XLI Options History — July 2009

In July 2009, XLI traded between $20.56 and $23.88. ATM implied volatility averaged 29.5%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.3% (HV 20d: 27.2%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2009-07-21: Highest Volume — 31,125 contracts
  • 2009-07-14: Largest IV drop — 19.2% change
  • 2009-07-13: Highest IV Rank — 21.4%
  • 2009-07-08: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.32$20.56$23.88$22.05$23.88
Max Pain$21.41$20.00$22.00$22.00$22.00
ATM IV29.5%25.5%34.8%28.2%27.1%
Expected Move8.5%7.3%10.1%8.1%7.8%
HV 20d27.2%23.3%31.3%23.5%23.3%
HV 60d32.7%30.9%34.4%34.3%30.9%
IV Rank15.2%10.5%21.4%13.7%12.4%
IV Percentile19.8%9.1%36.1%18.7%12.3%
Term Structure1.4%-0.4%2.5%2.5%1.8%
VWIV30.7%26.3%39.1%27.9%27.1%
Skew 25d5.7%3.4%8.2%3.4%3.6%
Skew 10d12.5%-0.1%18.2%18.2%2.3%
Call IV 25d27.2%24.3%32.3%26.3%25.7%
Put IV 25d32.9%29.2%39.5%29.7%29.4%
Bid-Ask Spread %12.238.9716.8810.169.85
Gamma HHI0.140.110.170.110.14
Net GEX376.3K-5.5M4.2M-1.2M4.2M
Net DEX-40.9M-202.4M134.8M5.2M-202.4M
Net VEX-1.8M-2.1M-1.6M-1.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.077.161.200.89
Total Volume12,862.8182,48131,1254,89814,193
Total OI501,897.545431,061547,589488,850516,398

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$22.05$22.0028.2%8.1%23.5%13.7%27.9%3.4%2.5%-1.2M5.2M-1.8M1.2010.162,2232,675239,036249,814
2009-07-02$21.36$22.0031.5%9.0%24.4%17.5%30.8%4.8%1.5%-2.9M65.2M-1.7M1.7913.914,4507,969245,595252,344
2009-07-06$21.37$22.0033.9%9.7%24.0%20.3%34.1%8.2%0.4%-3.0M63.7M-1.7M1.1013.735,0625,571248,209255,614
2009-07-07$20.64$21.0033.9%10.0%26.0%20.3%36.6%8.1%0.2%-5.2M134.8M-1.6M2.3814.101,6043,816252,952261,177
2009-07-08$20.56$21.0034.3%10.1%25.9%20.8%36.9%7.1%-0.4%-5.2M131.4M-1.6M1.2910.445,1706,691252,189260,135
2009-07-09$20.75$21.0033.0%9.6%26.6%19.2%39.1%6.9%1.7%-5.5M128.7M-1.6M2.658.974,08310,816255,324265,020
2009-07-10$20.72$21.0031.3%9.5%26.6%17.3%37.3%6.7%1.3%-4.3M116.8M-1.6M1.119.454,2534,726258,505266,096
2009-07-13$21.25$21.0034.8%9.5%28.8%21.4%34.4%7.0%0.3%-2.1M70.6M-1.6M0.0711.736,550481260,591267,424
2009-07-14$21.56$20.0028.1%8.7%27.9%13.6%34.8%7.1%1.1%-1.2M40.2M-1.7M5.1616.889925,115260,879267,450
2009-07-15$22.23$21.0031.8%8.9%29.6%17.8%30.3%6.4%1.5%-86.3K-40.0M-1.7M0.409.809,2243,682260,941271,999
2009-07-16$22.64$21.0028.4%8.1%30.2%13.9%28.3%5.6%1.7%1.4M-93.2M-1.8M0.3413.8015,6075,321268,730273,195
2009-07-17$22.38$20.0030.5%8.8%30.5%16.4%30.5%5.0%1.6%2.1M-72.0M-1.8M7.1613.519706,950275,170272,419
2009-07-20$22.83$21.0027.6%7.9%31.3%13.0%27.3%5.1%2.1%2.7M-92.9M-1.8M0.819.9215,17712,282239,782191,279
2009-07-21$22.84$21.0026.7%7.6%28.4%11.9%26.4%6.3%1.7%3.0M-92.6M-1.8M1.4212.6712,84218,283249,670198,391
2009-07-22$22.91$22.0026.6%7.6%28.0%11.8%28.1%5.7%1.6%2.9M-97.6M-1.9M2.7114.162,3536,370256,475208,735
2009-07-23$23.39$22.0027.6%7.9%28.6%13.0%27.0%5.1%1.4%3.9M-153.1M-1.9M1.1212.353,8114,281257,813209,365
2009-07-24$23.41$22.0027.5%7.9%26.9%12.9%27.4%5.8%1.3%3.6M-150.5M-1.9M0.9510.748,3687,989259,977213,130
2009-07-27$23.54$22.0025.7%7.4%26.8%10.7%26.3%4.9%2.0%4.2M-166.0M-2.0M0.3716.341,812669270,347220,027
2009-07-28$23.52$22.0025.5%7.3%26.8%10.5%29.3%4.9%2.1%4.0M-160.9M-1.9M1.5110.638,33612,600267,561220,310
2009-07-29$23.41$22.0027.7%7.9%26.4%13.1%27.9%3.9%2.5%3.2M-142.8M-2.0M1.6612.966,59010,921272,290232,256
2009-07-30$23.79$22.0026.9%7.7%26.8%12.2%26.7%4.3%1.6%3.8M-191.9M-2.1M0.1512.8510,5291,575276,230240,902
2009-07-31$23.88$22.0027.1%7.8%23.3%12.4%27.1%3.6%1.8%4.2M-202.4M-2.0M0.899.857,5066,687277,505238,893