XLI Options History — May 2010

In May 2010, XLI traded between $28.96 and $33.22. ATM implied volatility averaged 32.6%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.8% (HV 20d: 33.4%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.01.

Notable Days

  • 2010-05-21: Highest Volume — 148,993 contracts
  • 2010-05-04: Largest IV spike — 30.9% change
  • 2010-05-07: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.69$28.96$33.22$33.22$29.60
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV32.6%19.9%45.1%19.9%30.2%
Expected Move9.3%5.7%12.9%5.7%8.7%
HV 20d33.4%19.6%38.8%19.6%38.3%
HV 60d21.7%15.3%25.5%15.3%25.5%
IV Rank67.4%27.9%100.0%27.9%53.8%
IV Percentile84.9%29.0%100.0%29.0%84.9%
Term Structure-1.2%-6.2%1.4%1.4%-0.2%
VWIV33.1%20.7%41.4%20.7%33.3%
Skew 25d10.1%4.6%16.9%4.6%10.1%
Skew 10d20.4%9.9%34.7%11.4%17.5%
Call IV 25d28.2%17.9%37.5%17.9%27.4%
Put IV 25d38.2%22.5%54.4%22.5%37.5%
Bid-Ask Spread %9.814.8944.974.895.89
Gamma HHI0.190.130.270.270.16
Net GEX-3.0M-17.0M16.1M16.1M-16.1M
Net DEX287.2M-466.1M739.2M-466.1M664.2M
Net VEX-5.1M-5.5M-4.6M-5.3M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.9311.636.691.46
Total Volume43,505.9519,216148,99354,96634,346
Total OI1,135,133.11,028,0481,241,6541,028,0481,233,986

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$33.22$33.0019.9%5.7%19.6%27.9%20.7%4.6%1.4%16.1M-466.1M-5.3M6.694.897,14847,818480,149547,899
2010-05-04$32.17$33.0026.0%7.5%23.2%52.5%25.8%5.1%-0.2%5.4M-77.0M-5.5M1.335.1715,58620,708484,311562,790
2010-05-05$31.76$33.0026.9%7.7%23.6%56.1%28.8%5.9%-0.4%5.6M-5.5M-5.3M1.564.987,74412,075487,396541,566
2010-05-06$30.71$33.0034.0%9.7%26.4%84.3%34.4%4.6%-1.9%664.0K214.8M-5.2M2.4013.4215,36436,857492,183538,700
2010-05-07$30.03$33.0041.1%10.9%27.3%100.0%38.2%10.7%-2.8%-838.7K323.5M-5.1M3.0115.0617,64153,115499,297545,137
2010-05-10$31.75$33.0030.5%8.3%34.3%62.6%29.4%9.4%0.1%6.6M-15.7M-5.5M1.0344.9724,26724,890510,029570,174
2010-05-11$31.66$33.0029.4%8.2%34.3%58.7%30.7%8.9%-0.2%4.4M20.1M-5.5M2.3212.6314,66833,998505,888581,188
2010-05-12$32.36$33.0027.8%7.9%34.9%52.8%29.0%8.1%-0.2%11.0M-197.8M-5.5M1.269.328,48810,728516,654594,471
2010-05-13$31.86$33.0027.8%8.0%35.2%52.8%32.0%8.2%-0.2%7.0M-43.2M-5.5M11.639.072,19525,535521,194598,698
2010-05-14$31.19$33.0032.0%9.2%35.5%67.9%32.8%10.1%-1.8%-1.6M186.5M-5.5M5.1310.946,53933,517520,683617,967
2010-05-17$31.11$33.0032.0%9.2%35.5%67.8%31.9%10.0%-1.4%-5.4M225.4M-5.3M3.346.297,91826,478525,028629,472
2010-05-18$30.72$33.0033.3%9.6%35.3%72.5%37.3%11.6%-1.3%-6.3M339.4M-5.3M5.546.763,95221,883525,757634,470
2010-05-19$30.33$33.0036.5%10.5%35.3%83.8%34.3%12.4%-2.1%-10.2M461.2M-5.2M1.907.4412,34723,435525,905644,783
2010-05-20$29.01$33.0045.1%12.9%37.8%100.0%41.4%16.9%-6.2%-9.9M701.5M-4.9M1.128.9624,39227,418529,349649,882
2010-05-21$29.42$33.0040.8%11.7%38.3%86.6%40.7%15.5%-3.4%-7.4M679.5M-4.8M2.896.7438,270110,723541,697653,878
2010-05-24$28.98$33.0038.1%10.9%38.3%78.4%39.1%14.5%-1.7%-12.8M707.7M-4.7M2.546.889,05022,945540,089662,182
2010-05-25$28.96$33.0035.7%10.2%37.7%70.9%39.2%13.3%-0.4%-15.7M737.5M-4.6M2.465.409,40323,108536,883677,189
2010-05-26$29.02$33.0034.9%10.0%37.6%68.2%37.0%11.6%-1.4%-17.0M739.2M-4.7M1.676.3313,38722,394540,143693,941
2010-05-27$30.00$33.0029.4%8.4%38.8%51.4%26.3%9.8%-0.2%-13.2M549.0M-4.8M0.935.0810,2379,552546,255695,399
2010-05-28$29.60$33.0030.2%8.7%38.3%53.8%33.3%10.1%-0.2%-16.1M664.2M-4.6M1.465.8913,96720,379533,251700,735