XLI Options History — March 2010

In March 2010, XLI traded between $29.22 and $31.42. ATM implied volatility averaged 17.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.2% (HV 20d: 13.1%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.53.

Notable Days

  • 2010-03-18: Highest Volume — 651,196 contracts
  • 2010-03-05: Largest IV drop — 13.8% change
  • 2010-03-15: Highest IV Rank — 16.4%
  • 2010-03-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.46$29.22$31.42$29.22$31.24
Max Pain$29.65$28.00$30.00$28.00$30.00
ATM IV17.3%15.8%18.9%18.6%16.3%
Expected Move5.0%4.5%5.4%5.3%4.7%
HV 20d13.1%9.6%20.8%20.8%10.2%
HV 60d17.2%16.7%17.7%17.7%16.7%
IV Rank11.0%6.6%16.4%11.5%9.9%
IV Percentile6.0%1.2%11.9%8.3%3.2%
Term Structure1.9%-0.0%2.9%0.2%2.1%
VWIV17.9%16.0%20.5%18.3%16.4%
Skew 25d3.5%2.4%5.0%4.3%2.8%
Skew 10d8.1%4.9%12.5%12.2%9.1%
Call IV 25d16.0%14.4%17.2%16.6%14.9%
Put IV 25d19.5%17.1%21.4%20.9%17.7%
Bid-Ask Spread %5.993.649.655.705.03
Gamma HHI0.200.140.390.200.15
Net GEX5.5M507.7K21.4M2.8M965.8K
Net DEX-224.2M-376.0M-148.5M-148.5M-194.3M
Net VEX-2.8M-3.0M-2.6M-2.6M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.0217.503.483.97
Total Volume42,639.8263,283651,19622,3606,625
Total OI525,691.652441,332611,021480,406485,315

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$29.22$28.0018.6%5.3%20.8%11.5%18.3%4.3%0.2%2.8M-148.5M-2.6M3.485.704,99017,370212,463267,943
2010-03-02$29.27$28.0018.8%5.4%20.4%12.1%19.1%3.7%-0.0%3.0M-166.1M-2.6M0.448.0910,0704,401216,222282,352
2010-03-03$29.31$28.0018.9%5.4%19.5%12.3%18.8%4.5%0.0%4.0M-175.3M-2.6M3.766.111,3855,205223,120282,132
2010-03-04$29.45$28.0018.7%5.4%19.3%11.9%20.4%3.5%0.1%4.3M-179.3M-2.6M17.509.111,42224,891223,306285,844
2010-03-05$29.90$30.0016.2%5.0%15.6%6.6%20.5%5.0%2.7%4.2M-219.0M-2.8M1.085.3812,70613,706223,860307,216
2010-03-08$29.76$30.0017.4%5.1%15.6%9.2%17.7%4.6%2.4%4.8M-206.2M-2.8M0.456.3111,5195,210232,717318,066
2010-03-09$30.00$30.0017.3%5.1%14.5%9.0%17.6%4.5%2.4%7.3M-241.3M-2.8M1.266.187,1388,993238,818319,402
2010-03-10$30.06$30.0018.0%5.3%13.6%12.9%18.1%4.1%2.2%7.1M-247.5M-2.9M0.806.819,1407,327239,712327,933
2010-03-11$30.17$30.0018.5%5.3%13.4%14.5%17.6%4.2%2.5%8.7M-264.9M-2.9M0.695.6110,4937,202245,831331,839
2010-03-12$30.37$30.0018.4%5.3%12.9%15.4%18.2%4.0%2.4%9.3M-288.6M-2.9M6.065.052,18613,248249,877337,721
2010-03-15$30.37$30.0018.7%5.4%12.2%16.4%19.1%4.2%2.5%7.5M-285.2M-2.9M0.336.354,4001,450248,278350,285
2010-03-16$30.78$30.0017.0%4.9%10.6%11.5%18.6%3.5%2.7%8.0M-336.0M-2.8M0.289.658,1332,248249,676351,148
2010-03-17$30.83$30.0016.8%4.8%10.5%11.1%16.8%3.3%2.6%12.2M-368.1M-2.7M2.287.158,01018,298253,176352,194
2010-03-18$31.04$30.0016.4%4.7%10.4%9.7%17.1%2.6%2.8%21.4M-376.0M-2.7M0.026.54637,71613,480248,563362,458
2010-03-19$30.81$30.0016.5%4.7%11.1%10.1%17.9%3.2%2.9%11.9M-154.8M-2.9M2.374.814,58210,869197,923371,927
2010-03-22$30.90$30.0016.2%4.6%11.1%9.2%18.0%2.9%1.9%1.7M-169.3M-2.8M1.553.887,19311,162180,415260,917
2010-03-23$31.25$30.0015.8%4.5%9.6%8.2%16.0%2.8%2.1%2.0M-201.4M-2.9M5.674.833,25918,467184,144268,879
2010-03-24$31.03$30.0016.5%4.7%10.2%10.2%16.4%2.8%1.7%692.0K-172.6M-3.0M0.435.044,5341,934185,392276,008
2010-03-25$31.01$30.0017.0%4.9%10.1%11.6%17.3%2.9%1.6%507.7K-165.2M-3.0M1.385.852,5253,492187,234278,789
2010-03-26$31.09$30.0016.6%4.7%10.1%10.2%17.2%2.9%2.1%597.5K-173.1M-3.0M1.025.517,8588,006187,331280,041
2010-03-29$31.37$30.0016.6%4.8%9.7%10.5%17.4%3.1%1.8%1.4M-209.0M-3.0M1.575.175,6718,919193,511285,066
2010-03-30$31.42$30.0016.4%4.7%9.7%9.8%16.3%2.4%1.8%1.1M-215.3M-3.0M1.743.641,2002,083194,690291,174
2010-03-31$31.24$30.0016.3%4.7%10.2%9.9%16.4%2.8%2.1%965.8K-194.3M-3.0M3.975.031,3325,293195,145290,170