XLI Options History — June 2009

In June 2009, XLI traded between $21.26 and $23.79. ATM implied volatility averaged 32.2%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.7% (HV 20d: 33.9%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2009-06-18: Highest Volume — 359,139 contracts
  • 2009-06-15: Largest IV spike — 14.2% change
  • 2009-06-22: Highest IV Rank — 23.7%
  • 2009-06-22: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.73$21.26$23.79$23.53$21.96
Max Pain$22.64$21.00$23.00$21.00$23.00
ATM IV32.2%28.4%36.8%31.4%28.8%
Expected Move9.3%8.1%10.6%9.0%8.3%
HV 20d33.9%24.1%41.6%41.6%24.2%
HV 60d39.2%34.2%43.4%43.3%34.3%
IV Rank18.3%13.9%23.7%17.4%14.4%
IV Percentile30.6%19.4%44.0%30.2%19.4%
Term Structure1.3%-0.6%3.5%-0.6%2.2%
VWIV33.1%27.7%38.9%33.1%27.7%
Skew 25d6.6%5.3%7.9%6.2%5.8%
Skew 10d16.5%6.7%22.5%20.8%16.5%
Call IV 25d29.7%23.8%33.1%29.9%26.1%
Put IV 25d36.3%31.3%39.9%36.2%31.9%
Bid-Ask Spread %13.537.3321.738.7118.13
Gamma HHI0.180.110.460.190.11
Net GEX1.6M-15.3M8.9M4.3M-1.7M
Net DEX-113.9M-288.2M60.2M-203.2M14.7M
Net VEX-1.8M-2.1M-1.5M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.024.530.321.11
Total Volume33,364.2733,131359,13927,34112,187
Total OI665,328.955410,008810,680677,879477,972

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$23.53$21.0031.4%9.0%41.6%17.4%33.1%6.2%-0.6%4.3M-203.2M-1.5M0.328.7120,7066,635246,592431,287
2009-06-02$23.57$21.0031.3%9.0%40.2%17.3%33.1%6.5%0.1%5.3M-210.4M-1.5M0.718.0217,93112,724255,607436,528
2009-06-03$23.11$21.0033.6%9.6%40.9%19.9%33.7%5.5%0.6%2.9M-148.1M-1.6M0.127.3382,18310,000257,416445,852
2009-06-04$23.53$21.0032.3%9.3%41.0%18.4%35.4%7.2%1.0%6.5M-240.4M-2.1M0.227.617,5141,683324,211448,168
2009-06-05$23.73$23.0031.1%9.4%40.3%17.0%32.3%6.0%1.2%8.6M-288.2M-2.1M1.9121.735,37110,235326,371445,788
2009-06-08$23.79$23.0033.3%9.6%38.3%19.6%34.1%6.2%0.7%8.2M-270.8M-2.0M1.6318.971,1891,942324,843453,856
2009-06-09$23.74$23.0029.9%9.2%36.5%15.7%34.2%6.4%1.2%8.9M-276.0M-1.9M4.5316.159904,489321,281454,892
2009-06-10$23.59$23.0029.9%9.2%36.3%15.7%35.0%7.3%0.7%8.6M-262.2M-1.9M1.0717.473,1083,340322,905457,719
2009-06-11$23.55$23.0030.4%8.7%32.4%16.2%30.9%6.1%1.7%8.1M-248.1M-1.9M0.9519.5911,01010,512320,382459,598
2009-06-12$23.59$23.0029.6%8.5%32.4%15.4%31.9%6.1%2.3%8.6M-251.0M-1.9M0.8816.142,6262,307326,820469,396
2009-06-15$22.87$23.0033.9%9.7%34.7%20.2%33.3%7.1%0.3%2.8M-136.5M-1.8M0.1612.3310,3281,682327,319468,655
2009-06-16$22.45$23.0035.9%10.3%33.1%22.7%38.9%7.4%0.5%-726.7K-72.3M-1.8M0.3216.735,9931,936330,926469,296
2009-06-17$22.28$23.0035.4%10.1%33.1%22.0%35.6%7.5%0.8%-3.4M-55.9M-1.8M0.7613.1711,7739,000324,096469,885
2009-06-18$22.30$23.0035.4%10.2%33.1%22.1%32.4%7.9%0.4%-3.8M-67.0M-1.8M0.0214.91351,1338,006333,926476,754
2009-06-19$22.20$23.0033.1%9.5%31.1%19.3%35.8%7.8%3.2%-15.3M35.6M-1.7M2.9612.592,8098,328282,142480,581
2009-06-22$21.46$23.0036.8%10.6%33.5%23.7%35.9%6.7%1.3%-2.9M50.7M-1.6M1.4211.0610,07814,339199,114210,894
2009-06-23$21.26$23.0035.8%10.3%30.7%22.5%35.2%7.1%1.4%-3.0M58.4M-1.6M3.6410.413,00210,922208,146221,933
2009-06-24$21.40$23.0033.8%9.7%28.7%20.1%32.3%6.5%2.4%-3.1M60.2M-1.7M1.3914.817,45710,367210,632229,925
2009-06-25$22.06$23.0030.0%8.6%30.6%15.7%30.2%5.3%1.6%-1.6M7.0M-1.8M0.5410.6812,5346,768216,954234,417
2009-06-26$21.97$23.0028.4%8.1%29.3%13.9%28.5%5.6%3.5%-1.5M8.7M-1.8M1.4611.453,9075,723226,286238,660
2009-06-29$22.19$23.0028.9%8.3%24.1%14.4%28.5%7.4%1.6%-856.1K-10.0M-1.8M1.179.744,2654,982229,723239,489
2009-06-30$21.96$23.0028.8%8.3%24.2%14.4%27.7%5.8%2.2%-1.7M14.7M-1.8M1.1118.135,7776,410233,806244,166