XLI Options History — June 2010

In June 2010, XLI traded between $27.43 and $30.05. ATM implied volatility averaged 30.9%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 4.5% (HV 20d: 35.4%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.61.

Notable Days

  • 2010-06-17: Highest Volume — 340,260 contracts
  • 2010-06-04: Largest IV spike — 31.3% change
  • 2010-06-07: Highest IV Rank — 89.3%
  • 2010-06-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.00$27.43$30.05$28.94$27.43
Max Pain$30.41$30.00$33.00$33.00$30.00
ATM IV30.9%23.6%41.6%37.4%36.4%
Expected Move8.6%6.8%10.7%10.7%10.4%
HV 20d35.4%31.8%40.1%37.7%32.1%
HV 60d29.3%25.7%31.4%25.7%31.4%
IV Rank55.8%33.1%89.3%76.1%73.0%
IV Percentile80.9%47.6%99.6%98.4%96.0%
Term Structure0.2%-3.1%2.3%-3.1%-0.7%
VWIV31.6%24.6%39.4%39.4%35.2%
Skew 25d9.0%6.9%11.6%11.5%8.7%
Skew 10d18.1%13.4%24.7%20.0%18.2%
Call IV 25d26.5%20.4%32.5%32.5%31.4%
Put IV 25d35.5%28.3%44.0%44.0%40.1%
Bid-Ask Spread %6.844.869.886.435.99
Gamma HHI0.180.130.610.170.21
Net GEX-22.7M-72.4M-13.7M-18.5M-19.4M
Net DEX611.2M148.3M1.04B787.9M489.8M
Net VEX-4.1M-4.5M-3.7M-4.4M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.2612.502.587.84
Total Volume41,962.8644,950340,26036,07253,560
Total OI1,090,370.227690,1181,354,0321,245,498738,127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$28.94$33.0037.4%10.7%37.7%76.1%39.4%11.5%-3.1%-18.5M787.9M-4.4M2.586.4310,08225,990537,954707,544
2010-06-02$29.69$33.0030.4%8.7%38.1%54.4%36.2%8.6%-0.7%-20.8M691.8M-4.5M12.509.884,68258,542542,182738,368
2010-06-03$29.83$33.0029.9%8.6%38.1%52.9%31.6%8.1%-1.1%-19.6M671.2M-4.5M0.495.0718,5439,096542,317734,630
2010-06-04$28.43$30.0039.3%10.1%39.9%82.0%34.1%11.4%-1.2%-21.9M929.4M-4.3M1.558.496,86410,662550,374739,425
2010-06-07$27.70$30.0041.6%10.3%40.1%89.3%33.8%11.6%-1.6%-22.3M1.04B-4.1M1.716.0910,17617,380552,751739,709
2010-06-08$27.99$30.0037.2%9.6%33.9%75.4%38.9%10.9%-0.1%-23.4M1.03B-4.1M6.658.0811,78478,321559,465746,922
2010-06-09$27.99$30.0037.3%9.6%34.0%75.7%32.2%10.6%0.0%-24.9M1.03B-4.1M0.906.398,0257,199566,841774,648
2010-06-10$29.07$30.0030.0%8.6%36.2%53.2%30.5%8.9%0.9%-23.8M826.1M-4.2M1.115.694,4294,920571,838778,835
2010-06-11$29.17$30.0029.0%8.3%36.1%50.1%29.4%8.6%1.1%-24.0M811.0M-4.2M1.404.974,4596,247568,957781,423
2010-06-14$29.14$30.0029.6%8.5%35.5%51.7%31.7%8.5%0.8%-23.7M807.6M-4.1M1.444.863,7525,403570,960783,072
2010-06-15$30.02$30.0026.2%7.5%37.4%41.4%28.5%7.4%1.2%-21.6M604.0M-4.0M1.956.645,89111,488569,964780,194
2010-06-16$29.94$30.0026.1%7.5%37.2%40.9%25.2%7.4%1.4%-22.8M597.0M-4.0M0.977.4610,0809,789561,654779,977
2010-06-17$30.03$30.0025.0%7.2%37.0%37.6%25.7%6.9%1.7%-23.6M560.8M-3.9M0.269.14269,12771,133567,188769,072
2010-06-18$30.00$30.0023.6%6.8%33.1%33.1%24.6%7.9%2.3%-72.4M488.9M-3.8M0.906.9723,59421,256528,048704,903
2010-06-21$30.05$30.0024.8%7.1%32.8%36.8%25.7%8.2%1.0%-13.7M148.3M-4.0M1.547.286,2529,651214,319475,799
2010-06-22$29.32$30.0028.7%8.2%33.6%48.9%29.4%8.2%-0.2%-15.7M248.7M-3.9M2.228.105,60912,445217,917477,353
2010-06-23$29.21$30.0027.6%7.9%33.6%45.7%26.9%8.3%0.5%-16.8M261.4M-3.9M0.336.723,7131,237214,874480,888
2010-06-24$28.70$30.0029.0%8.3%34.2%50.0%31.3%8.8%0.5%-17.3M329.9M-3.8M2.695.887,26519,564215,958477,342
2010-06-25$28.92$30.0027.4%7.9%32.0%45.2%33.4%8.8%1.1%-17.3M304.7M-4.0M1.769.207,74913,667221,383485,184
2010-06-28$28.72$30.0028.0%8.0%31.8%46.9%31.2%8.6%0.8%-17.7M323.4M-3.9M3.755.271,1324,244223,968486,006
2010-06-29$27.61$30.0034.3%9.8%33.8%66.3%39.3%9.8%-1.1%-18.2M464.1M-3.7M2.865.8012,47335,708224,288485,524
2010-06-30$27.43$30.0036.4%10.4%32.1%73.0%35.2%8.7%-0.7%-19.4M489.8M-3.7M7.845.996,06247,498230,821507,306