XLI Options History — November 2009

In November 2009, XLI traded between $25.58 and $28.13. ATM implied volatility averaged 24.0%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.8% (HV 20d: 25.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.12.

Notable Days

  • 2009-11-03: Highest Volume — 47,264 contracts
  • 2009-11-27: Largest IV spike — 26.1% change
  • 2009-11-03: Highest IV Rank — 17.0%
  • 2009-11-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.31$25.58$28.13$25.58$27.51
Max Pain$25.40$25.00$27.00$27.00$25.00
ATM IV24.0%20.0%28.6%28.3%23.0%
Expected Move7.0%5.7%8.2%8.1%6.6%
HV 20d25.8%21.1%27.4%24.3%21.1%
HV 60d22.3%22.0%23.1%22.4%22.3%
IV Rank9.4%2.7%17.0%16.5%9.3%
IV Percentile9.7%0.8%29.0%27.0%5.2%
Term Structure0.6%-0.3%1.8%-0.1%1.2%
VWIV25.7%21.4%30.2%27.7%25.9%
Skew 25d5.1%3.8%7.0%6.4%5.8%
Skew 10d9.9%7.3%13.5%11.6%9.7%
Call IV 25d22.3%18.6%26.7%26.7%21.8%
Put IV 25d27.4%22.4%33.1%33.1%27.6%
Bid-Ask Spread %6.073.8710.997.744.06
Gamma HHI0.180.130.330.140.15
Net GEX9.8M2.0M20.5M2.0M8.6M
Net DEX-318.3M-443.2M-75.9M-75.9M-336.1M
Net VEX-2.1M-2.6M-1.9M-2.2M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.120.0629.237.1129.23
Total Volume10,587.92,35447,26413,12216,474
Total OI567,280.1540,499596,555554,428553,464

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$25.58$27.0028.3%8.1%24.3%16.5%27.7%6.4%-0.1%2.0M-75.9M-2.2M7.117.741,61911,503298,586255,842
2009-11-03$26.02$27.0028.6%8.2%24.8%17.0%29.4%7.0%0.3%2.9M-124.3M-2.3M0.065.4944,6282,636299,214258,601
2009-11-04$25.97$27.0027.7%7.9%24.8%15.4%30.2%5.6%0.8%4.3M-161.8M-2.6M12.157.195706,926337,955258,600
2009-11-05$26.64$27.0023.8%6.8%25.7%8.8%24.4%5.0%1.7%5.4M-218.9M-2.2M0.075.255,961402301,151262,320
2009-11-06$26.88$25.0023.2%7.3%25.8%7.6%25.7%5.8%0.2%6.4M-248.7M-2.2M0.746.382,4761,835299,017262,557
2009-11-09$27.56$25.0022.5%6.9%27.2%6.5%26.7%5.0%0.1%9.6M-343.6M-2.1M0.9510.992,3312,221300,048263,290
2009-11-10$27.40$25.0023.8%7.3%27.4%8.7%25.5%5.3%-0.1%9.5M-334.4M-2.1M0.535.592,7251,431301,810265,498
2009-11-11$27.61$25.0021.3%6.8%25.6%4.5%24.1%4.9%0.5%10.4M-358.8M-2.1M0.516.492,2481,156301,114263,928
2009-11-12$27.29$25.0025.9%7.4%25.9%12.3%26.2%5.0%-0.0%9.2M-319.6M-2.1M2.068.233,6267,465301,563264,208
2009-11-13$27.50$25.0025.2%7.2%25.9%11.1%26.3%4.7%0.2%10.9M-345.6M-2.1M1.085.213,3523,631302,158270,175
2009-11-16$28.13$25.0024.7%7.1%26.9%10.3%24.7%5.3%0.2%13.5M-431.7M-2.0M0.135.1817,6922,370303,763273,015
2009-11-17$28.08$25.0024.2%6.9%26.7%9.4%28.5%4.8%0.6%19.8M-443.2M-2.0M0.756.403,7632,825314,625273,358
2009-11-18$27.93$25.0023.4%6.7%26.6%8.0%26.0%4.7%0.9%20.5M-424.0M-2.0M0.658.301,427927315,127274,468
2009-11-19$27.51$25.0023.3%6.7%27.2%7.8%23.9%4.8%0.6%16.1M-353.3M-2.0M0.505.812,2991,155313,592273,631
2009-11-20$27.46$25.0024.1%6.9%26.4%9.3%22.7%4.9%0.3%8.9M-344.5M-2.0M1.334.693,3144,402315,546273,560
2009-11-23$27.96$25.0021.4%6.1%26.7%5.5%27.3%4.4%1.7%9.2M-381.0M-1.9M0.644.906,2243,953286,961253,538
2009-11-24$27.73$25.0020.0%5.7%26.4%2.7%22.5%4.2%1.8%9.4M-376.2M-1.9M1.013.8811,88012,046288,136252,603
2009-11-25$27.96$25.0020.0%5.7%24.9%2.8%21.4%3.8%1.7%10.2M-403.2M-1.9M0.943.874,2413,996294,916261,896
2009-11-27$27.42$25.0025.2%7.2%25.2%14.2%24.5%5.4%-0.3%8.5M-342.2M-1.9M1.965.861,3592,669293,906261,862
2009-11-30$27.51$25.0023.0%6.6%21.1%9.3%25.9%5.8%1.2%8.6M-336.1M-1.9M29.234.0654515,929290,195263,269