XLI Options History — August 2008

In August 2008, XLI traded between $34.10 and $35.80. ATM implied volatility averaged 22.8%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 8.1% (HV 20d: 30.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 12.18.

Notable Days

  • 2008-08-12: Highest Volume — 21,612 contracts
  • 2008-08-06: Largest IV drop — 33.2% change
  • 2008-08-04: Highest IV Rank — 58.7%
  • 2008-08-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.08$34.10$35.80$34.25$35.22
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV22.8%16.4%25.8%24.3%24.6%
Expected Move6.8%6.2%7.7%7.0%7.0%
HV 20d30.8%25.8%34.1%30.4%26.2%
HV 60d26.6%24.5%27.5%24.5%27.5%
IV Rank45.7%18.6%58.7%52.2%53.4%
IV Percentile61.5%8.3%88.1%75.0%79.0%
Term Structure0.3%-1.0%1.6%0.5%0.1%
VWIV24.9%19.6%30.4%26.7%19.6%
Skew 25d6.7%5.5%8.3%8.3%7.2%
Skew 10d11.6%4.1%18.7%4.1%13.6%
Call IV 25d20.7%17.9%23.6%17.9%21.0%
Put IV 25d27.4%25.2%30.2%26.2%28.2%
Bid-Ask Spread %27.1918.2839.8036.0223.34
Gamma HHI0.190.150.230.180.15
Net GEX-1.6M-6.9M2.6M-3.2M1.3M
Net DEX-6.1M-70.8M67.9M46.8M-34.6M
Net VEX-1.1M-1.2M-961.8K-968.8K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.180.0368.0268.0215.35
Total Volume6,795.04898521,6129,59412,313
Total OI223,529.19196,473241,395196,473241,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$34.25$35.0024.3%7.0%30.4%52.2%26.7%8.3%0.5%-3.2M46.8M-968.8K68.0236.021399,45598,41598,058
2008-08-04$34.10$35.0025.8%7.7%30.5%58.7%28.3%6.6%-1.0%-4.5M67.9M-985.8K0.0837.595,05542698,510106,524
2008-08-05$35.05$35.0024.6%7.0%31.3%53.5%24.3%6.8%-0.0%-2.5M6.0M-1.0M1.4827.928961,322103,463106,674
2008-08-06$35.72$35.0016.4%6.3%30.4%18.6%27.0%6.9%1.1%-6.9M-16.6M-961.8K0.6339.804,4282,785104,090107,725
2008-08-07$34.52$35.0020.6%6.7%32.9%36.4%27.6%6.3%0.7%-4.0M23.0M-1.0M38.3836.6627210,439107,930109,381
2008-08-08$35.71$35.0019.9%6.5%34.1%33.4%22.7%6.8%0.6%-1.4M-36.1M-1.1M4.7625.96171814107,926119,511
2008-08-11$35.80$35.0021.1%6.6%34.1%38.6%29.3%6.6%0.8%-925.1K-46.2M-1.1M16.7924.223555,962107,959120,066
2008-08-12$35.45$35.0021.2%7.2%33.4%38.8%30.4%6.8%-0.5%-2.9M-22.7M-1.1M9.0524.382,15019,462108,192119,147
2008-08-13$35.32$35.0019.7%7.2%32.7%32.6%21.7%7.0%0.1%-6.0M-7.1M-1.1M0.7425.484,3213,184110,288118,481
2008-08-14$35.45$35.0024.8%7.1%31.4%54.2%24.1%6.6%-0.1%-3.9M-29.9M-1.1M4.9621.092521,249113,358108,415
2008-08-15$35.65$35.0022.1%6.3%31.5%42.9%24.5%6.8%1.4%-382.9K-48.8M-1.0M2.3228.174,2629,878112,806108,698
2008-08-18$35.25$35.0025.8%7.4%31.8%58.7%21.7%7.1%-0.8%809.6K-17.1M-1.1M0.0334.086,961178111,229100,511
2008-08-19$34.81$35.0024.9%7.1%31.9%54.6%26.1%6.9%0.1%-293.3K12.5M-1.1M0.7023.791,233869120,519104,161
2008-08-20$34.53$35.0023.7%6.8%31.9%49.8%25.5%6.2%1.2%-455.0K16.5M-1.1M33.7318.28862,901121,080104,771
2008-08-21$34.61$35.0023.9%6.9%30.6%50.6%22.1%6.2%0.3%-709.4K16.7M-1.1M2.5026.92289723121,148107,411
2008-08-22$35.29$35.0022.2%6.4%31.2%43.4%26.0%6.1%1.6%641.3K-22.5M-1.1M42.2720.842149,045121,220107,920
2008-08-25$34.74$35.0024.1%6.9%30.5%51.2%24.9%5.5%-0.2%-1.1M22.3M-1.1M0.6220.751,228762121,391107,811
2008-08-26$34.73$35.0024.1%6.9%27.5%51.4%23.9%6.7%0.4%-1.0M22.5M-1.1M0.0431.1510,689476122,286106,150
2008-08-27$34.83$35.0022.8%6.5%27.1%45.6%23.4%6.6%0.8%256.1K-9.0M-1.2M12.0623.682833,413132,886106,529
2008-08-28$35.61$35.0021.5%6.2%25.8%40.4%23.7%6.1%0.5%2.6M-70.8M-1.2M1.2820.911,6492,107133,128106,950
2008-08-29$35.22$35.0024.6%7.0%26.2%53.4%19.6%7.2%0.1%1.3M-34.6M-1.2M15.3523.3475311,560133,633107,762