XLI Options History — September 2010

In September 2010, XLI traded between $29.31 and $31.44. ATM implied volatility averaged 22.8%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.2% (HV 20d: 22.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2010-09-16: Highest Volume — 186,895 contracts
  • 2010-09-07: Largest IV spike — 12.7% change
  • 2010-09-01: Highest IV Rank — 40.7%
  • 2010-09-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.65$29.31$31.44$29.31$31.28
Max Pain$29.52$29.00$30.00$30.00$30.00
ATM IV22.8%21.0%26.0%26.0%22.9%
Expected Move6.6%6.2%7.5%7.5%6.6%
HV 20d22.6%15.7%27.2%25.7%15.7%
HV 60d24.0%21.8%25.9%25.8%21.8%
IV Rank30.8%25.2%40.7%40.7%31.2%
IV Percentile48.9%36.5%70.2%70.2%52.0%
Term Structure2.1%0.7%3.6%0.7%1.8%
VWIV23.6%21.8%28.2%27.4%22.1%
Skew 25d5.7%4.4%7.1%5.7%4.9%
Skew 10d10.6%8.8%12.8%11.2%9.8%
Call IV 25d20.8%19.6%22.8%22.8%20.7%
Put IV 25d26.5%24.5%28.8%28.5%25.6%
Bid-Ask Spread %5.233.837.064.386.32
Gamma HHI0.130.100.170.150.11
Net GEX-6.3M-15.1M638.9K-15.1M-1.4M
Net DEX-59.7M-177.5M193.5M193.5M-137.7M
Net VEX-3.7M-3.9M-3.4M-3.9M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.066.571.191.72
Total Volume24,716.3814,119186,89518,97921,851
Total OI861,428.286694,182970,448932,218789,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$29.31$30.0026.0%7.5%25.7%40.7%27.4%5.7%0.7%-15.1M193.5M-3.9M1.194.388,65610,323319,248612,970
2010-09-02$29.68$30.0023.0%6.6%26.3%31.5%25.4%5.6%1.7%-13.7M117.1M-3.9M1.664.524,8818,093319,493615,687
2010-09-03$30.13$29.0021.0%6.6%26.9%25.2%23.6%6.5%2.6%-10.9M8.5M-3.8M1.934.103,6637,083321,580616,731
2010-09-07$29.85$29.0023.7%7.0%27.0%33.5%28.2%7.1%2.1%-14.8M80.8M-3.7M4.993.832,84014,173321,923622,595
2010-09-08$30.16$29.0023.6%7.0%27.2%33.2%24.7%7.1%2.5%-13.2M29.8M-3.8M0.895.267,4206,594322,053634,670
2010-09-09$30.13$29.0024.4%7.0%23.5%35.6%24.0%6.7%2.0%-12.1M21.3M-3.8M3.984.358763,486323,062635,494
2010-09-10$30.40$29.0023.9%6.8%23.4%34.1%22.2%6.3%2.3%-10.9M-36.7M-3.7M1.004.492,0572,062323,563636,331
2010-09-13$30.70$29.0021.8%6.2%23.6%27.5%21.8%5.8%2.6%-7.6M-108.0M-3.6M0.285.265,0061,390324,320635,199
2010-09-14$30.61$29.0021.9%6.3%23.6%27.8%22.4%6.1%2.7%-9.3M-93.5M-3.6M6.575.262,56716,856325,346635,737
2010-09-15$30.61$29.0022.2%6.4%22.9%28.9%22.4%5.9%2.6%-7.2M-91.1M-3.6M1.904.052,8515,424325,051645,397
2010-09-16$30.57$29.0021.8%6.2%22.9%27.6%22.3%6.0%2.9%-8.0M-83.6M-3.6M0.066.34176,40410,491325,862643,954
2010-09-17$30.70$29.0021.6%6.2%21.3%27.0%23.8%6.2%3.6%-4.4M-6.0M-3.6M4.346.733,49515,167289,880646,266
2010-09-20$31.16$30.0021.8%6.3%21.6%27.7%22.7%5.4%2.0%245.1K-141.9M-3.4M1.235.972,4202,982238,280455,902
2010-09-21$31.22$30.0022.8%6.5%20.9%30.6%24.3%4.9%1.7%-209.5K-148.1M-3.4M1.995.636,20512,363238,629460,051
2010-09-22$31.06$30.0022.6%6.5%19.2%30.0%22.2%5.6%1.8%-694.2K-127.6M-3.5M0.446.2112,0735,293242,869464,341
2010-09-23$30.60$30.0022.8%6.5%20.3%30.6%24.7%6.2%1.7%-1.4M-69.5M-3.5M2.435.168,57820,806246,341464,390
2010-09-24$31.44$30.0022.1%6.3%21.7%28.4%21.9%4.5%2.1%638.9K-177.5M-3.5M1.655.2518,74130,939252,174478,291
2010-09-27$31.24$30.0023.2%6.7%21.4%32.0%23.5%4.5%1.4%-681.5K-146.3M-3.8M0.744.9611,2848,392267,713505,509
2010-09-28$31.41$30.0022.8%6.5%20.1%30.9%23.2%4.8%1.7%-318.9K-173.1M-3.8M1.897.065,82511,008270,843509,180
2010-09-29$31.40$30.0023.2%6.7%19.9%32.1%23.5%4.4%1.6%-630.7K-164.7M-3.8M1.894.636,38512,041270,242513,023
2010-09-30$31.28$30.0022.9%6.6%15.7%31.2%22.1%4.9%1.8%-1.4M-137.7M-3.9M1.726.328,03613,815268,565521,239