XLI Options History — November 2008

In November 2008, XLI traded between $20.00 and $25.83. ATM implied volatility averaged 58.2%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 11.5% (HV 20d: 69.7%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 3.36.

Notable Days

  • 2008-11-14: Highest Volume — 37,667 contracts
  • 2008-11-06: Largest IV spike — 23.0% change
  • 2008-11-20: Highest IV Rank — 71.2%
  • 2008-11-20: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.75$20.00$25.83$24.75$23.11
Max Pain$27.89$25.00$29.00$25.00$27.00
ATM IV58.2%42.6%76.9%48.4%53.7%
Expected Move16.5%12.2%22.1%13.9%15.4%
HV 20d69.7%57.6%82.2%80.1%57.8%
HV 60d56.1%51.9%59.8%51.9%59.8%
IV Rank50.1%32.5%71.2%39.0%45.0%
IV Percentile92.7%86.1%98.8%91.7%87.7%
Term Structure-3.9%-8.3%0.4%-2.4%-3.0%
VWIV57.4%44.3%75.7%48.7%55.7%
Skew 25d18.7%8.8%26.2%17.3%14.9%
Skew 10d32.4%3.1%43.4%43.3%43.4%
Call IV 25d48.4%23.8%67.1%40.4%46.0%
Put IV 25d67.1%48.8%93.3%57.8%60.9%
Bid-Ask Spread %30.0411.65105.4132.1118.31
Gamma HHI0.140.090.230.140.17
Net GEX-143.2K-1.0M1.0M1.0M-58.8K
Net DEX129.0M55.2M176.3M92.7M113.2M
Net VEX-628.5K-809.9K-458.0K-532.0K-757.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0514.633.7211.57
Total Volume6,13982637,66721,9851,169
Total OI307,051.632261,733333,814261,733314,180

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$24.75$25.0048.4%13.9%80.1%39.0%48.7%17.3%-2.4%1.0M92.7M-532.0K3.7232.114,65617,329166,76294,971
2008-11-04$25.83$25.0042.6%12.2%81.0%32.5%44.3%25.0%-0.7%873.2K55.2M-809.9K2.01105.412,0984,210177,151125,578
2008-11-05$24.75$25.0047.3%13.6%82.2%37.7%53.9%20.2%-1.2%843.2K69.8M-784.2K8.8092.494093,599175,656119,355
2008-11-06$23.59$25.0058.1%16.7%81.3%50.0%59.9%8.8%-6.5%132.1K122.6M-629.5K1.4386.14560803174,655118,637
2008-11-07$23.83$29.0052.2%14.6%80.6%43.3%56.5%16.4%-2.8%130.0K126.9M-562.9K0.8115.74457369175,608119,811
2008-11-10$23.84$29.0055.4%15.0%71.2%46.9%45.5%17.6%-2.7%83.1K123.2M-542.4K1.4117.242,0632,907176,224117,704
2008-11-11$23.31$29.0061.1%15.8%71.5%53.4%49.1%17.8%-4.0%-246.1K137.8M-517.7K14.6315.03831,214177,310120,188
2008-11-12$22.20$29.0064.9%17.0%64.7%57.6%60.4%18.6%-6.1%-642.5K156.9M-458.0K0.0515.082,645142177,357120,345
2008-11-13$23.39$29.0055.2%15.8%67.2%46.7%60.7%18.2%-4.1%-87.8K127.4M-495.8K2.8121.481,0352,906179,947114,810
2008-11-14$22.40$29.0060.2%17.3%68.4%52.4%59.2%17.6%-4.5%-406.9K138.2M-480.0K0.7815.9421,19816,469180,682115,707
2008-11-17$21.95$29.0062.6%18.0%66.0%55.1%58.0%22.3%-5.3%-549.1K145.6M-724.3K0.3614.122,182792197,556131,278
2008-11-18$21.97$29.0064.6%18.5%66.0%57.3%56.0%19.2%-6.4%-566.0K142.2M-727.0K2.5111.657851,974199,059131,045
2008-11-19$20.55$29.0069.9%20.0%68.0%63.3%68.6%22.9%-8.3%-744.0K165.1M-631.5K0.9515.39938893199,681132,329
2008-11-20$20.00$29.0076.9%22.1%68.3%71.2%71.9%26.2%-7.2%-715.3K176.3M-572.5K2.6616.712,2495,977200,487131,353
2008-11-21$20.59$29.0068.0%19.5%66.6%61.1%75.7%22.4%-5.1%-1.0M164.1M-625.5K4.0916.761,0624,348201,027132,787
2008-11-24$21.62$29.0057.6%16.5%67.7%49.4%60.3%17.3%-2.0%-306.3K135.4M-671.2K3.0423.871,7275,245187,042121,580
2008-11-25$21.93$28.0057.2%16.4%57.6%49.0%49.8%16.9%-1.9%-303.1K133.0M-694.6K0.3418.55792271188,174124,467
2008-11-26$22.62$27.0050.2%14.4%58.8%41.1%56.1%15.7%0.4%-168.5K125.2M-724.9K1.8518.73381704188,796124,682
2008-11-28$23.11$27.0053.7%15.4%57.8%45.0%55.7%14.9%-3.0%-58.8K113.2M-757.1K11.5718.31931,076188,996125,184