XLI Options History — April 2009

In April 2009, XLI traded between $18.84 and $21.76. ATM implied volatility averaged 41.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 6.0% (HV 20d: 47.5%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2009-04-03: Highest Volume — 143,432 contracts
  • 2009-04-08: Largest IV drop — 18.5% change
  • 2009-04-02: Highest IV Rank — 34.9%
  • 2009-04-07: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.55$18.84$21.76$18.84$21.76
Max Pain$19.67$17.00$21.00$17.00$21.00
ATM IV41.4%36.4%44.8%44.0%38.6%
Expected Move12.0%10.9%13.2%12.6%11.1%
HV 20d47.5%38.0%53.3%53.3%38.8%
HV 60d47.3%46.8%48.1%46.8%46.8%
IV Rank31.2%25.4%34.9%34.0%28.0%
IV Percentile57.9%48.0%67.1%65.9%48.0%
Term Structure0.2%-1.6%1.4%-0.2%-1.1%
VWIV43.4%38.5%54.4%43.2%46.1%
Skew 25d7.5%5.8%13.8%5.8%12.0%
Skew 10d16.7%10.6%34.5%12.4%32.1%
Call IV 25d38.7%34.7%43.7%40.5%34.7%
Put IV 25d46.2%41.6%51.4%46.3%46.7%
Bid-Ask Spread %13.978.3717.9813.4812.26
Gamma HHI0.390.180.720.450.22
Net GEX16.2M1.8M43.4M22.5M1.8M
Net DEX-322.3M-720.1M-46.9M-262.2M-91.4M
Net VEX-1.1M-1.5M-859.0K-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.013.920.272.35
Total Volume39,065.3334,176143,43211,45768,067
Total OI503,147.143258,849714,951682,428427,762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$18.84$17.0044.0%12.6%53.3%34.0%43.2%5.8%-0.2%22.5M-262.2M-1.4M0.2713.489,0202,437514,371168,057
2009-04-02$19.85$17.0044.8%12.8%52.6%34.9%46.9%7.7%0.3%26.1M-467.1M-1.5M0.5317.0739,82121,208515,731168,378
2009-04-03$19.87$18.0042.5%12.6%52.0%32.4%44.4%7.0%0.4%27.3M-484.6M-1.5M0.0217.49141,1742,258530,734184,217
2009-04-06$19.92$19.0042.1%12.8%51.6%32.0%44.8%7.7%0.2%17.2M-395.0M-1.3M1.8717.988,71216,301413,434185,565
2009-04-07$19.35$19.0044.6%13.2%48.5%34.7%43.7%7.6%0.4%18.1M-295.6M-1.2M1.4116.733,0194,250413,864173,907
2009-04-08$19.52$19.0036.4%12.2%48.5%25.4%46.6%6.7%1.4%19.8M-308.5M-1.2M1.1516.625,0255,768414,101177,401
2009-04-09$20.48$19.0042.9%12.3%49.9%32.8%41.6%5.8%1.3%20.6M-503.4M-1.2M0.0116.1886,7761,138417,635182,891
2009-04-13$20.54$19.0041.4%11.9%49.8%31.2%40.3%7.4%0.7%32.9M-617.9M-1.2M0.1115.9615,6541,691495,273182,800
2009-04-14$20.24$20.0042.9%12.3%50.5%32.9%43.5%6.8%-0.4%38.5M-558.4M-1.2M0.2213.5618,2773,961504,378184,083
2009-04-15$20.43$20.0042.7%12.2%49.9%32.6%41.1%6.9%-0.9%43.4M-644.9M-1.0M0.6210.862,5711,605501,110184,213
2009-04-16$21.12$20.0039.4%11.3%50.6%28.8%39.5%6.1%1.0%18.1M-685.1M-941.8K3.9211.6212,18247,714444,708181,038
2009-04-17$21.11$20.0038.9%11.2%50.3%28.3%38.5%5.9%1.0%19.7M-720.1M-859.0K0.1315.6832,1954,111448,086152,173
2009-04-20$20.18$20.0043.1%12.4%50.9%33.1%42.3%6.0%-0.0%2.9M-46.9M-864.3K0.369.896,2972,237157,766101,083
2009-04-21$20.67$20.0040.8%11.7%45.8%30.5%45.7%5.8%0.6%3.5M-68.2M-896.0K0.1910.5413,8992,673160,742102,566
2009-04-22$20.99$20.0040.7%11.7%45.6%30.3%41.9%6.7%1.0%4.3M-89.7M-962.8K0.419.6922,1399,013173,096103,703
2009-04-23$21.22$21.0041.8%12.0%45.7%31.5%41.7%6.9%0.4%5.0M-108.3M-1.1M0.528.376,7813,502189,305110,457
2009-04-24$21.66$21.0037.9%10.9%42.7%27.2%42.3%8.9%0.9%5.6M-130.3M-1.1M0.9214.3011,29910,356191,563112,250
2009-04-27$21.23$21.0043.8%12.6%42.8%33.9%41.9%7.6%-1.6%4.9M-107.6M-1.1M2.4314.9110,60525,794193,209119,363
2009-04-28$20.98$21.0041.6%11.9%38.0%31.4%41.3%8.1%-0.5%3.6M-69.8M-1.1M0.4115.935,4622,255195,564142,499
2009-04-29$21.68$21.0039.0%11.2%39.1%28.5%54.4%13.8%-1.0%5.2M-114.0M-1.2M2.3014.1940,29092,835204,455142,559
2009-04-30$21.76$21.0038.6%11.1%38.8%28.0%46.1%12.0%-1.1%1.8M-91.4M-1.3M2.3512.2620,34347,724197,722230,040