XLI Options History — October 2009

In October 2009, XLI traded between $25.29 and $27.35. ATM implied volatility averaged 24.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.6% (HV 20d: 21.8%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2009-10-06: Highest Volume — 24,591 contracts
  • 2009-10-12: Largest IV spike — 36.1% change
  • 2009-10-30: Highest IV Rank — 19.4%
  • 2009-10-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.44$25.29$27.35$25.68$25.29
Max Pain$26.91$26.00$27.00$26.00$27.00
ATM IV24.3%18.7%30.0%27.8%30.0%
Expected Move7.2%6.2%8.6%8.0%8.6%
HV 20d21.8%20.5%25.0%21.0%25.0%
HV 60d21.0%20.0%22.9%21.3%22.9%
IV Rank6.8%0.0%19.4%5.7%19.4%
IV Percentile7.9%0.0%32.5%17.5%32.5%
Term Structure0.7%-1.2%2.1%-0.2%-0.6%
VWIV24.2%20.1%32.2%28.2%32.2%
Skew 25d4.9%3.3%6.5%4.9%5.2%
Skew 10d10.9%6.0%17.1%8.6%11.7%
Call IV 25d22.7%20.0%27.2%26.7%27.2%
Put IV 25d27.6%23.3%32.4%31.6%32.4%
Bid-Ask Spread %11.778.4114.0610.2213.57
Gamma HHI0.170.140.340.150.14
Net GEX5.3M1.6M16.4M3.2M1.6M
Net DEX-205.3M-336.4M-50.8M-126.5M-50.8M
Net VEX-2.3M-2.5M-2.2M-2.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.165.111.541.03
Total Volume9,251.1361,42724,59116,5427,681
Total OI547,059.318509,670569,503540,131551,059

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$25.68$26.0027.8%8.0%21.0%5.7%28.2%4.9%-0.2%3.2M-126.5M-2.5M1.5410.226,50810,034298,200241,931
2009-10-02$25.35$26.0029.9%8.6%21.2%8.3%26.8%6.5%-1.2%1.8M-77.5M-2.4M0.928.417,4116,824301,130246,331
2009-10-05$25.87$27.0026.2%7.7%21.3%3.7%26.3%6.1%0.4%1.6M-125.2M-2.4M5.1113.211,99310,186298,264250,785
2009-10-06$26.12$27.0026.2%7.8%21.4%3.6%24.1%6.2%-0.1%3.3M-161.7M-2.4M0.5212.9416,1968,395299,449253,438
2009-10-07$26.02$27.0024.0%7.5%20.6%0.8%25.3%5.7%0.6%3.0M-152.8M-2.5M1.3411.962,2573,031308,051254,959
2009-10-08$26.48$27.0023.5%7.6%21.3%0.3%24.8%4.1%0.2%4.4M-205.3M-2.4M1.6913.22530897305,718252,947
2009-10-09$26.55$27.0019.4%6.9%21.2%0.0%23.1%4.8%0.7%5.1M-224.2M-2.4M3.1011.001,3654,232305,714253,217
2009-10-12$26.50$27.0026.4%7.5%21.0%8.4%24.9%5.5%0.0%5.1M-221.5M-2.3M0.8114.062,7332,215305,772255,000
2009-10-13$26.52$27.0018.7%6.7%20.5%0.0%23.3%5.6%1.4%4.8M-221.0M-2.3M1.2611.821,8122,288307,701255,945
2009-10-14$27.29$27.0024.1%6.8%22.6%8.5%23.8%5.1%1.0%11.5M-333.1M-2.3M2.348.702,9236,850308,294255,743
2009-10-15$27.25$27.0023.8%6.8%22.6%7.9%22.2%5.1%0.7%10.4M-336.4M-2.3M0.4512.772,6851,202308,087261,416
2009-10-16$27.06$27.0022.5%6.4%22.3%6.5%23.5%4.0%2.1%16.4M-315.6M-2.3M1.6911.296,05210,218308,128260,624
2009-10-19$27.35$27.0022.6%6.5%22.5%6.6%22.8%3.7%1.4%7.3M-309.1M-2.2M2.738.884,69212,796276,780232,890
2009-10-20$27.16$27.0022.1%6.4%22.3%5.9%20.6%3.7%1.3%6.2M-284.8M-2.3M0.2613.994,0421,056278,213241,974
2009-10-21$26.97$27.0021.9%6.3%22.2%5.4%21.7%4.1%1.7%6.0M-260.6M-2.3M2.6211.721,6864,419280,755240,874
2009-10-22$27.16$27.0021.7%6.2%21.5%5.1%20.1%3.3%1.7%6.3M-284.1M-2.3M0.2612.278,9092,354281,246244,621
2009-10-23$26.68$27.0022.8%6.5%21.9%7.1%22.4%3.5%0.3%5.4M-225.9M-2.3M1.4311.102,4723,532286,472245,943
2009-10-26$26.47$27.0025.1%7.2%20.8%10.9%25.3%3.7%1.6%4.7M-193.2M-2.3M0.4814.053,7821,814288,306247,679
2009-10-27$26.11$27.0024.7%7.1%21.3%10.2%23.1%5.0%1.3%4.0M-166.3M-2.3M1.4114.042,1273,006297,142249,802
2009-10-28$25.57$27.0027.2%7.8%22.3%14.5%24.4%5.9%-0.1%2.3M-95.4M-2.3M4.3410.222,48110,771298,523251,353
2009-10-29$26.18$27.0025.2%7.2%22.1%11.2%23.9%5.2%0.7%3.4M-145.2M-2.3M0.169.516,119949291,588253,241
2009-10-30$25.29$27.0030.0%8.6%25.0%19.4%32.2%5.2%-0.6%1.6M-50.8M-2.2M1.0313.573,7773,904297,189253,870