XLI Options History — December 2008

In December 2008, XLI traded between $21.21 and $23.42. ATM implied volatility averaged 47.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 8.4% (HV 20d: 56.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.92.

Notable Days

  • 2008-12-18: Highest Volume — 8,087 contracts
  • 2008-12-23: Largest IV drop — 11.7% change
  • 2008-12-01: Highest IV Rank — 57.1%
  • 2008-12-01: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.55$21.21$23.42$21.21$23.42
Max Pain$27.91$25.00$30.00$27.00$25.00
ATM IV47.9%34.1%64.5%64.5%34.1%
Expected Move13.6%9.8%18.5%18.5%9.8%
HV 20d56.3%37.4%66.0%63.3%37.4%
HV 60d63.0%62.0%63.7%62.0%62.9%
IV Rank38.4%22.9%57.1%57.1%22.9%
IV Percentile81.3%71.0%94.4%94.4%71.0%
Term Structure1.2%-4.6%4.7%-3.4%3.2%
VWIV47.4%31.7%68.8%68.8%32.5%
Skew 25d13.0%6.0%19.9%19.9%6.0%
Skew 10d28.4%15.3%47.6%34.6%15.3%
Call IV 25d41.4%30.9%55.1%55.1%31.2%
Put IV 25d54.4%37.1%75.0%75.0%37.1%
Bid-Ask Spread %14.087.2417.9517.957.24
Gamma HHI0.130.120.160.150.13
Net GEX-101.9K-772.4K760.0K-495.6K760.0K
Net DEX115.5M55.3M148.4M147.5M55.3M
Net VEX-626.0K-751.3K-514.2K-617.4K-549.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.016.886.860.88
Total Volume2,855.4552178,0874951,536
Total OI305,240.773254,793332,929315,204260,761

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$21.21$27.0064.5%18.5%63.3%57.1%68.8%19.9%-3.4%-495.6K147.5M-617.4K6.8617.9563432188,954126,250
2008-12-02$22.19$27.0060.7%17.4%66.0%52.9%55.4%16.9%-4.6%-317.9K133.1M-686.1K0.5717.544,5622,613188,961126,544
2008-12-03$22.57$25.0057.1%16.4%64.1%48.8%61.0%18.0%-2.0%-110.3K123.2M-720.8K0.5613.123,2961,838192,885128,584
2008-12-04$22.12$25.0061.9%17.8%62.9%54.3%60.0%17.5%-2.4%-148.7K136.2M-697.3K0.9617.211,6451,587195,794129,809
2008-12-05$22.66$30.0055.4%15.4%61.6%46.9%58.4%16.1%-1.2%44.8K121.9M-715.3K1.2214.621,5691,913194,842128,394
2008-12-08$23.25$30.0057.6%15.5%62.3%49.4%50.6%16.2%-0.4%440.9K95.7M-751.3K2.0514.041,4462,961196,292130,007
2008-12-09$22.84$30.0056.4%14.9%62.6%48.0%58.4%12.8%-0.7%84.0K117.5M-712.0K2.7517.956341,745195,646130,742
2008-12-10$23.21$30.0052.8%14.5%62.4%43.9%56.2%14.4%0.7%66.1K116.3M-709.6K0.4516.56490219195,413131,473
2008-12-11$22.21$30.0050.9%14.6%61.9%41.9%54.1%14.8%1.7%-344.0K141.2M-636.1K6.8812.963852,649195,098131,447
2008-12-12$22.27$30.0049.8%14.3%58.8%40.6%46.4%14.8%1.6%-490.7K143.8M-633.7K6.4713.52135873195,297132,967
2008-12-15$22.26$30.0051.1%14.7%56.8%42.1%57.4%14.3%0.4%-551.7K148.4M-609.4K3.1714.0952165195,265133,640
2008-12-16$23.36$30.0047.2%13.5%58.8%37.7%46.8%12.1%1.8%187.8K119.3M-661.9K0.8616.063,0262,609195,265133,672
2008-12-17$23.37$30.0045.1%12.9%58.8%35.4%42.0%12.0%2.6%338.3K118.4M-658.7K0.2612.951,329341197,067135,686
2008-12-18$22.55$30.0042.9%12.3%54.8%32.8%43.6%12.5%3.7%176.8K138.0M-596.6K0.9015.224,2503,837197,085134,732
2008-12-19$22.58$30.0039.0%11.2%53.5%28.5%40.7%8.3%4.6%-148.3K144.5M-596.8K1.2612.849081,147195,971136,958
2008-12-22$22.23$28.0040.9%11.7%53.3%30.6%39.2%10.8%2.6%-531.9K109.0M-552.4K1.1015.41718790157,228106,263
2008-12-23$22.16$26.0036.2%10.4%50.6%25.2%35.0%10.4%4.7%-772.4K94.4M-530.5K0.1010.157,165746157,65597,138
2008-12-24$22.30$25.0038.7%11.1%50.4%28.1%37.3%10.3%2.4%-172.9K85.9M-543.0K4.3111.503081,327163,42097,045
2008-12-26$22.47$25.0038.1%10.9%49.2%27.4%32.8%9.3%3.4%-117.1K83.2M-542.8K0.1211.0234040163,61497,178
2008-12-29$22.05$26.0038.4%11.0%48.9%27.7%31.7%10.8%3.6%-343.6K96.7M-514.2K0.4016.0316968163,888100,183
2008-12-30$22.87$25.0034.3%9.8%39.7%23.1%35.0%8.5%3.4%204.7K72.6M-536.9K0.0111.8088311163,97196,213
2008-12-31$23.42$25.0034.1%9.8%37.4%22.9%32.5%6.0%3.2%760.0K55.3M-549.5K0.887.24819717164,54796,214