XLI Options History — October 2010

In October 2010, XLI traded between $30.98 and $32.62. ATM implied volatility averaged 21.3%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.7% (HV 20d: 16.6%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2010-10-19: Highest Volume — 64,894 contracts
  • 2010-10-14: Largest IV spike — 34.6% change
  • 2010-10-14: Highest IV Rank — 33.0%
  • 2010-10-04: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.12$30.98$32.62$31.31$32.18
Max Pain$31.67$31.00$32.00$31.00$32.00
ATM IV21.3%17.5%23.5%21.9%22.2%
Expected Move6.4%5.9%7.1%6.3%6.4%
HV 20d16.6%14.9%18.7%15.3%15.3%
HV 60d20.7%19.6%22.4%21.7%19.6%
IV Rank26.2%14.3%33.0%28.1%29.0%
IV Percentile41.3%19.4%59.1%43.7%50.4%
Term Structure1.3%0.4%2.5%2.5%0.4%
VWIV22.9%20.2%25.9%20.2%22.4%
Skew 25d4.6%3.4%6.4%4.7%4.2%
Skew 10d9.2%7.6%10.8%9.3%10.8%
Call IV 25d20.4%18.8%22.0%19.7%20.2%
Put IV 25d25.0%23.0%28.4%24.5%24.3%
Bid-Ask Spread %11.503.6365.564.6619.15
Gamma HHI0.120.100.140.110.14
Net GEX-3.2M-7.7M1.9M-1.5M-7.2M
Net DEX-245.2M-349.1M-82.4M-145.4M-233.3M
Net VEX-3.8M-4.0M-3.5M-3.9M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.041.055.403.803.31
Total Volume19,420.0482,92864,89416,3562,928
Total OI886,281.095802,728966,104802,728965,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$31.31$31.0021.9%6.3%15.3%28.1%20.2%4.7%2.5%-1.5M-145.4M-3.9M3.804.663,40712,949272,663530,065
2010-10-04$30.98$31.0022.7%7.1%15.3%30.5%25.9%6.4%1.2%-3.2M-82.4M-3.9M1.303.635,1776,753273,409537,997
2010-10-05$31.81$31.0020.1%6.6%17.1%22.5%25.1%5.1%1.5%-519.9K-219.2M-3.8M1.083.699,1619,907276,294544,358
2010-10-06$32.00$31.0019.6%6.5%17.0%20.9%23.1%5.0%1.5%-673.7K-240.2M-3.9M1.474.3811,48216,858278,747557,411
2010-10-07$31.93$31.0020.1%6.5%17.0%22.5%24.3%4.9%1.6%-1.2M-219.5M-4.0M1.854.024,8909,051285,282572,988
2010-10-08$32.20$31.0019.1%6.4%17.0%19.1%23.8%4.4%1.6%1.9M-284.5M-3.8M1.055.277,2847,646284,020560,337
2010-10-11$32.11$31.0021.2%6.5%16.9%25.9%22.2%4.7%1.6%1.8M-281.5M-3.7M1.795.194,0277,208285,679563,478
2010-10-12$32.09$32.0021.3%6.5%16.8%26.1%24.8%4.6%1.4%67.7K-258.3M-3.7M2.415.531,3663,289283,238562,425
2010-10-13$32.62$32.0017.5%6.1%17.5%14.3%23.0%3.4%1.6%1.1M-349.1M-3.5M2.634.9012,62133,212283,178562,455
2010-10-14$32.43$32.0023.5%6.7%17.7%33.0%23.0%5.2%1.4%-1.7M-301.4M-3.7M1.985.784,0418,003288,596583,321
2010-10-15$32.23$32.0023.3%6.7%18.0%32.4%23.3%5.4%1.5%-3.5M-269.4M-3.8M1.366.197,1199,715289,100585,823
2010-10-18$32.21$32.0022.3%6.4%17.4%29.3%22.7%5.0%2.0%-4.1M-248.5M-3.7M1.4714.0816,41924,093279,969565,350
2010-10-19$31.78$32.0022.6%6.5%18.2%30.2%22.8%5.1%1.1%-5.4M-152.0M-4.0M2.1111.8720,89344,001294,673578,620
2010-10-20$32.23$32.0021.7%6.2%18.7%27.3%22.3%4.6%1.5%-5.6M-237.1M-4.0M1.667.1410,99018,227309,189615,942
2010-10-21$32.49$32.0021.6%6.2%17.7%27.2%21.8%4.3%1.1%-5.2M-291.6M-4.0M1.8211.449,18916,742313,085630,470
2010-10-22$32.48$32.0021.1%6.1%15.2%25.6%21.8%4.2%1.1%-5.7M-289.0M-4.0M2.2965.561,7984,119314,737640,375
2010-10-25$32.59$32.0020.4%5.9%14.9%23.4%22.3%4.2%0.9%-5.0M-311.0M-3.9M5.4011.551,4137,630314,475641,585
2010-10-26$32.44$32.0021.8%6.3%15.1%27.7%21.6%4.0%0.8%-5.7M-287.1M-3.9M1.2615.535,8907,423315,028642,191
2010-10-27$32.20$32.0021.7%6.2%15.4%27.2%21.6%4.1%0.8%-7.2M-236.8M-3.9M1.4711.534,1576,119318,713644,875
2010-10-28$32.13$32.0021.9%6.3%15.3%27.9%22.1%4.2%0.5%-7.7M-212.7M-3.9M1.3020.384,6186,006320,422645,682
2010-10-29$32.18$32.0022.2%6.4%15.3%29.0%22.4%4.2%0.4%-7.2M-233.3M-3.9M3.3119.156802,248320,124645,534