XLI Options History — January 2008

In January 2008, XLI traded between $34.68 and $38.54. ATM implied volatility averaged 24.8%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.0% (HV 20d: 20.8%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2008-01-08: Highest Volume — 46,033 contracts
  • 2008-01-10: Largest IV spike — 32.8% change
  • 2008-01-22: Highest IV Rank — 97.5%
  • 2008-01-22: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.47$34.68$38.54$38.51$37.00
Max Pain$37.86$37.00$39.00$37.00$37.00
ATM IV24.8%18.1%29.1%20.4%25.4%
Expected Move7.2%5.8%8.3%5.8%7.3%
HV 20d20.8%18.3%23.7%19.9%23.3%
HV 60d21.0%19.5%22.2%19.5%21.9%
IV Rank78.1%47.9%97.5%58.2%79.5%
IV Percentile92.2%63.5%99.6%77.3%92.5%
Term Structure-0.5%-2.9%4.4%1.0%-2.6%
VWIV24.7%20.4%30.0%20.7%23.1%
Skew 25d6.6%2.4%13.2%3.4%5.8%
Skew 10d12.2%0.3%24.5%11.0%7.0%
Call IV 25d21.6%15.5%25.3%21.3%21.5%
Put IV 25d28.2%22.8%36.0%24.7%27.2%
Bid-Ask Spread %34.5615.1664.1615.2132.29
Gamma HHI0.240.180.490.220.23
Net GEX-4.5M-12.5M-1.7M-2.3M-1.7M
Net DEX76.6M-13.5M205.6M-11.6M49.3M
Net VEX-826.9K-1.2M-248.0K-254.2K-954.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.388.950.380.94
Total Volume9,785.95249946,0337,1108,588
Total OI147,166.28674,747203,46876,020140,751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$38.51$37.0020.4%5.8%19.9%58.2%20.7%3.4%1.0%-2.3M-11.6M-254.2K0.3815.215,1621,94830,99245,028
2008-01-03$38.54$37.0020.6%5.9%19.9%59.3%21.8%4.3%-0.1%-2.8M-13.5M-248.0K1.8115.1612,04721,79728,92245,825
2008-01-04$37.75$39.0022.3%6.7%20.1%67.0%24.4%4.1%0.1%-3.2M15.3M-404.8K7.2524.065163,73939,16666,938
2008-01-07$37.28$39.0025.4%6.8%19.7%81.1%20.4%5.0%0.3%-4.2M30.3M-395.3K1.2335.286,6258,15139,52969,074
2008-01-08$36.45$39.0026.5%7.5%20.3%85.8%25.9%2.4%-0.9%-4.4M67.8M-478.4K1.2350.7120,66125,37245,71775,131
2008-01-09$36.56$39.0018.1%6.6%20.2%47.9%26.6%9.0%-0.8%-4.7M60.5M-847.6K1.6464.165,4788,99464,42394,488
2008-01-10$37.07$39.0024.0%6.9%18.6%74.7%20.8%4.8%-0.3%-4.7M39.2M-951.9K3.8441.778653,32169,19999,623
2008-01-11$36.44$39.0026.5%7.6%18.3%85.9%26.6%4.4%-0.7%-5.6M76.2M-896.0K4.2437.421,1754,98069,854101,566
2008-01-14$36.89$39.0024.6%7.0%18.9%77.1%25.4%6.3%-1.2%-5.1M33.6M-1.1M1.1230.902,0142,25184,516104,362
2008-01-15$36.12$39.0023.6%6.8%19.8%73.1%23.9%4.3%0.8%-5.0M89.5M-1.2M4.0733.452,1188,62086,240112,427
2008-01-16$35.70$39.0025.0%7.2%19.3%79.0%25.2%5.3%-0.8%-5.4M108.3M-1.2M2.2631.051,1352,56187,417116,051
2008-01-17$34.75$37.0027.7%8.0%20.7%91.6%26.3%5.7%-1.4%-6.4M178.4M-963.0K1.6741.878,20613,74379,912113,565
2008-01-18$34.68$37.0025.9%7.4%20.7%83.0%23.9%3.8%-1.0%-12.5M205.6M-895.7K1.6530.8553087378,825124,215
2008-01-22$34.80$37.0029.1%8.3%20.4%97.5%30.0%10.7%-2.9%-4.8M140.8M-842.1K3.5129.801,5365,39555,69882,027
2008-01-23$35.75$37.0025.7%7.4%22.6%82.5%26.0%11.0%-0.9%-5.1M116.5M-945.8K8.9546.635164,61956,60186,112
2008-01-24$35.96$37.0026.0%7.5%22.2%83.7%25.7%7.5%-0.3%-3.9M99.4M-942.9K2.1926.0623451257,00082,433
2008-01-25$35.80$37.0026.1%7.5%22.2%83.0%25.5%11.7%4.4%-3.2M91.8M-955.4K0.6550.1530319657,07781,311
2008-01-28$36.33$37.0025.8%7.4%23.1%81.7%27.6%13.2%0.3%-3.5M80.4M-937.6K1.3528.6226435757,17381,448
2008-01-29$36.65$37.0026.5%7.6%23.6%84.7%26.4%9.0%-1.2%-3.0M73.3M-961.6K3.6124.361,5115,46257,34881,408
2008-01-30$36.80$37.0026.2%7.5%23.7%83.2%21.5%7.5%-2.9%-2.8M78.0M-958.0K4.3936.065812,54958,27882,822
2008-01-31$37.00$37.0025.4%7.3%23.3%79.5%23.1%5.8%-2.6%-1.7M49.3M-954.6K0.9432.294,4284,16058,76481,987