XLI Options History — April 2008

In April 2008, XLI traded between $36.43 and $38.59. ATM implied volatility averaged 20.4%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 7.5% (HV 20d: 28.0%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 12.87.

Notable Days

  • 2008-04-29: Highest Volume — 13,157 contracts
  • 2008-04-29: Largest IV spike — 32.6% change
  • 2008-04-14: Highest IV Rank — 74.7%
  • 2008-04-14: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.86$36.43$38.59$38.25$38.50
Max Pain$37.68$36.00$38.00$36.00$38.00
ATM IV20.4%14.5%25.1%22.7%19.7%
Expected Move5.9%4.1%7.2%6.5%5.7%
HV 20d28.0%23.6%32.9%32.9%23.8%
HV 60d25.6%24.7%26.0%26.0%25.6%
IV Rank52.5%23.0%74.7%64.3%48.4%
IV Percentile55.0%19.8%89.3%74.2%45.6%
Term Structure1.6%-0.1%4.8%0.4%2.7%
VWIV21.2%15.8%27.4%26.2%18.3%
Skew 25d5.5%1.1%10.6%10.6%6.7%
Skew 10d11.6%1.0%20.2%18.7%10.6%
Call IV 25d17.9%13.0%21.3%15.5%15.5%
Put IV 25d23.3%17.1%27.9%26.1%22.2%
Bid-Ask Spread %26.7217.2046.1419.2520.04
Gamma HHI0.140.110.270.140.27
Net GEX-520.9K-4.2M485.7K-238.7K-4.2M
Net DEX10.2M-26.6M70.7M-13.0M14.1M
Net VEX-1.2M-1.3M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.870.05222.004.731.26
Total Volume2,377.54524413,1578192,007
Total OI151,877.864139,713171,942139,713171,942

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$38.25$36.0022.7%6.5%32.9%64.3%26.2%10.6%0.4%-238.7K-13.0M-1.1M4.7319.2514367666,06073,653
2008-04-02$38.42$37.0019.6%5.6%32.6%49.4%17.0%2.5%2.7%-249.0K-14.7M-1.1M0.2420.391974766,15973,751
2008-04-03$38.25$37.0021.4%6.1%32.4%57.9%23.2%6.7%1.1%-193.1K-14.8M-1.1M1.4517.9715522566,23973,769
2008-04-04$38.40$38.0017.1%5.2%31.4%37.7%20.6%1.1%4.8%-157.9K-26.6M-1.1M1.1139.599231,02166,28173,884
2008-04-07$38.16$38.0021.5%6.2%31.0%58.5%0.0%5.8%0.8%-174.9K-10.5M-1.1M5.9517.2013178066,95974,694
2008-04-08$38.13$38.0021.2%6.2%30.1%57.0%23.2%5.2%0.6%-73.3K-8.6M-1.1M8.8830.683329367,00675,254
2008-04-09$37.76$38.0020.2%6.3%28.4%52.5%0.0%5.8%0.5%-368.1K21.4M-1.1M0.0517.593642067,01775,444
2008-04-10$37.92$38.0021.2%6.1%28.4%57.3%20.2%6.4%1.0%-122.1K3.5M-1.1M0.6317.423,5462,24867,17975,454
2008-04-11$36.43$38.0024.6%7.1%31.8%72.2%27.4%6.6%-0.1%-1.1M69.6M-1.1M3.4420.7928698370,71477,636
2008-04-14$36.45$38.0025.1%7.2%31.2%74.7%25.8%6.6%0.2%-997.8K70.7M-1.0M0.2627.413429070,97278,450
2008-04-15$36.62$38.0023.0%6.6%31.2%64.5%23.5%7.2%1.1%-699.1K64.3M-1.0M1.4930.682,6143,89671,24278,416
2008-04-16$37.64$38.0021.1%6.0%27.0%55.0%22.6%5.9%0.7%485.7K10.4M-1.1M3.6936.642,0727,63773,56782,008
2008-04-17$37.20$38.0022.1%6.3%23.6%60.2%22.3%6.1%0.6%-257.8K33.4M-1.2M14.9742.211532,29075,52089,023
2008-04-18$38.32$37.0019.8%5.7%25.7%48.9%19.3%5.2%1.5%-155.2K-18.7M-1.3M0.7819.601,4451,12875,60591,049
2008-04-21$38.19$37.0019.6%5.6%24.6%48.0%19.6%4.9%1.4%-120.2K7.1M-1.3M2.8126.0522162274,01983,785
2008-04-22$37.58$37.0019.9%5.7%25.3%49.3%20.6%6.6%1.7%-493.5K22.3M-1.2M1.3718.1218024673,01983,785
2008-04-23$37.60$38.0020.0%5.7%25.1%49.8%20.1%4.7%1.3%-615.6K26.3M-1.2M1.9426.8225148873,14584,418
2008-04-24$37.84$38.0019.2%5.5%24.8%45.8%20.0%6.2%2.1%-561.8K8.2M-1.2M0.8827.4017115073,30684,872
2008-04-25$38.37$38.0016.9%4.9%25.1%35.0%16.1%4.1%2.8%-412.3K-7.0M-1.2M4.5546.1414867473,28584,973
2008-04-28$38.59$38.0014.5%4.1%24.7%23.0%15.8%3.2%4.6%-390.2K-8.0M-1.2M0.6439.861549973,36785,420
2008-04-29$38.23$38.0019.2%5.5%23.7%45.9%21.5%2.5%1.9%-403.3K-4.5M-1.2M222.0026.045913,09873,51185,461
2008-04-30$38.50$38.0019.7%5.7%23.8%48.4%18.3%6.7%2.7%-4.2M14.1M-1.2M1.2620.048871,12073,45598,487