XLI Options History — December 2007

In December 2007, XLI traded between $38.73 and $40.49. ATM implied volatility averaged 19.7%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.4% (HV 20d: 22.1%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.12.

Notable Days

  • 2007-12-05: Highest Volume — 7,503 contracts
  • 2007-12-11: Largest IV spike — 33.5% change
  • 2007-12-11: Highest IV Rank — 85.2%
  • 2007-12-04: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.46$38.73$40.49$39.00$39.16
Max Pain$36.95$36.00$39.00$39.00$37.00
ATM IV19.7%14.6%26.3%22.1%18.1%
Expected Move5.6%4.2%6.3%6.3%5.2%
HV 20d22.1%19.3%24.0%23.5%19.3%
HV 60d19.2%18.6%20.0%18.6%19.4%
IV Rank55.1%32.4%85.2%66.1%48.0%
IV Percentile72.7%47.2%97.9%86.6%66.0%
Term Structure1.6%-1.3%4.0%0.2%3.2%
VWIV19.4%13.5%22.3%21.6%18.0%
Skew 25d5.8%3.6%8.5%5.3%3.6%
Skew 10d10.2%2.7%19.8%14.4%2.7%
Call IV 25d17.2%13.3%20.2%19.3%17.6%
Put IV 25d23.0%18.1%28.6%24.6%21.1%
Bid-Ask Spread %28.1218.1648.9625.5821.73
Gamma HHI0.210.180.270.180.23
Net GEX-1.5M-3.3M-589.8K-1.0M-1.7M
Net DEX-51.0M-85.2M-28.0M-50.8M-31.3M
Net VEX-330.8K-405.6K-253.4K-405.6K-259.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.120.0630.090.743.56
Total Volume1,347.31297,5031291,027
Total OI90,065.572,72398,51692,23275,590

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$39.00$39.0022.1%6.3%23.5%66.1%0.0%5.3%0.2%-1.0M-50.8M-405.6K0.7425.58745543,85148,381
2007-12-04$38.91$39.0022.1%6.3%23.5%66.2%21.6%5.1%-1.3%-1.1M-45.1M-401.9K0.1425.251522143,89748,422
2007-12-05$39.55$39.0019.5%5.6%23.6%54.4%21.1%5.3%0.1%-864.5K-60.1M-384.0K7.8721.858466,65744,01648,413
2007-12-06$40.00$39.0019.8%5.7%22.3%55.4%13.5%5.7%-0.8%-658.1K-77.8M-366.7K4.9125.837436344,03954,000
2007-12-07$40.30$36.0019.3%5.8%22.5%53.3%21.8%6.9%1.2%-639.7K-81.1M-362.6K13.8035.091520744,07851,370
2007-12-10$40.49$36.0019.7%5.7%21.1%55.3%22.3%7.0%1.6%-589.8K-85.2M-348.9K7.3227.6212591544,06851,520
2007-12-11$39.20$36.0026.3%6.1%24.0%85.2%21.1%8.5%0.9%-1.3M-53.5M-383.6K1.3048.9639651544,12352,305
2007-12-12$39.70$36.0020.1%5.6%22.7%57.0%20.2%5.6%1.2%-1.3M-66.4M-350.7K1.8246.5721038344,25552,299
2007-12-13$39.90$36.0019.8%5.7%22.8%55.7%21.4%8.1%1.9%-987.2K-71.3M-349.7K0.9933.9526626444,30652,248
2007-12-14$39.46$36.0021.2%6.1%22.5%61.8%20.7%6.7%0.9%-1.5M-56.1M-359.1K30.0929.27431,29444,22552,335
2007-12-17$38.75$36.0021.2%6.1%23.5%62.0%20.5%5.6%1.2%-2.2M-35.6M-348.0K1.9426.5517133244,24053,137
2007-12-18$38.86$36.0021.3%6.1%22.9%62.6%21.2%5.4%2.2%-2.3M-42.2M-332.5K1.8322.646661,22244,28253,118
2007-12-19$38.73$36.0019.0%5.5%22.9%52.2%18.6%6.3%3.3%-2.7M-36.1M-323.3K1.2625.4926933844,66553,851
2007-12-20$39.05$36.0018.8%5.4%22.1%51.0%22.2%6.2%3.3%-3.3M-47.3M-308.1K0.9425.522,1492,01144,73553,513
2007-12-21$39.55$38.0016.9%4.8%22.1%42.4%17.4%5.4%4.0%-2.2M-28.0M-285.6K0.6425.1693259933,69354,746
2007-12-24$39.99$37.0014.6%4.2%21.3%32.4%14.9%4.8%3.2%-1.3M-42.1M-253.4K1.5127.599714628,63944,084
2007-12-26$39.84$37.0016.4%4.7%20.5%40.4%17.5%4.1%2.8%-1.3M-40.7M-255.0K0.5122.3731716228,70844,176
2007-12-27$39.38$37.0018.0%5.2%19.3%47.6%16.3%4.4%2.0%-1.8M-33.3M-267.1K0.0627.212,43314028,80844,198
2007-12-28$39.34$37.0019.1%5.5%19.3%52.7%18.0%5.1%1.6%-1.2M-36.3M-269.7K1.1618.1649156930,85644,120
2007-12-31$39.16$37.0018.1%5.2%19.3%48.0%18.0%3.6%3.2%-1.7M-31.3M-259.9K3.5621.7322580230,99844,592