XLI Options History — May 2009

In May 2009, XLI traded between $21.63 and $23.51. ATM implied volatility averaged 33.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.7% (HV 20d: 36.6%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.16.

Notable Days

  • 2009-05-19: Highest Volume — 116,627 contracts
  • 2009-05-11: Largest IV spike — 21.8% change
  • 2009-05-11: Highest IV Rank — 25.8%
  • 2009-05-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.35$21.63$23.51$22.00$22.49
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV33.9%31.0%37.9%36.5%31.7%
Expected Move9.8%8.9%10.5%10.5%9.1%
HV 20d36.6%33.8%39.7%35.0%38.7%
HV 60d45.9%43.6%47.2%46.9%43.6%
IV Rank21.0%17.6%25.8%25.6%17.7%
IV Percentile37.3%31.7%46.0%44.4%31.7%
Term Structure-0.1%-1.0%1.1%1.1%0.5%
VWIV35.6%26.3%46.3%46.3%33.2%
Skew 25d7.6%5.8%12.0%12.0%7.5%
Skew 10d17.0%11.0%36.6%36.6%16.4%
Call IV 25d30.9%26.7%33.5%33.4%26.7%
Put IV 25d38.5%34.2%45.4%45.4%34.2%
Bid-Ask Spread %9.956.9112.9612.8411.25
Gamma HHI0.180.140.340.180.15
Net GEX1.9M-3.6M8.2M908.7K-230.7K
Net DEX-90.2M-230.3M13.5M-90.4M-72.1M
Net VEX-1.5M-1.7M-1.3M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.160.1420.542.791.03
Total Volume23,354.952,334116,62718,5904,087
Total OI577,075.8474,440684,044474,440684,044

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$22.00$21.0036.5%10.5%35.0%25.6%46.3%12.0%1.1%908.7K-90.4M-1.3M2.7912.844,90213,688202,504271,936
2009-05-04$22.72$21.0036.4%10.3%36.3%25.5%36.8%9.2%0.2%2.9M-157.1M-1.3M3.3812.917,14024,169205,035278,290
2009-05-05$22.79$21.0035.6%10.3%36.3%23.2%35.8%7.3%0.3%2.4M-141.0M-1.4M0.708.177,5905,305207,231299,610
2009-05-06$23.15$21.0034.2%10.2%33.8%21.5%33.7%6.8%-0.7%2.7M-177.4M-1.5M0.4910.5617,0138,283214,081304,627
2009-05-07$22.68$21.0035.6%10.3%35.4%23.1%38.0%6.3%-0.3%3.2M-142.4M-1.5M0.1411.856,852949228,544309,013
2009-05-08$23.51$21.0031.1%9.5%33.8%18.0%33.9%7.0%0.6%4.6M-230.3M-1.5M0.1610.627,1461,118233,349314,972
2009-05-11$22.81$21.0037.9%10.1%36.3%25.8%34.6%7.7%-0.6%5.1M-166.7M-1.5M1.7710.428431,491234,503310,403
2009-05-12$22.56$21.0031.7%9.6%36.0%18.6%35.7%6.6%0.7%5.6M-143.4M-1.4M0.419.449,3673,814234,403310,754
2009-05-13$21.63$21.0035.5%10.1%39.7%23.0%45.4%7.5%-0.5%5.0M-51.3M-1.4M6.189.888,84554,630240,717313,950
2009-05-14$21.79$21.0034.5%9.9%38.1%21.9%34.9%7.1%-0.8%5.3M-59.5M-1.5M1.238.425,4666,717244,693365,811
2009-05-15$21.80$21.0034.5%9.9%38.1%21.9%38.0%8.6%-0.2%8.2M-39.2M-1.5M0.686.9117,45811,807247,709368,663
2009-05-18$22.60$21.0031.0%8.9%35.7%17.8%35.6%6.6%-0.0%1.8M-95.5M-1.5M1.057.595,9436,270220,042273,771
2009-05-19$22.43$21.0033.0%9.5%35.3%20.2%26.3%6.8%-1.0%2.0M-97.6M-1.5M10.189.6010,433106,194224,828278,252
2009-05-20$22.45$21.0032.0%9.2%35.1%18.1%30.4%5.8%0.7%929.9K-89.1M-1.6M0.8810.0111,2079,817234,998384,150
2009-05-21$21.77$21.0034.3%9.8%37.0%20.7%35.3%7.5%-0.4%-2.4M664.9K-1.7M3.4410.258,10427,853243,408392,383
2009-05-22$21.69$21.0031.6%9.1%36.3%17.6%34.5%7.4%1.1%-3.3M13.5M-1.7M20.5412.961,07422,065244,776409,625
2009-05-26$22.48$21.0033.9%9.7%37.6%20.3%33.4%7.7%-1.0%-661.6K-62.6M-1.6M0.968.872,1362,044243,016422,486
2009-05-27$21.75$21.0033.7%9.7%39.4%20.1%34.5%8.4%-0.4%-3.6M5.0M-1.6M5.008.081,6898,451244,031423,605
2009-05-28$21.96$21.0033.6%9.6%37.8%20.0%36.4%8.8%-0.6%-3.4M-6.8M-1.6M2.188.314,76510,374244,538432,765
2009-05-29$22.49$21.0031.7%9.1%38.7%17.7%33.2%7.5%0.5%-230.7K-72.1M-1.6M1.0311.252,0132,074248,517435,527