XLI Options History — August 2009

In August 2009, XLI traded between $24.00 and $25.49. ATM implied volatility averaged 27.2%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.2% (HV 20d: 21.0%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2009-08-25: Highest Volume — 52,683 contracts
  • 2009-08-17: Largest IV spike — 13.0% change
  • 2009-08-03: Highest IV Rank — 14.6%
  • 2009-08-17: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.84$24.00$25.49$24.40$25.02
Max Pain$23.19$23.00$24.00$23.00$24.00
ATM IV27.2%25.5%31.1%29.0%26.7%
Expected Move7.9%7.3%8.9%8.3%7.6%
HV 20d21.0%18.2%23.9%23.9%22.4%
HV 60d27.3%24.2%30.9%30.9%24.3%
IV Rank8.4%2.7%14.6%14.6%2.7%
IV Percentile10.1%2.0%21.4%17.1%6.3%
Term Structure1.7%0.6%3.0%1.2%1.5%
VWIV28.5%25.2%32.5%27.7%27.2%
Skew 25d4.4%2.8%5.8%2.8%4.0%
Skew 10d11.1%4.1%18.8%12.6%12.9%
Call IV 25d25.4%23.1%28.1%27.1%25.0%
Put IV 25d29.8%27.5%33.0%29.9%29.0%
Bid-Ask Spread %9.116.9412.228.608.27
Gamma HHI0.140.120.150.140.15
Net GEX5.3M1.8M8.5M4.7M1.8M
Net DEX-293.4M-393.2M-208.9M-257.4M-244.5M
Net VEX-2.1M-2.2M-2.0M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.119.300.830.89
Total Volume13,642.191,99452,6833,8961,994
Total OI565,400.381521,844613,445523,847613,445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$24.40$23.0029.0%8.3%23.9%14.6%27.7%2.8%1.2%4.7M-257.4M-2.0M0.838.602,1321,764279,438244,409
2009-08-04$24.58$23.0026.0%7.5%18.2%11.1%27.7%3.7%1.5%5.1M-271.8M-2.0M1.3711.091,6222,229278,397243,447
2009-08-05$24.38$23.0027.8%8.0%18.7%13.2%28.0%3.4%1.2%4.8M-254.0M-2.0M1.6311.268,94614,595279,656245,023
2009-08-06$24.51$23.0026.8%7.7%18.7%12.1%27.4%4.1%1.6%5.0M-270.8M-2.1M3.208.781,8395,888285,639251,413
2009-08-07$25.12$23.0026.4%8.1%19.2%8.0%29.1%4.5%1.7%5.8M-343.5M-2.0M1.657.035,4148,947286,362249,992
2009-08-10$24.88$23.0026.9%8.3%19.4%8.6%29.1%4.3%0.9%5.3M-309.4M-2.0M0.1110.6623,3742,626289,586257,816
2009-08-11$24.55$23.0026.4%8.4%20.6%8.1%32.2%5.3%0.8%5.3M-280.1M-2.1M1.397.231,6182,256305,835260,096
2009-08-12$24.98$23.0025.7%8.2%19.1%7.2%26.2%4.9%2.2%6.2M-331.8M-2.1M0.929.414,1293,786306,556261,754
2009-08-13$25.09$23.0028.1%8.1%18.5%10.2%27.4%4.3%1.7%6.5M-345.0M-2.1M2.648.481,9545,153308,931262,849
2009-08-14$24.73$23.0027.5%7.9%18.9%7.3%32.2%5.8%2.2%5.9M-300.7M-2.1M1.2912.225,3176,853309,959264,687
2009-08-17$24.00$23.0031.1%8.9%21.7%11.8%30.5%4.8%0.6%3.8M-208.9M-2.1M0.588.299,5055,556311,692270,108
2009-08-18$24.29$23.0029.4%8.4%22.0%9.8%32.5%3.9%2.0%5.0M-266.5M-2.1M1.0810.704,8305,203319,707266,516
2009-08-19$24.36$23.0028.6%8.2%22.0%8.7%30.7%5.1%2.5%4.3M-265.3M-2.0M0.719.367,2495,151317,376271,839
2009-08-20$24.66$23.0026.4%7.6%21.3%6.0%27.7%4.6%3.0%5.9M-310.9M-2.1M0.718.445,5023,919320,256271,315
2009-08-21$25.30$23.0026.3%7.5%22.7%5.8%27.7%4.2%2.7%7.9M-393.2M-2.1M1.308.244,8436,294323,667274,596
2009-08-24$25.35$23.0027.2%7.8%22.7%7.0%27.2%4.5%0.7%8.2M-311.6M-2.0M3.6610.133,30112,088292,159232,859
2009-08-25$25.49$23.0026.8%7.7%22.7%6.6%29.5%5.5%1.2%8.5M-327.5M-2.1M9.307.795,11447,569293,940241,415
2009-08-26$25.23$24.0025.5%7.3%23.1%4.9%25.9%4.0%2.6%3.8M-278.8M-2.2M1.886.945,2119,798298,015283,427
2009-08-27$25.46$24.0026.0%7.5%22.7%5.5%25.2%4.6%1.6%4.4M-306.2M-2.2M0.529.1212,9296,786302,552292,884
2009-08-28$25.32$24.0026.9%7.7%22.9%6.6%26.9%4.3%1.1%3.5M-284.4M-2.2M1.829.274,6808,522305,123298,672
2009-08-31$25.02$24.0026.7%7.6%22.4%2.7%27.2%4.0%1.5%1.8M-244.5M-2.2M0.898.271,056938310,062303,383