XLI Options History — February 2009

In February 2009, XLI traded between $17.10 and $21.54. ATM implied volatility averaged 43.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.7% (HV 20d: 39.5%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 9.31.

Notable Days

  • 2009-02-19: Highest Volume — 70,523 contracts
  • 2009-02-10: Largest IV spike — 31.3% change
  • 2009-02-23: Highest IV Rank — 42.5%
  • 2009-02-23: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.52$17.10$21.54$20.14$17.10
Max Pain$23.11$21.00$24.00$22.00$23.00
ATM IV43.1%35.1%51.5%43.7%48.0%
Expected Move12.3%10.1%14.8%12.5%13.7%
HV 20d39.5%36.5%43.0%38.7%37.1%
HV 60d45.7%40.2%48.7%48.7%40.2%
IV Rank33.1%24.1%42.5%33.7%38.5%
IV Percentile73.6%63.9%82.5%75.0%79.4%
Term Structure-1.5%-4.3%1.8%-1.2%-4.3%
VWIV42.0%24.7%52.0%39.7%46.1%
Skew 25d12.0%7.6%15.2%11.4%7.6%
Skew 10d24.9%19.9%33.1%26.2%26.6%
Call IV 25d37.2%32.8%43.7%37.1%43.2%
Put IV 25d49.2%42.9%58.4%48.5%50.9%
Bid-Ask Spread %12.477.3519.9818.5611.42
Gamma HHI0.250.190.350.220.22
Net GEX-4.3M-10.5M-768.2K-5.1M-1.1M
Net DEX104.8M41.3M180.1M116.2M109.3M
Net VEX-681.4K-873.7K-505.9K-752.9K-505.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.310.05133.620.528.82
Total Volume15,509.4211,11470,5235,3896,854
Total OI314,776.421250,931349,705316,199261,490

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$20.14$22.0043.7%12.5%38.7%33.7%39.7%11.4%-1.2%-5.1M116.2M-752.9K0.5218.563,5541,835125,199191,000
2009-02-03$20.51$21.0035.9%10.3%39.9%24.9%37.1%10.0%1.2%-4.3M101.9M-743.9K0.0515.774,829218127,357193,218
2009-02-04$20.40$21.0040.1%11.5%38.3%29.7%36.9%11.6%1.0%-4.3M97.6M-746.9K0.3219.9833,23410,539131,159192,290
2009-02-05$20.64$21.0035.1%10.1%36.5%24.1%44.0%10.4%1.8%-3.9M90.5M-863.1K133.6217.949312,427136,443202,431
2009-02-06$21.14$24.0037.1%11.2%37.7%26.3%36.1%10.1%-1.7%-3.4M82.8M-873.7K0.9516.3610,88910,317128,935212,933
2009-02-09$21.54$24.0036.5%10.8%38.1%25.6%37.1%11.6%-0.0%-2.3M41.3M-797.6K7.1113.652,87520,431137,642207,226
2009-02-10$20.41$24.0047.9%12.6%41.6%38.5%37.0%12.5%-2.4%-4.8M88.3M-750.8K0.6011.995,4603,277137,618196,918
2009-02-11$20.57$24.0039.8%11.4%41.6%29.3%24.7%12.3%-0.6%-4.8M86.7M-786.0K0.2911.40865249141,533199,841
2009-02-12$20.34$24.0042.3%12.1%39.8%32.1%43.4%11.6%-2.0%-5.4M91.6M-733.3K2.7811.379072,523138,994197,006
2009-02-13$20.34$24.0041.9%12.0%39.6%31.7%35.9%11.6%-1.0%-5.8M88.3M-698.1K0.4310.26799340139,288198,538
2009-02-17$19.31$24.0047.8%13.7%43.0%38.3%40.1%13.6%-4.1%-8.2M138.9M-641.1K2.0911.426,05012,618139,534198,762
2009-02-18$19.34$24.0046.5%13.3%40.2%36.8%47.4%12.2%-3.3%-10.5M161.4M-646.3K1.0112.141,4421,461140,406209,299
2009-02-19$18.91$24.0045.3%13.0%39.2%35.5%46.9%14.6%-2.2%-9.9M180.1M-577.9K6.059.3910,00360,520141,016203,856
2009-02-20$18.62$23.0046.5%13.3%39.3%36.9%47.5%15.2%-2.2%-4.9M130.8M-620.2K6.1911.437,66347,410149,606183,719
2009-02-23$17.90$23.0051.5%14.8%40.2%42.5%51.2%14.7%-3.5%-830.6K95.5M-559.1K1.368.197511,023134,073116,858
2009-02-24$18.29$23.0046.4%13.3%40.9%36.8%45.3%11.9%-3.1%-768.2K89.0M-569.8K1.557.352,1323,299134,362117,436
2009-02-25$17.85$23.0044.0%12.6%40.3%34.1%52.0%12.3%-0.2%-926.8K98.5M-541.6K1.2510.532,6233,274135,422119,344
2009-02-26$17.54$23.0043.1%12.4%37.9%33.1%48.6%12.4%-1.3%-1.0M102.2M-537.7K2.017.796301,265137,674122,326
2009-02-27$17.10$23.0048.0%13.7%37.1%38.5%46.1%7.6%-4.3%-1.1M109.3M-505.9K8.8211.426986,156138,068123,422