XLI Options History — May 2008

In May 2008, XLI traded between $37.79 and $39.72. ATM implied volatility averaged 17.7%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.6% (HV 20d: 18.3%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2008-05-13: Highest Volume — 48,665 contracts
  • 2008-05-05: Largest IV spike — 29.4% change
  • 2008-05-28: Highest IV Rank — 49.5%
  • 2008-05-09: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.75$37.79$39.72$38.75$38.84
Max Pain$38.90$38.00$39.00$38.00$39.00
ATM IV17.7%13.8%20.0%17.5%16.7%
Expected Move5.3%4.0%5.9%5.0%4.8%
HV 20d18.3%13.4%24.2%23.8%15.3%
HV 60d24.9%24.4%25.4%25.0%24.4%
IV Rank38.5%19.7%49.5%37.5%33.8%
IV Percentile32.3%12.7%49.2%32.5%22.6%
Term Structure1.2%-0.0%2.9%1.9%1.0%
VWIV18.8%11.0%22.5%16.0%11.0%
Skew 25d4.9%3.2%8.7%4.1%4.2%
Skew 10d11.2%2.9%15.8%5.1%6.4%
Call IV 25d16.0%11.0%17.7%15.8%15.1%
Put IV 25d20.9%19.3%22.6%19.9%19.3%
Bid-Ask Spread %19.8515.9331.3126.4916.47
Gamma HHI0.220.130.530.200.19
Net GEX648.0K-4.3M8.4M-2.6M2.4M
Net DEX-50.7M-145.3M12.4M-23.6M-75.1M
Net VEX-1.2M-1.4M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0110.301.100.60
Total Volume4,253.4293348,665482134
Total OI183,449.476173,187216,117173,187184,008

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$38.75$38.0017.5%5.0%23.8%37.5%16.0%4.1%1.9%-2.6M-23.6M-1.2M1.1026.4923025273,82199,366
2008-05-02$38.90$38.0013.8%4.0%23.8%19.7%19.4%8.7%2.9%-2.2M-35.4M-1.2M4.4131.312511,10773,91099,390
2008-05-05$38.80$39.0017.8%5.6%23.7%39.4%22.5%4.7%0.8%-3.1M-22.1M-1.2M10.3020.622020674,032100,428
2008-05-06$38.95$39.0017.4%5.6%23.7%37.2%17.9%4.2%0.8%-2.1M-42.3M-1.2M1.3619.5917623974,012100,434
2008-05-07$38.35$39.0018.3%5.8%24.2%41.4%20.7%4.6%1.0%-4.1M5.3M-1.2M0.9224.8822921174,136100,522
2008-05-08$38.48$39.0018.0%5.8%24.1%40.1%20.3%4.9%0.5%-3.8M-3.1M-1.2M0.9122.33948674,251100,631
2008-05-09$38.24$39.0016.8%5.9%19.0%34.3%20.7%5.1%0.5%-4.3M11.5M-1.1M2.3019.16102374,318100,603
2008-05-12$38.85$39.0016.7%5.5%19.6%33.6%19.2%5.0%0.6%-1.9M-31.1M-1.1M0.0518.851,0825274,328100,590
2008-05-13$39.11$39.0017.3%5.4%19.6%36.6%18.5%4.7%2.1%-96.8K-55.1M-1.1M0.0116.6248,18548075,398100,567
2008-05-14$39.15$39.0016.3%5.3%17.4%32.1%18.2%4.7%2.0%8.4M-143.7M-1.4M0.8220.076,2465,114115,118100,999
2008-05-15$39.38$39.0018.0%5.2%16.7%40.2%19.1%4.7%2.0%4.8M-145.3M-1.4M0.1018.397,588778108,204105,565
2008-05-16$39.28$39.0017.9%5.1%13.4%39.8%17.9%5.5%2.3%3.9M-118.7M-1.3M1.0019.214,7184,730101,17598,270
2008-05-19$39.72$39.0015.5%4.4%13.7%27.9%15.5%5.1%2.1%3.1M-139.7M-1.3M0.0619.641,71298102,55087,051
2008-05-20$39.09$39.0018.4%5.3%13.7%41.8%17.9%5.0%0.9%3.2M-98.6M-1.3M1.0015.9368668399,93582,645
2008-05-21$38.43$39.0019.6%5.6%15.3%47.7%22.2%5.0%0.7%2.2M-38.6M-1.2M3.4721.0518463998,47183,220
2008-05-22$38.34$39.0019.0%5.4%15.2%44.9%19.2%4.0%1.4%2.1M-26.8M-1.2M6.4116.039460398,59983,655
2008-05-23$37.79$39.0019.3%5.5%15.2%46.6%20.4%3.8%0.5%1.8M12.4M-1.2M5.0716.6919498398,60383,759
2008-05-27$38.19$39.0019.1%5.5%15.6%45.4%20.8%3.2%1.6%1.8M-9.8M-1.2M0.8618.4817014798,70784,358
2008-05-28$38.45$39.0020.0%5.7%15.4%49.5%19.4%6.4%-0.0%2.1M-36.8M-1.2M1.5416.90639798,86584,479
2008-05-29$38.60$39.0017.9%5.1%15.3%39.7%18.9%5.3%0.3%2.0M-47.7M-1.2M2.0218.0524148798,92284,544
2008-05-30$38.84$39.0016.7%4.8%15.3%33.8%11.0%4.2%1.0%2.4M-75.1M-1.2M0.6016.47845099,07484,934