XLI Options History — September 2009

In September 2009, XLI traded between $24.50 and $27.31. ATM implied volatility averaged 25.1%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.2% (HV 20d: 19.9%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2009-09-17: Highest Volume — 391,771 contracts
  • 2009-09-03: Largest IV drop — 12.4% change
  • 2009-09-02: Highest IV Rank — 5.8%
  • 2009-09-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.26$24.50$27.31$24.60$26.34
Max Pain$25.62$24.00$27.00$24.00$26.00
ATM IV25.1%23.3%29.9%28.4%25.9%
Expected Move7.3%6.7%8.6%8.1%7.4%
HV 20d19.9%16.6%23.4%23.1%18.4%
HV 60d23.2%20.5%25.0%24.6%20.5%
IV Rank1.6%0.0%5.8%3.8%3.3%
IV Percentile3.6%0.0%19.0%13.9%7.5%
Term Structure1.8%0.7%3.0%1.2%1.1%
VWIV26.0%21.8%33.3%29.4%25.5%
Skew 25d5.2%3.8%6.7%4.1%4.4%
Skew 10d13.7%6.3%18.8%14.8%9.4%
Call IV 25d23.2%21.4%27.3%27.3%23.4%
Put IV 25d28.4%25.5%31.4%31.4%27.8%
Bid-Ask Spread %11.685.7517.317.835.75
Gamma HHI0.190.150.320.150.17
Net GEX5.8M-865.9K10.5M-428.5K4.3M
Net DEX-321.2M-557.4M-158.9M-177.8M-195.4M
Net VEX-2.2M-2.4M-2.0M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.033.880.540.89
Total Volume35,229.9521,623391,7714,26421,253
Total OI582,959.381431,660684,358613,847506,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$24.60$24.0028.4%8.1%23.1%3.8%29.4%4.1%1.2%-428.5K-177.8M-2.2M0.547.832,7681,496310,322303,525
2009-09-02$24.50$24.0029.9%8.6%23.0%5.8%29.2%4.8%1.9%-865.9K-158.9M-2.2M0.339.8911,8083,870311,973304,214
2009-09-03$24.82$24.0026.2%7.5%23.4%1.0%33.3%6.7%3.0%1.4M-212.5M-2.2M3.8810.474,70818,254321,775307,674
2009-09-04$25.31$25.0025.2%8.0%22.7%0.0%30.2%5.9%2.2%4.0M-296.0M-2.2M1.1316.732,6903,037322,784317,527
2009-09-08$25.53$25.0023.8%7.6%22.6%0.0%27.9%6.5%1.8%6.0M-338.1M-2.2M0.3613.0810,9944,006324,323320,204
2009-09-09$25.96$25.0023.5%7.3%22.5%0.0%25.8%5.4%3.0%6.1M-386.6M-2.1M0.7114.386,0774,327317,713322,890
2009-09-10$26.18$26.0024.9%7.1%22.0%1.8%24.8%6.2%3.0%8.2M-428.8M-2.1M1.1411.298,4559,627321,245325,839
2009-09-11$26.35$26.0025.8%7.4%22.0%2.9%24.6%5.9%2.2%9.0M-452.3M-2.1M1.899.239,28017,575328,068333,230
2009-09-14$26.60$26.0023.9%6.9%21.2%0.5%24.7%5.2%2.3%8.8M-488.2M-2.1M3.828.402,0767,932333,018344,537
2009-09-15$26.92$26.0024.2%6.9%17.3%0.8%23.3%5.5%2.5%8.8M-518.2M-2.0M0.3113.4714,9864,645328,417345,761
2009-09-16$27.26$26.0025.0%7.2%17.3%1.9%26.8%4.8%1.9%10.1M-557.4M-2.0M2.3612.757,79818,370335,918348,440
2009-09-17$27.31$26.0024.9%7.2%17.3%1.8%24.1%5.8%0.9%10.5M-542.2M-2.0M0.0315.24379,05712,714326,536352,592
2009-09-18$27.01$26.0025.0%7.2%18.1%1.9%25.5%3.8%2.0%7.7M-302.2M-2.0M0.7113.5119,46913,783243,134359,503
2009-09-21$26.85$26.0023.9%6.8%16.6%0.4%25.0%4.8%1.4%6.6M-272.8M-2.1M3.7517.314,85618,216249,377182,283
2009-09-22$27.17$26.0023.3%6.7%16.9%0.0%23.2%4.0%0.9%6.2M-286.9M-2.2M1.109.068,7969,693247,626195,140
2009-09-23$26.94$26.0023.8%6.8%17.4%0.7%21.8%4.6%0.9%5.6M-266.2M-2.3M0.7713.3712,6689,761254,933201,950
2009-09-24$26.50$27.0026.0%7.5%18.2%3.4%26.2%5.3%1.4%5.3M-218.6M-2.3M1.7012.567,22412,274264,553211,999
2009-09-25$26.13$26.0026.1%7.5%18.9%3.5%25.6%6.5%0.7%4.3M-187.7M-2.4M2.609.306,19816,114270,664220,155
2009-09-28$26.67$26.0023.7%6.8%19.9%0.5%25.0%4.0%1.7%4.5M-230.5M-2.4M1.459.824,6376,714275,201235,203
2009-09-29$26.61$26.0023.7%6.8%19.2%0.5%24.9%4.7%1.5%4.7M-227.2M-2.4M2.5011.864641,159278,967236,762
2009-09-30$26.34$26.0025.9%7.4%18.4%3.3%25.5%4.4%1.1%4.3M-195.4M-2.4M0.895.7511,24810,005274,238231,934