XLI Options History — July 2010

In July 2010, XLI traded between $27.01 and $30.56. ATM implied volatility averaged 26.7%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.5% (HV 20d: 27.2%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2010-07-14: Highest Volume — 45,436 contracts
  • 2010-07-12: Largest IV spike — 31.6% change
  • 2010-07-01: Highest IV Rank — 66.8%
  • 2010-07-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.89$27.01$30.56$27.35$30.29
Max Pain$28.86$28.00$30.00$30.00$29.00
ATM IV26.7%22.4%34.4%34.4%24.1%
Expected Move7.7%6.4%9.9%9.9%6.9%
HV 20d27.2%24.4%32.0%32.0%24.4%
HV 60d32.5%31.4%33.6%31.4%32.1%
IV Rank42.8%29.4%66.8%66.8%34.7%
IV Percentile67.1%40.9%94.4%94.4%53.6%
Term Structure1.0%0.3%2.0%0.3%1.5%
VWIV27.5%23.7%32.9%32.0%24.5%
Skew 25d7.1%5.5%9.8%8.0%5.7%
Skew 10d14.5%10.9%19.5%17.0%11.7%
Call IV 25d23.9%21.3%30.3%30.3%21.4%
Put IV 25d31.0%26.9%38.2%38.2%27.1%
Bid-Ask Spread %5.684.348.867.676.40
Gamma HHI0.150.130.220.200.13
Net GEX-14.4M-22.4M-8.1M-21.1M-8.1M
Net DEX256.9M-25.7M563.6M526.6M-3.5M
Net VEX-3.8M-4.0M-3.6M-3.8M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.2313.500.820.66
Total Volume21,721.7627,62545,43620,31628,456
Total OI765,476700,289831,445755,494781,842

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$27.35$30.0034.4%9.9%32.0%66.8%32.0%8.0%0.3%-21.1M526.6M-3.8M0.827.6711,1719,145227,800527,694
2010-07-02$27.01$30.0031.1%8.9%27.7%56.6%32.9%7.5%1.9%-21.1M554.8M-3.7M8.064.752,08016,767236,758526,633
2010-07-06$27.06$29.0032.9%9.4%26.3%62.2%32.7%9.8%0.7%-22.4M563.6M-3.6M0.824.9411,2619,258237,479536,645
2010-07-07$28.00$28.0028.2%8.2%28.9%47.7%27.9%8.4%1.0%-19.1M418.1M-3.7M2.074.594,7069,726243,416534,500
2010-07-08$28.36$28.0026.8%8.1%29.3%43.2%25.0%8.0%1.0%-18.5M365.4M-3.8M0.464.5716,3817,490240,067535,584
2010-07-09$28.64$28.0022.5%7.5%26.1%29.8%30.0%7.8%1.1%-16.5M313.7M-3.8M13.504.341,21916,454254,463535,282
2010-07-12$28.49$28.0029.6%8.2%26.1%51.9%28.4%7.9%0.6%-18.1M359.2M-3.7M1.474.564,1906,154253,112542,535
2010-07-13$28.99$28.0025.9%7.7%26.9%40.5%28.1%7.4%0.3%-16.4M260.4M-3.8M5.395.444,03921,783255,505542,125
2010-07-14$29.05$29.0024.8%7.7%24.5%37.0%28.9%7.6%0.7%-16.0M251.5M-3.8M3.744.629,58435,852256,762550,161
2010-07-15$29.04$29.0026.9%7.7%24.5%43.5%28.2%7.4%0.5%-16.4M274.3M-3.9M13.116.881,17715,429264,246567,199
2010-07-16$28.07$29.0028.9%8.3%27.0%49.8%28.7%7.8%0.8%-12.0M422.9M-3.7M1.454.838,47912,323265,119565,913
2010-07-19$28.23$29.0027.4%7.8%27.2%44.9%26.4%7.3%0.9%-14.3M327.8M-3.6M0.676.469,0606,079245,975454,314
2010-07-20$28.67$29.0024.0%6.9%27.9%34.5%24.3%6.6%2.0%-13.9M271.5M-3.7M1.226.059,71211,867249,037457,983
2010-07-21$28.60$29.0025.6%7.3%26.7%39.5%25.8%6.5%1.1%-14.0M281.9M-3.7M3.395.165,99020,324252,151465,028
2010-07-22$29.48$29.0026.0%7.5%28.9%40.8%25.3%6.1%1.1%-12.3M156.3M-3.8M0.926.9214,81013,558251,554474,471
2010-07-23$30.07$29.0023.6%6.8%28.8%33.4%25.0%5.8%1.4%-9.8M53.3M-3.8M0.795.878,8006,983256,452477,388
2010-07-26$30.56$29.0022.4%6.4%29.2%29.4%23.7%5.5%1.3%-8.2M-25.7M-3.8M0.234.786,1871,438260,438479,278
2010-07-27$30.35$29.0025.1%7.2%29.2%38.0%25.2%5.9%0.9%-8.5M3.6M-3.8M0.576.3319,29610,936265,476480,012
2010-07-28$30.27$29.0024.6%7.1%24.7%36.4%26.4%5.6%1.1%-8.3M4.9M-3.9M0.385.306,1142,295277,524487,916
2010-07-29$30.17$29.0025.2%7.2%24.6%38.3%27.1%6.3%0.6%-8.1M14.5M-3.9M1.178.8618,22421,360277,804481,355
2010-07-30$30.29$29.0024.1%6.9%24.4%34.7%24.5%5.7%1.5%-8.1M-3.5M-4.0M0.666.4017,15711,299287,557494,285