XLI Options History — June 2008

In June 2008, XLI traded between $33.70 and $38.51. ATM implied volatility averaged 22.1%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.4% (HV 20d: 19.7%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2008-06-19: Highest Volume — 16,481 contracts
  • 2008-06-06: Largest IV spike — 44.1% change
  • 2008-06-11: Highest IV Rank — 75.4%
  • 2008-06-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.52$33.70$38.51$38.51$34.01
Max Pain$37.81$37.00$39.00$39.00$37.00
ATM IV22.1%16.9%25.7%18.5%24.9%
Expected Move6.2%4.9%7.3%5.3%7.2%
HV 20d19.7%14.7%22.5%15.5%22.5%
HV 60d21.9%20.1%24.3%24.2%21.1%
IV Rank56.8%35.0%75.4%42.5%70.4%
IV Percentile64.7%23.0%90.1%35.3%86.9%
Term Structure1.0%-0.4%2.8%-0.0%0.0%
VWIV21.2%9.8%26.4%21.1%16.0%
Skew 25d5.7%3.0%7.4%5.2%5.3%
Skew 10d13.1%2.7%19.8%8.3%2.7%
Call IV 25d19.3%13.1%23.1%17.1%22.8%
Put IV 25d25.0%20.5%28.1%22.3%28.1%
Bid-Ask Spread %22.9912.4436.8415.4221.72
Gamma HHI0.240.180.330.190.25
Net GEX1.7M-3.2M4.1M2.0M-1.7M
Net DEX56.3M-44.9M148.9M-35.0M64.0M
Net VEX-939.5K-1.1M-804.9K-1.1M-857.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0220.121.500.10
Total Volume3,29812216,4812251,032
Total OI177,941.857129,660214,335184,097149,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$38.51$39.0018.5%5.3%15.5%42.5%21.1%5.2%-0.0%2.0M-35.0M-1.1M1.5015.429013599,13884,959
2008-06-03$38.38$39.0020.1%5.8%15.5%50.5%22.7%5.6%0.1%1.7M-6.3M-1.1M1.6316.56528599,13084,962
2008-06-04$38.23$39.0020.1%5.8%15.5%50.2%9.8%5.8%0.4%1.8M-3.5M-1.1M0.0217.191,5122999,14584,997
2008-06-05$38.51$39.0016.9%4.9%14.7%35.0%17.0%7.4%0.8%2.0M-44.9M-1.1M0.7912.446854100,63785,004
2008-06-06$37.01$39.0024.4%6.4%20.4%71.2%21.2%6.3%1.0%1.9M59.5M-986.5K0.2836.845,1971,464100,67185,018
2008-06-09$37.39$38.0024.2%6.5%20.7%70.2%22.7%6.6%1.1%2.3M56.3M-1.0M1.1525.16503579105,61385,905
2008-06-10$37.17$38.0023.4%6.4%19.8%63.5%23.1%6.4%0.8%2.4M68.5M-964.3K0.7724.49234180105,82186,070
2008-06-11$36.47$38.0025.7%6.8%20.4%75.4%23.5%5.9%1.0%2.4M110.4M-873.1K0.1415.913,981539105,98986,139
2008-06-12$36.60$38.0021.8%6.2%20.4%54.7%16.7%6.2%1.7%2.9M100.0M-918.6K0.7728.21658509109,60286,525
2008-06-13$37.02$38.0020.4%5.9%20.9%45.8%19.7%6.8%2.8%3.2M85.1M-940.1K0.1423.8452674110,04986,622
2008-06-16$36.82$38.0020.4%5.8%20.9%45.5%23.6%6.2%2.7%3.5M95.7M-887.6K20.1229.57891,791110,33886,646
2008-06-17$36.74$38.0020.7%5.9%20.2%47.4%20.8%6.2%1.5%3.3M115.1M-868.5K0.1228.184,433553110,35688,229
2008-06-18$36.21$37.0022.5%6.5%20.1%57.2%24.6%6.1%1.3%3.5M118.8M-855.5K0.4319.62813349114,57888,574
2008-06-19$36.68$37.0020.3%5.8%20.3%45.1%18.7%4.7%1.7%4.1M107.6M-866.8K4.0421.533,27313,208114,33688,687
2008-06-20$35.90$37.0022.5%6.4%21.4%57.0%23.9%6.0%1.4%-3.2M148.9M-924.9K0.3525.452,558886113,004101,331
2008-06-23$35.97$37.0022.5%6.5%21.0%57.0%21.0%4.3%1.1%3.3M-12.2M-924.9K0.7720.3723217876,87952,781
2008-06-24$35.54$37.0023.2%6.7%20.7%60.9%26.4%6.5%0.4%2.4M4.1M-896.4K0.3924.021,14145076,91552,905
2008-06-25$35.28$37.0023.4%6.7%20.4%61.8%24.5%4.5%-0.4%2.0M12.0M-864.6K7.3824.171,60211,82377,99853,119
2008-06-26$34.70$37.0022.6%6.5%20.6%57.8%23.0%3.0%0.5%-1.5M66.6M-856.3K0.8928.642,4732,19279,55064,760
2008-06-27$33.70$37.0025.4%7.3%21.8%72.9%24.8%4.4%0.0%-1.8M72.8M-804.9K6.4623.514983,21579,55064,760
2008-06-30$34.01$37.0024.9%7.2%22.5%70.4%16.0%5.3%0.0%-1.7M64.0M-857.1K0.1021.729409281,96167,526