XLI Options History — November 2007

In November 2007, XLI traded between $37.57 and $40.68. ATM implied volatility averaged 23.2%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 19.8%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.95.

Notable Days

  • 2007-11-13: Highest Volume — 16,246 contracts
  • 2007-11-07: Largest IV spike — 40.8% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-12: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.06$37.57$40.68$39.86$39.40
Max Pain$39.62$39.00$40.00$40.00$39.00
ATM IV23.2%17.6%29.6%20.9%22.1%
Expected Move6.7%5.7%7.9%6.0%6.3%
HV 20d19.8%15.3%24.5%15.5%23.6%
HV 60d18.6%17.9%19.2%19.0%19.0%
IV Rank73.5%50.7%100.0%67.0%66.1%
IV Percentile91.6%71.4%100.0%86.7%87.0%
Term Structure0.2%-1.3%2.0%0.9%0.5%
VWIV23.0%14.7%31.5%21.2%20.1%
Skew 25d7.9%5.6%9.8%6.1%6.0%
Skew 10d14.8%4.6%20.7%8.4%14.9%
Call IV 25d19.2%14.3%23.6%18.4%17.9%
Put IV 25d27.1%23.8%30.9%24.4%24.0%
Bid-Ask Spread %32.5315.1549.1931.9832.51
Gamma HHI0.220.170.400.190.17
Net GEX-1.3M-3.9M104.1K-136.6K-795.0K
Net DEX-37.6M-77.0M2.6M-61.5M-59.2M
Net VEX-399.7K-487.6K-351.1K-379.9K-403.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.950.0767.553.157.14
Total Volume3,066.23827916,2464271,262
Total OI84,410.14375,99396,25975,99391,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$39.86$40.0020.9%6.0%15.5%67.0%21.2%6.1%0.9%-136.6K-61.5M-379.9K3.1531.9810332437,32338,670
2007-11-02$40.22$40.0020.9%6.0%15.3%67.0%24.0%9.5%1.2%-41.2K-69.5M-368.7K1.7723.0831255137,36638,881
2007-11-05$40.05$40.0021.9%6.4%15.3%72.5%21.4%9.6%0.4%-140.9K-66.2M-369.0K0.2739.2576920637,44839,084
2007-11-06$40.68$40.0017.6%5.7%16.1%50.7%19.9%8.4%0.9%104.1K-77.0M-351.1K0.2527.342245537,75539,097
2007-11-07$39.70$40.0024.8%6.4%17.7%86.7%25.1%9.4%-0.4%-271.6K-58.3M-374.8K19.5149.1962312,15637,84139,139
2007-11-08$39.71$40.0022.1%6.7%17.6%73.2%25.3%9.3%0.6%-2.0M-35.4M-460.9K12.8025.403113,98238,08050,615
2007-11-09$38.92$40.0024.9%7.3%18.6%87.3%26.5%9.8%-0.1%-2.9M-6.7M-487.6K1.7232.337691,32438,15354,091
2007-11-12$38.50$40.0029.6%7.9%18.7%100.0%29.0%8.6%-1.3%-3.2M2.6M-482.9K6.0345.175523,32638,73554,841
2007-11-13$39.48$40.0020.7%6.7%21.3%59.6%25.6%8.8%-0.3%-3.9M-16.9M-479.1K67.5539.0823716,00939,06757,192
2007-11-14$39.35$40.0022.5%6.8%21.2%67.8%23.8%7.5%-0.4%-1.6M-45.9M-371.6K5.0938.363071,56439,10142,542
2007-11-15$38.80$40.0024.0%6.9%21.5%74.7%22.5%8.1%-0.3%-2.4M-29.8M-392.2K0.9635.9324623739,33543,726
2007-11-16$38.81$40.0022.1%6.3%19.4%65.9%22.7%7.7%0.3%-2.9M-27.8M-380.9K18.7341.041402,62239,56643,594
2007-11-19$38.25$40.0023.1%6.6%19.8%70.5%22.6%6.7%2.0%-1.3M-19.6M-392.0K0.5629.701,69294037,79642,872
2007-11-20$38.31$39.0024.4%7.0%19.6%76.4%18.6%7.9%0.6%-1.0M-25.7M-391.4K0.8526.3667557139,86243,402
2007-11-21$37.67$39.0023.7%6.8%20.2%73.3%24.2%6.5%-0.1%-1.1M-14.7M-392.5K0.6722.441,42395939,91443,374
2007-11-23$38.17$39.0024.6%7.0%21.0%77.2%21.7%5.6%0.5%-900.5K-24.1M-391.0K0.0715.158415741,01143,887
2007-11-26$37.57$39.0027.1%7.8%21.4%88.4%31.5%6.5%-1.2%-865.0K-15.8M-382.7K1.3932.9923632741,26043,926
2007-11-27$38.32$39.0025.1%7.2%22.7%79.6%14.7%7.3%0.6%-861.3K-29.0M-379.3K16.9429.981672,82941,35543,974
2007-11-28$39.25$39.0023.5%6.8%24.5%72.6%23.5%8.8%-1.3%-830.4K-57.6M-356.5K0.9640.142,6022,49941,45345,002
2007-11-29$39.25$39.0022.2%6.4%24.2%66.5%18.4%7.5%0.7%-874.5K-52.4M-405.6K0.5725.7023113143,74847,271
2007-11-30$39.40$39.0022.1%6.3%23.6%66.1%20.1%6.0%0.5%-795.0K-59.2M-403.3K7.1432.511551,10743,88547,379