XLI Options History — August 2010

In August 2010, XLI traded between $28.17 and $31.02. ATM implied volatility averaged 25.6%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.4% (HV 20d: 22.3%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.38.

Notable Days

  • 2010-08-19: Highest Volume — 81,516 contracts
  • 2010-08-11: Largest IV spike — 25.5% change
  • 2010-08-24: Highest IV Rank — 52.4%
  • 2010-08-24: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.60$28.17$31.02$30.89$28.19
Max Pain$29.82$29.00$30.00$29.00$30.00
ATM IV25.6%20.6%29.8%21.8%28.4%
Expected Move7.4%6.2%8.5%6.3%8.1%
HV 20d22.3%19.7%26.2%24.0%21.0%
HV 60d28.2%24.6%31.7%31.7%24.6%
IV Rank39.5%24.0%52.4%27.7%48.0%
IV Percentile65.0%32.9%88.5%38.1%81.7%
Term Structure1.4%0.2%2.8%0.9%0.4%
VWIV27.2%22.0%30.7%22.9%27.1%
Skew 25d7.0%5.0%8.5%5.3%6.3%
Skew 10d14.9%10.0%19.5%10.0%13.6%
Call IV 25d22.8%19.7%25.2%20.2%25.0%
Put IV 25d29.8%24.7%33.7%25.5%31.3%
Bid-Ask Spread %4.773.857.114.567.11
Gamma HHI0.150.120.340.120.15
Net GEX-12.9M-32.3M-3.5M-4.2M-18.8M
Net DEX138.8M-159.2M419.0M-140.4M419.0M
Net VEX-4.0M-4.2M-3.8M-3.9M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.8918.853.755.13
Total Volume24,2157,73181,51614,9787,731
Total OI891,799.682796,507997,572796,507936,039

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$30.89$29.0021.8%6.3%24.0%27.7%22.9%5.3%0.9%-4.2M-140.4M-3.9M3.754.563,15511,823300,123496,384
2010-08-03$30.73$29.0021.7%6.2%24.3%27.5%22.0%5.6%1.0%-5.1M-103.4M-4.0M2.724.607,63820,786301,414502,024
2010-08-04$31.00$29.0021.6%6.2%22.0%27.1%22.8%5.0%1.5%-3.8M-154.1M-3.9M9.565.261,70316,281303,176515,390
2010-08-05$31.02$29.0022.0%6.3%21.9%28.2%24.0%5.0%1.3%-3.6M-145.6M-4.0M0.915.256,7846,148301,088525,694
2010-08-06$30.85$30.0020.6%6.6%22.0%24.0%28.6%6.7%2.5%-4.1M-122.7M-4.0M1.394.5010,76114,988304,803528,870
2010-08-09$31.01$30.0020.8%6.6%21.8%24.5%25.9%6.7%2.4%-3.5M-159.2M-4.0M1.774.475,3469,487312,157537,862
2010-08-10$30.80$30.0020.7%6.5%21.5%24.2%26.3%7.1%2.7%-5.9M-109.4M-4.0M4.235.575,97025,279307,932543,883
2010-08-11$29.65$30.0026.0%7.5%26.0%40.6%29.1%8.3%1.6%-13.0M136.7M-4.1M3.825.029,35735,781311,172564,603
2010-08-12$29.44$30.0028.7%8.2%26.2%49.1%28.9%8.2%0.6%-15.5M187.5M-4.2M5.984.694,46926,735317,034588,930
2010-08-13$29.40$30.0028.8%8.3%22.8%49.5%30.7%8.2%1.0%-16.7M205.1M-4.2M1.474.689,96914,672315,192594,143
2010-08-16$29.34$30.0028.8%8.3%22.8%49.3%28.1%8.2%0.9%-17.8M213.3M-4.2M1.423.946,6109,417321,148603,508
2010-08-17$29.85$30.0025.6%7.3%23.0%39.5%29.7%7.5%2.6%-11.1M84.2M-4.2M0.894.3310,0118,864323,462606,303
2010-08-18$29.96$30.0024.9%7.1%22.9%37.3%26.5%7.2%2.8%-8.0M56.2M-4.1M1.994.018,93917,781326,990607,145
2010-08-19$29.32$30.0028.3%8.1%21.9%47.9%29.6%8.0%1.3%-21.8M218.1M-4.1M18.854.444,10677,410329,889614,841
2010-08-20$29.17$30.0027.1%7.8%20.6%44.1%27.3%7.5%2.4%-32.3M266.2M-4.1M1.463.957,42910,877327,896669,676
2010-08-23$28.85$30.0026.7%7.7%19.7%42.9%25.9%7.7%1.1%-14.0M290.0M-4.0M1.353.856,4088,679297,858588,855
2010-08-24$28.26$30.0029.8%8.5%20.7%52.4%29.8%8.5%0.2%-15.6M391.7M-3.9M1.525.2012,28718,659300,630595,124
2010-08-25$28.21$30.0028.5%8.2%20.7%48.4%29.7%8.0%0.7%-16.6M404.7M-4.0M1.394.8311,90616,503308,475604,266
2010-08-26$28.17$30.0028.8%8.2%20.7%49.2%27.6%7.4%0.6%-16.7M407.8M-3.9M1.924.825,83711,196312,770608,486
2010-08-27$28.74$30.0025.0%7.2%22.2%37.7%26.9%6.5%1.6%-16.6M309.6M-4.0M1.014.987,1077,194316,037613,367
2010-08-30$28.30$30.0028.7%8.2%21.0%49.2%29.4%6.0%0.4%-18.5M397.9M-3.9M1.734.833,8996,748316,247618,707
2010-08-31$28.19$30.0028.4%8.1%21.0%48.0%27.1%6.3%0.4%-18.8M419.0M-3.8M5.137.111,2616,470319,012617,027