XLI Options History — March 2009 In March 2009, XLI traded between $15.36 and $19.65. ATM implied volatility averaged 48.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 1.3% (HV 20d: 49.7%). Max pain ranged from $15.00 to $23.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.44.
Notable Days 2009-03-25 : Highest Volume — 515,759 contracts2009-03-10 : Largest IV drop — 16.1% change2009-03-09 : Highest IV Rank — 54.4%2009-03-05 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.41 $15.36 $19.65 $15.98 $18.43 Max Pain $17.14 $15.00 $23.00 $23.00 $17.00 ATM IV 48.4% 40.5% 62.0% 55.6% 47.4% Expected Move 13.6% 11.6% 16.0% 15.9% 13.6% HV 20d 49.7% 40.7% 56.8% 42.2% 53.5% HV 60d 43.5% 40.7% 47.2% 41.0% 46.5% IV Rank 39.0% 30.1% 54.4% 47.1% 37.9% IV Percentile 74.7% 61.5% 92.5% 86.1% 74.2% Term Structure -1.4% -5.7% 1.2% -5.1% 0.0% VWIV 45.9% 36.3% 56.7% 56.7% 46.4% Skew 25d 8.8% 3.9% 14.9% 14.9% 3.9% Skew 10d 17.7% 8.4% 27.3% 18.9% 9.5% Call IV 25d 43.2% 37.6% 50.7% 47.1% 44.7% Put IV 25d 52.0% 45.7% 62.0% 62.0% 48.6% Bid-Ask Spread % 13.95 9.23 19.83 11.83 13.11 Gamma HHI 0.57 0.21 0.75 0.22 0.43 Net GEX 13.2M -1.9M 34.1M -1.6M 20.0M Net DEX -155.9M -729.9M 135.6M 129.4M -211.0M Net VEX -1.2M -1.8M -416.1K -428.7K -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 0.00 14.17 4.93 0.69 Total Volume 60,465.227 4,811 515,759 8,647 10,137 Total OI 578,484.136 269,557 831,271 269,557 680,526
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-03-02 $15.98 $23.00 55.6% 15.9% 42.2% 47.1% 56.7% 14.9% -5.1% -1.6M 129.4M -428.7K 4.93 11.83 1,458 7,189 138,455 131,102 2009-03-03 $15.86 $23.00 51.8% 14.8% 42.0% 42.8% 36.3% 14.8% -3.3% -1.8M 133.6M -416.1K 14.17 9.23 3,325 47,099 139,311 133,952 2009-03-04 $16.30 $23.00 52.9% 15.2% 43.0% 44.1% 50.8% 11.2% -4.8% -1.9M 129.3M -449.9K 0.41 10.31 16,663 6,763 142,324 135,185 2009-03-05 $15.67 $21.00 55.7% 16.0% 44.1% 47.3% 55.4% 10.3% -3.8% -1.5M 135.6M -419.7K 0.03 10.33 290,296 8,859 149,339 138,121 2009-03-06 $15.50 $16.00 59.5% 15.4% 43.1% 51.5% 50.2% 8.4% -3.0% 5.5M 52.9M -806.2K 0.40 15.04 29,800 11,805 424,782 141,278 2009-03-09 $15.36 $15.00 62.0% 15.8% 40.7% 54.4% 52.0% 7.6% -5.7% 5.3M 53.8M -895.3K 1.29 17.64 5,226 6,760 453,372 148,338 2009-03-10 $16.52 $15.00 52.0% 14.1% 50.2% 43.1% 49.2% 9.7% -4.0% 8.9M -31.7M -1.1M 0.02 19.83 110,814 1,776 448,054 154,116 2009-03-11 $16.68 $15.00 51.6% 13.9% 48.5% 42.6% 45.7% 10.3% -2.6% 12.4M -83.8M -1.3M 0.53 13.64 5,679 3,027 508,640 154,143 2009-03-12 $17.22 $16.00 46.6% 13.3% 50.4% 36.9% 45.2% 9.8% 0.0% 15.4M -151.3M -1.4M 0.03 16.38 18,322 580 508,256 150,991 2009-03-13 $17.25 $16.00 45.0% 12.9% 50.5% 35.2% 43.9% 9.3% -1.3% 16.6M -145.1M -1.4M 0.37 16.31 14,102 5,198 517,304 151,246 2009-03-16 $17.44 $16.00 45.2% 13.0% 50.9% 35.4% 41.7% 9.9% -1.0% 16.7M -162.1M -1.3M 0.43 17.53 8,602 3,699 503,249 155,516 2009-03-17 $17.95 $16.00 40.5% 11.6% 49.6% 30.1% 40.7% 9.3% 1.2% 18.4M -223.2M -1.4M 1.22 11.62 3,989 4,881 502,186 156,270 2009-03-18 $18.29 $16.00 41.7% 12.0% 50.2% 31.5% 44.1% 7.5% 1.1% 18.7M -269.0M -1.4M 0.97 13.04 16,802 16,269 504,742 160,806 2009-03-19 $18.11 $16.00 43.7% 12.5% 49.8% 33.8% 42.8% 8.9% 0.9% 18.3M -247.2M -1.4M 0.31 12.67 28,662 8,761 505,454 176,028 2009-03-20 $17.39 $16.00 47.8% 13.7% 51.4% 38.4% 44.8% 8.6% 0.1% 15.1M -146.6M -1.4M 0.21 10.62 3,964 847 504,961 179,843 2009-03-23 $18.65 $16.00 41.2% 11.8% 55.7% 31.0% 43.8% 8.8% 0.8% 15.6M -363.8M -1.4M 0.52 18.38 6,920 3,568 420,013 131,094 2009-03-24 $18.50 $16.00 45.4% 13.0% 55.4% 35.7% 41.3% 8.2% -0.1% 16.7M -358.7M -1.4M 0.70 15.85 9,022 6,276 422,713 133,792 2009-03-25 $18.65 $16.00 42.9% 12.3% 54.6% 32.8% 43.5% 6.8% -0.2% 17.1M -369.6M -1.4M 0.00 11.92 513,761 1,998 428,195 137,806 2009-03-26 $19.65 $16.00 41.3% 11.8% 56.8% 31.0% 42.5% 5.9% 0.9% 34.1M -729.9M -1.8M 0.22 10.94 21,996 4,878 693,055 138,216 2009-03-27 $19.28 $16.00 45.7% 13.1% 56.4% 36.0% 45.9% 4.6% -0.7% 24.3M -369.6M -1.5M 3.72 17.30 9,991 37,147 506,259 141,753 2009-03-30 $18.32 $17.00 48.5% 13.9% 53.8% 39.2% 47.4% 4.4% -0.7% 18.2M -201.6M -1.4M 0.45 13.30 9,202 4,122 512,614 163,251 2009-03-31 $18.43 $17.00 47.4% 13.6% 53.5% 37.9% 46.4% 3.9% 0.0% 20.0M -211.0M -1.4M 0.69 13.11 6,009 4,128 514,863 165,663
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