XLI Options History — July 2008

In July 2008, XLI traded between $32.58 and $35.36. ATM implied volatility averaged 25.4%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.9% (HV 20d: 26.3%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.85.

Notable Days

  • 2008-07-30: Highest Volume — 78,828 contracts
  • 2008-07-16: Largest IV drop — 25.4% change
  • 2008-07-15: Highest IV Rank — 100.0%
  • 2008-07-15: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.93$32.58$35.36$33.99$34.28
Max Pain$35.14$35.00$37.00$37.00$35.00
ATM IV25.4%21.1%35.5%24.0%25.1%
Expected Move7.3%6.1%10.2%6.9%7.2%
HV 20d26.3%21.7%30.8%22.6%30.8%
HV 60d21.9%20.3%24.7%21.1%24.7%
IV Rank63.9%38.6%100.0%65.3%55.6%
IV Percentile80.6%46.4%100.0%78.2%83.7%
Term Structure0.8%-1.5%9.2%1.1%0.6%
VWIV25.2%20.5%36.9%24.0%23.2%
Skew 25d6.1%3.6%7.5%7.5%4.9%
Skew 10d12.5%1.0%18.6%8.9%1.0%
Call IV 25d22.4%16.8%39.6%19.4%21.9%
Put IV 25d28.5%23.6%43.1%26.9%26.8%
Bid-Ask Spread %37.2919.70151.2019.7033.76
Gamma HHI0.250.180.290.250.18
Net GEX-2.0M-2.8M-239.8K-2.1M-2.7M
Net DEX59.1M14.1M94.3M69.7M37.0M
Net VEX-761.7K-988.4K-305.0K-822.0K-988.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0824.151.540.08
Total Volume6,016.1828378,8283,935705
Total OI150,957.364102,485195,951150,047195,951

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$33.99$37.0024.0%6.9%22.6%65.3%24.0%7.5%1.1%-2.1M69.7M-822.0K1.5419.701,5482,38782,50967,538
2008-07-02$32.95$36.0026.8%7.7%24.2%80.6%23.9%7.0%0.4%-2.4M94.3M-769.0K0.3629.752,21380683,93868,906
2008-07-03$33.41$35.0026.5%7.6%24.9%78.9%24.4%6.4%-1.0%-2.5M87.8M-800.0K17.1122.431202,05385,82769,533
2008-07-07$33.37$35.0027.0%7.7%21.7%81.5%25.2%6.9%-0.5%-2.8M89.6M-788.6K3.2129.106612,12085,88470,517
2008-07-08$33.99$35.0024.9%7.2%22.7%70.0%25.7%6.6%-0.3%-2.8M68.0M-843.5K6.0424.452,09112,63786,40171,887
2008-07-09$33.19$35.0027.2%7.9%23.7%82.9%27.4%6.2%-1.1%-2.7M87.7M-790.0K0.9636.8556153788,42973,300
2008-07-10$33.70$35.0026.0%7.5%24.2%76.3%27.6%6.6%-0.3%-2.5M79.0M-816.0K0.1134.811862088,91873,603
2008-07-11$33.15$35.0027.1%7.8%24.4%82.4%26.6%7.5%-0.6%-2.2M78.9M-748.5K1.0038.4639439589,03468,027
2008-07-14$33.24$35.0028.9%8.3%23.8%92.0%28.7%6.8%-1.5%-1.7M51.7M-305.0K22.2024.63511162,57439,911
2008-07-15$32.58$35.0035.5%10.2%24.4%100.0%36.9%3.6%9.2%-239.8K57.1M-848.6K1.34151.2018024289,36768,193
2008-07-16$33.33$35.0026.5%7.6%26.5%61.4%27.1%6.8%0.5%-1.9M70.0M-747.0K0.1738.041662989,43168,052
2008-07-17$34.25$35.0024.5%7.0%28.5%53.2%25.2%5.7%1.4%-1.5M54.2M-779.5K0.6343.45885589,43768,062
2008-07-18$34.30$35.0024.6%7.0%28.0%53.4%24.7%7.1%0.9%-1.5M51.7M-759.8K0.8743.953,5633,10089,43068,058
2008-07-21$34.33$35.0025.2%7.2%27.1%56.1%21.5%5.7%-0.3%-1.9M54.2M-725.8K1.2431.448710878,74461,333
2008-07-22$34.75$35.0021.1%6.1%27.6%38.6%20.5%4.8%1.8%-1.4M34.3M-766.9K0.1728.353105278,82561,398
2008-07-23$35.02$35.0022.1%6.3%27.5%42.7%23.3%5.5%0.4%-970.1K21.9M-773.6K0.8432.5147739979,06761,449
2008-07-24$34.15$35.0023.6%6.8%28.8%49.2%22.0%5.1%0.9%-2.0M49.1M-726.2K0.8435.2399583379,32161,638
2008-07-25$34.47$35.0023.8%6.8%28.5%50.1%23.1%6.1%0.6%-2.2M47.0M-743.7K0.3827.78602380,13562,426
2008-07-28$33.68$35.0023.6%6.8%27.7%49.1%26.3%5.5%1.8%-2.5M65.3M-666.3K24.1535.44681,64279,42461,677
2008-07-29$34.95$35.0022.2%6.4%30.6%43.3%22.5%5.0%2.0%-2.3M36.7M-734.3K0.6435.387,0104,49179,45162,974
2008-07-30$35.36$35.0022.3%6.4%30.8%43.6%25.2%6.8%2.0%-1.3M14.1M-815.4K0.7623.6844,74034,08883,28567,198
2008-07-31$34.28$35.0025.1%7.2%30.8%55.6%23.2%4.9%0.6%-2.7M37.0M-988.4K0.0833.766545197,90898,043