XLI Options History — January 2009

In January 2009, XLI traded between $20.61 and $24.62. ATM implied volatility averaged 40.7%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 0.7% (HV 20d: 40.1%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 8.34.

Notable Days

  • 2009-01-21: Highest Volume — 141,934 contracts
  • 2009-01-12: Largest IV spike — 19.0% change
  • 2009-01-14: Highest IV Rank — 41.7%
  • 2009-01-20: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.16$20.61$24.62$24.28$20.61
Max Pain$23.65$21.00$25.00$25.00$22.00
ATM IV40.7%31.0%50.7%31.5%40.0%
Expected Move11.7%9.0%14.3%9.0%11.5%
HV 20d40.1%37.2%42.8%38.9%41.5%
HV 60d55.4%49.4%63.0%63.0%49.5%
IV Rank30.4%19.4%41.7%20.0%29.6%
IV Percentile74.4%64.3%81.7%69.4%72.2%
Term Structure1.5%-1.6%4.3%4.3%0.2%
VWIV41.2%28.8%55.4%31.3%46.5%
Skew 25d11.7%8.8%14.8%10.5%8.8%
Skew 10d25.1%15.9%36.9%25.5%19.9%
Call IV 25d35.3%25.8%43.0%25.8%37.0%
Put IV 25d47.0%36.3%57.0%36.3%45.8%
Bid-Ask Spread %19.209.7423.559.7411.57
Gamma HHI0.210.140.550.150.21
Net GEX-1.1M-4.1M2.0M1.5M-4.1M
Net DEX63.8M7.0M107.6M23.0M97.4M
Net VEX-591.8K-792.8K-392.5K-561.4K-777.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.340.0773.900.2551.62
Total Volume11,560.45566141,9343,0736,735
Total OI264,037.7138,120311,295257,750311,295

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$24.28$25.0031.5%9.0%38.9%20.0%31.3%10.5%4.3%1.5M23.0M-561.4K0.259.742,457616164,33493,416
2009-01-05$24.09$23.0035.7%10.4%38.1%24.7%28.8%10.9%1.4%1.5M25.0M-550.6K4.2321.172531,070166,27993,852
2009-01-06$24.62$25.0031.0%9.7%38.0%19.4%35.5%9.3%2.0%2.0M7.0M-563.8K0.3423.06718243166,37693,994
2009-01-07$23.52$25.0035.9%11.2%41.0%24.9%41.5%11.6%1.1%1.2M37.3M-533.9K3.6021.441,7006,115166,39694,167
2009-01-08$23.75$25.0038.7%11.2%40.5%28.1%37.4%12.2%0.4%859.7K42.3M-556.1K0.2122.291,468311167,26599,428
2009-01-09$23.23$25.0037.5%11.7%41.0%26.8%46.1%11.4%1.4%690.1K50.2M-533.7K0.2822.62442124168,02999,673
2009-01-12$22.72$25.0044.6%12.1%38.5%34.8%40.8%12.5%1.3%-121.3K71.6M-499.5K0.0723.551,26787167,89899,706
2009-01-13$22.33$25.0045.3%12.6%39.1%35.5%43.6%11.2%0.5%-978.7K88.1M-465.9K3.2221.447572,439167,85599,308
2009-01-14$21.50$25.0050.7%13.8%41.3%41.7%47.8%13.8%-0.3%-1.9M107.6M-428.7K10.7920.77941,014168,26099,645
2009-01-15$21.70$25.0043.9%12.6%37.2%33.9%47.1%13.2%2.2%-2.2M104.6M-417.7K1.0020.267,2007,213168,32098,696
2009-01-16$21.82$25.0042.7%12.3%37.3%32.6%38.9%11.7%1.7%-2.4M95.9M-431.7K0.2721.041,119306172,809102,026
2009-01-20$20.81$23.0050.0%14.3%38.9%40.9%45.7%14.0%-1.6%-118.9K39.5M-392.5K2.3218.3134780689,68248,438
2009-01-21$21.34$23.0047.3%13.6%40.2%37.8%55.4%14.8%0.4%-156.4K36.0M-410.7K5.9820.6120,334121,60089,84048,628
2009-01-22$21.27$23.0045.8%13.1%39.9%36.1%47.9%13.6%3.6%-3.1M77.9M-786.5K6.3320.367334,640110,015169,359
2009-01-23$20.63$23.0043.9%12.6%41.2%34.0%43.4%12.7%0.9%-3.8M96.8M-782.7K0.9517.404,9384,715110,602173,754
2009-01-26$20.87$23.0040.3%11.6%41.4%29.9%40.4%11.9%1.9%-3.6M87.0M-782.0K0.3418.088,6172,973114,536177,956
2009-01-27$21.25$21.0037.0%10.6%41.9%26.2%33.7%11.2%3.4%-2.8M65.8M-781.5K0.2418.927,5061,775122,727179,917
2009-01-28$21.86$21.0033.3%9.6%42.8%22.0%34.0%9.4%3.4%-2.1M48.8M-786.1K0.8418.243,3432,812124,770181,473
2009-01-29$21.06$21.0039.1%11.2%42.4%28.6%38.9%9.7%1.9%-3.0M74.4M-792.8K73.9013.12312,291127,093182,937
2009-01-30$20.61$22.0040.0%11.5%41.5%29.6%46.5%8.8%0.2%-4.1M97.4M-777.6K51.6211.571286,607125,191186,104