XLI Options History — September 2008

In September 2008, XLI traded between $30.50 and $35.23. ATM implied volatility averaged 33.2%, placing in the 79.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.0% (HV 20d: 28.3%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.34.

Notable Days

  • 2008-09-24: Highest Volume — 78,103 contracts
  • 2008-09-24: Largest IV spike — 71.3% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-24: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.84$30.50$35.23$35.23$30.80
Max Pain$33.71$33.00$35.00$35.00$33.00
ATM IV33.2%25.9%44.3%26.4%42.2%
Expected Move9.3%7.4%12.7%7.6%12.1%
HV 20d28.3%20.6%33.4%26.1%33.4%
HV 60d28.7%26.3%30.4%26.4%30.3%
IV Rank79.9%52.6%100.0%61.2%93.4%
IV Percentile96.8%83.3%100.0%91.3%99.2%
Term Structure-0.9%-5.8%11.1%-1.2%-4.5%
VWIV32.4%14.7%55.6%14.7%45.5%
Skew 25d8.3%-2.9%20.5%8.9%20.1%
Skew 10d19.2%1.6%36.5%18.6%28.9%
Call IV 25d29.0%19.2%44.6%19.2%30.8%
Put IV 25d37.4%22.4%57.2%28.0%50.9%
Bid-Ask Spread %53.6521.69104.3535.1758.88
Gamma HHI0.180.110.300.140.17
Net GEX-5.3M-10.9M270.6K-120.6K-4.6M
Net DEX100.7M-20.6M240.0M-20.6M146.4M
Net VEX-1.0M-1.2M-866.9K-1.2M-963.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.340.0115.410.232.45
Total Volume13,348.23860678,1031,1046,040
Total OI265,146.762182,252307,449252,157281,598

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$35.23$35.0026.4%7.6%26.1%61.2%14.7%8.9%-1.2%-120.6K-20.6M-1.2M0.2335.17901203133,871118,286
2008-09-03$34.97$35.0025.9%7.4%24.4%59.2%25.5%7.0%-1.0%-734.5K-5.7M-1.2M0.0122.904,67346134,492118,452
2008-09-04$33.77$35.0029.3%8.4%26.3%73.6%27.8%6.0%-1.8%-4.1M84.4M-1.1M4.6827.883,46616,204138,626118,462
2008-09-05$33.76$34.0028.1%7.6%23.5%68.4%28.9%5.4%-0.2%-6.1M99.4M-1.2M1.7521.693,5026,133139,905134,489
2008-09-08$34.30$34.0029.5%7.6%20.6%74.5%26.9%6.8%0.2%-4.1M38.6M-1.2M11.3237.114785,411140,104138,060
2008-09-09$33.29$34.0033.9%8.3%22.8%93.1%27.1%5.4%-1.1%-8.3M133.1M-1.1M0.7041.71754525140,485141,229
2008-09-10$33.43$34.0033.0%8.2%22.8%89.3%27.9%5.5%-1.0%-8.0M124.6M-1.1M1.9824.66365723140,763141,391
2008-09-11$34.20$34.0027.5%7.9%24.6%65.7%29.4%5.3%-0.4%-5.5M73.4M-1.1M0.0829.333,871324140,913141,547
2008-09-12$34.11$34.0026.9%7.7%24.5%63.4%27.6%6.2%1.3%-5.7M73.1M-1.1M15.1539.7498514,918141,195141,560
2008-09-15$32.74$34.0032.5%9.3%27.9%87.2%32.2%7.1%-3.1%-10.9M189.3M-1.0M3.1747.932,0526,506141,623148,578
2008-09-16$32.84$34.0029.4%8.4%27.9%73.9%29.1%4.1%-1.2%-10.8M162.1M-939.3K7.2351.923,04421,999141,773138,999
2008-09-17$31.73$34.0038.3%11.0%29.9%100.0%38.9%10.5%-5.8%-10.5M240.0M-880.2K0.4786.1216,7747,845143,678146,231
2008-09-18$32.38$33.0035.6%10.2%31.1%89.7%35.5%5.7%11.1%-9.9M151.4M-991.1K0.91100.4110,7419,802157,247138,399
2008-09-19$33.11$33.0034.4%9.9%32.3%85.1%29.2%12.4%-3.3%-7.8M81.7M-1.0M0.3248.512,147678164,924142,525
2008-09-22$32.23$33.0036.1%10.4%32.4%91.7%29.4%10.3%-2.0%-437.2K49.7M-887.9K1.2048.30276330100,37981,873
2008-09-23$31.52$33.0025.9%7.4%32.8%52.6%25.0%-2.9%5.8%-269.2K68.8M-866.9K0.05100.698,616419101,21581,689
2008-09-24$31.45$33.0044.3%12.7%32.8%100.0%55.6%20.5%-4.1%270.6K66.0M-931.8K15.4188.274,75973,344109,41681,738
2008-09-25$31.70$33.0037.2%10.7%33.0%77.9%42.6%11.8%-3.5%-4.0M98.9M-1.1M0.7675.1713,24610,039112,528150,056
2008-09-26$31.57$33.0038.8%11.1%31.4%82.9%41.5%12.1%-1.9%-3.5M95.8M-1.1M0.9135.996,7086,097123,870155,486
2008-09-29$30.50$33.0042.5%12.2%33.0%94.2%40.9%7.0%-0.2%-7.1M165.0M-900.4K1.49104.352,1603,209125,692154,735
2008-09-30$30.80$33.0042.2%12.1%33.4%93.4%45.5%20.1%-4.5%-4.6M146.4M-963.6K2.4558.881,7534,287126,283155,315