4.7%14.4%44.3%16.5%5.2%1.4%105.2K-77.9M-353.7K0.2433.043047437,26338,691