XLI Options History — April 2010

In April 2010, XLI traded between $31.44 and $33.36. ATM implied volatility averaged 16.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.2% (HV 20d: 11.3%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.42.

Notable Days

  • 2010-04-22: Highest Volume — 371,385 contracts
  • 2010-04-27: Largest IV spike — 25.8% change
  • 2010-04-27: Highest IV Rank — 29.4%
  • 2010-04-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$31.44$33.36$31.44$32.57
Max Pain$31.76$30.00$33.00$30.00$33.00
ATM IV16.4%13.0%22.0%16.2%20.3%
Expected Move4.9%4.4%6.3%4.6%5.8%
HV 20d11.3%9.0%18.7%10.3%18.7%
HV 60d15.8%14.7%16.8%16.7%16.3%
IV Rank11.8%0.2%29.4%10.2%28.7%
IV Percentile10.3%0.4%37.7%2.4%31.3%
Term Structure1.6%0.5%2.4%2.2%1.4%
VWIV18.3%16.4%22.6%17.2%22.6%
Skew 25d4.3%3.1%5.6%3.1%5.6%
Skew 10d9.4%7.6%11.9%9.3%11.9%
Call IV 25d15.7%14.0%19.6%14.0%19.5%
Put IV 25d20.0%17.1%25.0%17.1%25.0%
Bid-Ask Spread %8.714.2245.815.739.30
Gamma HHI0.190.130.320.150.26
Net GEX4.2M-16.3M23.3M1.4M10.8M
Net DEX-280.8M-516.5M-144.8M-214.3M-226.2M
Net VEX-3.6M-5.5M-2.9M-3.0M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.3126.192.201.80
Total Volume39,161.4763,686371,3856,27214,844
Total OI654,617.333487,7491,027,420487,7491,027,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$31.44$30.0016.2%4.6%10.3%10.2%17.2%3.1%2.2%1.4M-214.3M-3.0M2.205.731,9604,312195,909291,840
2010-04-05$31.67$31.0015.1%4.8%9.4%6.9%22.2%4.7%1.3%1.7M-240.7M-2.9M1.794.713,7306,682194,681293,523
2010-04-06$31.68$31.0014.4%4.8%9.0%4.7%17.4%4.2%1.5%1.5M-240.3M-2.9M1.004.423,2173,202194,764296,323
2010-04-07$31.50$31.0016.5%5.2%9.4%11.5%16.4%4.3%1.3%1.2M-219.3M-2.9M0.944.221,9041,782195,221297,892
2010-04-08$31.60$31.0013.7%4.7%9.4%2.6%17.7%4.4%1.6%1.6M-234.7M-2.9M7.224.611,54011,119195,221297,892
2010-04-09$31.78$31.0013.0%4.6%9.4%0.2%18.4%4.2%1.7%1.7M-249.7M-2.9M1.016.059,3909,489197,009306,612
2010-04-12$31.85$31.0015.1%4.7%9.3%7.1%17.7%4.2%1.4%3.0M-266.4M-2.9M5.414.923,17517,168204,119311,029
2010-04-13$31.90$32.0014.5%4.7%9.3%5.3%17.2%4.3%1.6%-397.7K-251.7M-2.9M1.337.928,58511,441198,163324,496
2010-04-14$32.31$32.0014.8%4.7%9.2%6.0%17.4%4.0%1.7%197.3K-293.0M-2.9M2.576.477,15118,357201,208331,134
2010-04-15$32.62$32.0015.3%4.4%9.5%7.8%17.1%3.8%1.9%-737.1K-319.5M-2.9M0.409.7817,5226,935203,320333,080
2010-04-16$32.09$32.0017.4%5.0%11.6%14.5%17.5%4.5%1.7%-1.8M-277.7M-3.1M1.097.2113,67414,943217,993336,456
2010-04-19$32.03$32.0016.7%4.8%11.1%12.3%17.7%4.5%2.1%-2.1M-216.2M-3.1M2.547.812,5956,581202,046315,662
2010-04-20$32.40$32.0016.4%4.7%11.6%11.5%16.9%4.2%2.2%-1.6M-248.0M-3.1M7.946.541,51712,048202,999319,834
2010-04-21$32.62$32.0015.2%4.4%11.3%7.4%17.3%4.1%2.4%-1.6M-263.5M-3.1M26.197.123,71997,383203,536328,765
2010-04-22$32.92$32.0016.2%4.6%11.0%10.6%16.4%4.2%1.9%-16.3M-144.8M-3.4M0.3145.81284,56286,823205,083417,183
2010-04-23$33.12$32.0016.8%4.8%11.0%12.6%17.5%3.7%1.6%23.3M-480.5M-5.1M1.707.338,72214,866469,182493,141
2010-04-26$33.19$32.0017.5%5.0%11.0%14.8%17.5%3.5%1.3%20.5M-489.9M-5.1M1.009.325,2695,280464,316504,020
2010-04-27$32.39$32.0022.0%6.3%14.5%29.4%21.4%5.0%0.5%12.2M-226.1M-5.2M1.7110.0317,78930,407466,052507,262
2010-04-28$32.62$33.0019.2%5.5%14.6%22.0%21.3%5.4%1.4%13.7M-277.4M-5.3M1.668.929,72116,095473,722523,481
2010-04-29$33.36$33.0018.5%5.3%16.0%21.5%19.5%4.4%1.5%19.6M-516.5M-5.2M2.024.608,91917,973478,501526,874
2010-04-30$32.57$33.0020.3%5.8%18.7%28.7%22.6%5.6%1.4%10.8M-226.2M-5.5M1.809.305,3059,539479,583547,837