XLI Options History — December 2009

In December 2009, XLI traded between $27.64 and $28.55. ATM implied volatility averaged 19.5%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 17.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.47.

Notable Days

  • 2009-12-17: Highest Volume — 326,679 contracts
  • 2009-12-22: Largest IV drop — 9.5% change
  • 2009-12-01: Highest IV Rank — 7.8%
  • 2009-12-07: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$27.64$28.55$27.96$27.79
Max Pain$25.82$25.00$27.00$25.00$27.00
ATM IV19.5%16.8%22.3%22.3%16.9%
Expected Move5.7%4.8%6.4%6.4%4.9%
HV 20d17.3%12.2%21.3%21.3%13.0%
HV 60d21.6%19.9%22.3%22.2%20.0%
IV Rank3.2%0.0%7.8%7.8%0.2%
IV Percentile1.5%0.0%3.6%3.6%0.4%
Term Structure2.7%0.7%4.1%0.7%2.7%
VWIV20.8%15.7%36.2%22.3%17.1%
Skew 25d4.4%3.2%5.2%4.3%3.2%
Skew 10d8.7%5.7%10.6%8.3%5.9%
Call IV 25d18.2%15.2%20.7%20.6%16.7%
Put IV 25d22.6%19.1%25.9%24.8%19.9%
Bid-Ask Spread %5.003.307.256.194.29
Gamma HHI0.210.160.270.170.20
Net GEX8.3M2.0M12.4M9.3M2.0M
Net DEX-305.3M-477.3M-112.6M-383.2M-112.6M
Net VEX-1.6M-1.9M-1.5M-1.9M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.0611.690.182.23
Total Volume21,430.4091,714326,6794,7389,868
Total OI508,705.045379,537587,623567,730408,247

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$27.96$25.0022.3%6.4%21.3%7.8%22.3%4.3%0.7%9.3M-383.2M-1.9M0.186.194,009729290,135277,595
2009-12-02$27.88$25.0021.3%6.1%20.9%6.1%24.3%4.6%1.2%9.4M-385.0M-1.8M0.395.901,229485290,693277,623
2009-12-03$27.75$25.0021.9%6.3%21.1%7.3%23.5%4.4%1.2%8.9M-360.8M-1.9M0.536.861,9281,020291,094277,793
2009-12-04$28.17$25.0021.3%6.4%19.9%6.0%21.4%5.0%2.8%10.3M-421.7M-1.8M0.527.257,0813,654290,740278,195
2009-12-07$28.07$25.0021.3%6.4%19.9%6.0%22.7%5.1%3.0%11.1M-425.7M-1.7M3.086.941,2863,956296,292279,807
2009-12-08$27.64$25.0020.5%6.3%18.9%4.0%24.6%5.2%2.9%9.7M-369.0M-1.8M0.724.504,8043,467296,758281,771
2009-12-09$27.77$25.0020.1%6.2%18.8%3.3%23.9%5.2%3.0%10.1M-377.3M-1.8M0.914.891,5951,450300,438282,788
2009-12-10$27.89$25.0020.9%6.0%18.7%5.0%20.8%4.9%3.5%10.8M-399.5M-1.7M0.113.965,315559300,504283,013
2009-12-11$28.17$25.0020.7%5.9%18.4%4.6%21.7%4.9%3.8%11.1M-428.1M-1.7M0.834.652,3971,999298,079283,004
2009-12-14$28.55$25.0019.3%5.5%18.7%1.4%22.0%4.6%4.1%12.2M-477.3M-1.6M0.606.723,9202,360297,378283,505
2009-12-15$28.47$25.0020.9%6.0%17.1%5.1%19.9%4.5%3.4%12.4M-472.9M-1.6M9.324.044293,998300,217284,290
2009-12-16$28.35$25.0020.5%5.9%17.2%4.1%15.7%4.0%3.6%10.9M-459.9M-1.5M2.524.636931,743296,229285,534
2009-12-17$28.04$25.0020.2%5.8%17.5%3.5%36.2%4.8%3.7%10.9M-404.0M-1.6M0.064.33307,95318,726300,723286,900
2009-12-18$27.85$27.0019.9%5.7%16.8%2.8%20.7%4.8%3.7%9.9M-152.5M-1.5M0.744.3613,1399,725217,297289,660
2009-12-21$28.06$27.0018.9%5.4%17.0%0.4%18.8%4.4%2.3%3.9M-147.3M-1.5M0.294.483,8711,122175,925203,612
2009-12-22$28.09$27.0017.1%4.9%15.7%0.0%16.5%3.8%3.0%4.7M-156.0M-1.5M1.284.107,83510,006178,697203,590
2009-12-23$28.14$27.0017.0%4.9%15.4%0.0%17.2%3.8%2.7%4.8M-150.7M-1.5M10.754.375876,312182,873210,452
2009-12-24$28.25$27.0017.2%4.9%15.2%0.2%17.6%4.0%2.6%5.0M-161.1M-1.5M0.173.302,626437181,452215,913
2009-12-28$28.20$27.0017.8%5.1%13.3%1.6%17.6%3.9%1.9%5.5M-159.9M-1.5M3.715.271,1274,181186,257216,249
2009-12-29$28.28$27.0017.0%4.9%13.3%0.0%17.0%3.6%2.3%5.5M-162.5M-1.5M11.694.858279,668184,222219,011
2009-12-30$28.14$27.0016.8%4.8%12.2%0.0%17.0%4.1%2.6%4.4M-148.9M-1.5M3.744.047082,645184,368222,588
2009-12-31$27.79$27.0016.9%4.9%13.0%0.2%17.1%3.2%2.7%2.0M-112.6M-1.5M2.234.293,0586,810184,391223,856