XLI Options History — March 2008

In March 2008, XLI traded between $35.04 and $37.79. ATM implied volatility averaged 24.1%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.3% (HV 20d: 26.4%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 6.50.

Notable Days

  • 2008-03-19: Highest Volume — 22,506 contracts
  • 2008-03-19: Largest IV spike — 40.2% change
  • 2008-03-17: Highest IV Rank — 96.1%
  • 2008-03-17: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.62$35.04$37.79$36.78$37.40
Max Pain$36.05$35.00$38.00$38.00$36.00
ATM IV24.1%19.6%29.5%22.4%24.7%
Expected Move6.9%5.6%8.5%6.4%7.1%
HV 20d26.4%18.0%33.6%19.5%32.4%
HV 60d23.2%20.7%25.6%21.2%25.6%
IV Rank70.6%49.6%96.1%62.5%73.5%
IV Percentile82.0%56.3%99.2%77.4%86.5%
Term Structure0.5%-3.2%3.5%0.6%-0.7%
VWIV25.7%21.7%31.3%22.6%27.2%
Skew 25d7.2%4.0%10.6%6.8%5.5%
Skew 10d15.7%4.1%29.3%12.3%14.2%
Call IV 25d21.2%18.3%24.6%19.9%20.7%
Put IV 25d28.3%24.6%35.2%26.7%26.2%
Bid-Ask Spread %31.4215.6157.6423.9624.48
Gamma HHI0.340.140.560.430.15
Net GEX-3.8M-7.6M375.5K-4.7M-746.7K
Net DEX63.7M16.9M132.5M67.5M33.1M
Net VEX-1.0M-1.2M-877.2K-962.9K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.500.1443.590.142.96
Total Volume3,708.115522,5061,060602
Total OI151,088.35138,904185,958140,782139,505

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$36.78$38.0022.4%6.4%19.5%62.5%22.6%6.8%0.6%-4.7M67.5M-962.9K0.1423.9692713359,90480,878
2008-03-04$36.35$37.0023.8%6.8%19.6%69.0%26.5%6.4%1.3%-4.5M72.0M-953.1K43.5915.61462,00560,77780,918
2008-03-05$36.83$37.0019.6%5.6%18.0%49.6%25.6%5.3%1.6%-4.6M63.6M-961.4K6.5817.836542860,76482,919
2008-03-06$36.13$37.0024.0%6.9%19.3%70.4%26.0%4.0%-0.3%-5.4M82.7M-922.5K6.8833.912517260,80282,246
2008-03-07$35.61$35.0023.0%7.4%19.9%65.5%26.7%6.8%-0.7%-6.5M109.4M-877.2K1.0849.575,1955,60060,80182,284
2008-03-10$35.04$35.0027.0%7.5%20.5%84.3%28.9%6.6%-0.3%-7.3M132.5M-945.2K20.4846.19661,35265,85887,588
2008-03-11$36.23$35.0023.4%6.6%23.7%67.4%25.4%7.4%1.6%-6.6M90.2M-1.0M2.0920.1945294665,87288,427
2008-03-12$36.16$35.0023.6%7.2%23.4%68.3%24.4%7.2%-0.1%-6.1M76.0M-1.0M1.0633.2864168066,14888,559
2008-03-13$36.66$36.0023.5%6.7%23.0%67.8%30.0%10.5%0.5%-5.2M75.6M-1.0M24.5725.833107,61666,65289,148
2008-03-14$36.08$36.0028.0%8.0%23.1%88.9%27.7%7.9%-0.8%-6.9M97.0M-1.0M0.7040.302,9172,05466,88395,487
2008-03-17$35.90$36.0029.5%8.5%23.0%96.1%31.3%10.6%-3.2%-7.6M98.7M-1.0M1.1440.9687198968,85596,511
2008-03-18$37.79$36.0019.9%5.7%29.6%50.8%22.0%7.7%3.5%-850.2K24.0M-1.0M7.5127.631481,11269,49697,097
2008-03-19$36.41$36.0027.8%8.0%32.6%88.2%24.8%7.2%-1.8%-5.8M65.3M-988.0K0.9457.6411,60310,90369,58796,535
2008-03-20$36.63$36.0022.6%6.5%32.5%63.7%24.9%8.0%3.4%375.5K60.1M-1.1M2.7824.029002,50079,388106,570
2008-03-24$37.46$36.0024.2%6.9%33.3%71.1%24.0%8.5%1.9%-620.2K20.9M-1.2M1.0041.975,2275,22465,48673,691
2008-03-25$37.69$36.0020.6%5.9%33.3%54.1%21.7%8.2%2.2%-557.8K16.9M-1.2M1.3717.3623532170,19478,318
2008-03-26$37.39$36.0024.3%7.0%33.4%71.7%25.6%7.7%0.1%-683.4K23.3M-1.1M1.7322.7325544065,36373,541
2008-03-27$36.98$36.0024.9%7.1%33.6%74.5%24.7%5.8%0.9%-773.1K34.6M-1.1M1.4835.4242262565,51673,415
2008-03-28$36.84$36.0024.8%7.1%33.6%73.8%24.2%5.3%-0.5%-747.1K29.6M-1.1M1.9829.535210365,88973,895
2008-03-31$37.40$36.0024.7%7.1%32.4%73.5%27.2%5.5%-0.7%-746.7K33.1M-1.1M2.9624.4815245065,94173,564