XLI Options History — November 2010

In November 2010, XLI traded between $31.98 and $33.43. ATM implied volatility averaged 20.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 6.2% (HV 20d: 14.4%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 5.56.

Notable Days

  • 2010-11-24: Highest Volume — 141,118 contracts
  • 2010-11-26: Largest IV spike — 20.7% change
  • 2010-11-26: Highest IV Rank — 33.0%
  • 2010-11-26: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.67$31.98$33.43$32.18$32.61
Max Pain$31.24$31.00$32.00$32.00$31.00
ATM IV20.6%18.2%23.5%22.7%23.1%
Expected Move6.0%5.3%6.7%6.5%6.6%
HV 20d14.4%11.8%17.5%14.7%17.5%
HV 60d17.7%15.6%19.6%19.6%15.6%
IV Rank24.0%16.5%33.0%30.3%31.7%
IV Percentile39.9%21.4%65.5%54.0%63.1%
Term Structure-0.1%-3.4%1.4%0.5%-1.5%
VWIV22.1%19.8%25.2%22.9%22.9%
Skew 25d5.1%3.4%11.4%4.1%5.6%
Skew 10d10.7%6.3%18.8%8.3%10.3%
Call IV 25d18.8%14.4%21.7%20.7%21.7%
Put IV 25d23.9%20.9%27.3%24.8%27.3%
Bid-Ask Spread %23.373.0473.599.6717.29
Gamma HHI0.160.110.210.140.16
Net GEX-3.6M-19.3M4.1M-7.2M243.5K
Net DEX-361.9M-533.8M-167.2M-234.9M-362.6M
Net VEX-3.2M-3.8M-2.4M-3.8M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.560.3839.631.871.39
Total Volume21,993.2383,992141,1187,42022,482
Total OI957,950.381817,907991,763964,870927,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$32.18$32.0022.7%6.5%14.7%30.3%22.9%4.1%0.5%-7.2M-234.9M-3.8M1.879.672,5834,837320,124644,746
2010-11-02$32.49$32.0023.3%6.7%11.9%32.2%22.4%3.9%-0.1%-5.6M-301.1M-3.7M0.8811.235,3804,717321,221645,756
2010-11-03$32.54$32.0019.4%5.6%11.8%20.1%21.3%3.6%0.9%-4.0M-350.7M-3.5M2.5613.965,16813,211324,587647,698
2010-11-04$33.23$32.0019.1%5.5%13.7%19.3%19.9%3.4%1.4%-908.9K-481.7M-3.4M0.715.4725,16417,823325,569657,325
2010-11-05$33.43$31.0018.3%5.8%13.6%16.7%22.1%3.8%0.5%1.6M-533.8M-3.3M1.5873.591,6712,639333,996657,767
2010-11-08$33.29$31.0018.6%5.9%13.6%17.7%21.0%4.0%0.2%647.3K-509.0M-3.2M2.6160.911,7154,474323,998647,799
2010-11-09$32.99$31.0018.9%6.0%14.2%18.7%21.0%4.5%0.0%-1.2M-455.9M-3.1M3.1337.152,7158,492324,231647,354
2010-11-10$32.98$31.0018.2%5.9%13.0%16.5%20.4%4.8%0.5%-2.9M-411.1M-3.3M0.7122.124,3303,069324,998652,512
2010-11-11$32.80$31.0019.9%5.7%13.0%21.6%20.4%4.8%-0.0%-3.4M-393.6M-3.3M0.3828.4126,43310,017327,197652,775
2010-11-12$32.41$31.0022.2%6.4%13.5%29.0%21.7%5.1%-0.4%-8.5M-285.9M-3.4M1.6713.685,1128,555320,589656,876
2010-11-15$32.51$31.0020.4%5.8%13.6%23.2%22.5%5.0%0.4%-8.7M-320.5M-3.2M1.508.913,1014,659319,508655,621
2010-11-16$31.98$31.0022.8%6.5%14.0%30.7%24.7%5.8%-0.3%-15.5M-167.2M-3.4M4.5534.613,31915,086319,329657,471
2010-11-17$32.01$31.0022.6%6.5%13.0%30.0%25.2%5.7%-0.2%-19.3M-181.7M-3.3M3.6212.877,32926,537320,077659,002
2010-11-18$32.66$31.0019.3%5.5%14.7%19.9%21.5%4.9%0.6%-6.2M-378.3M-3.0M2.7624.653,76010,371321,929661,023
2010-11-19$32.76$31.0018.4%5.3%14.7%17.0%19.8%4.9%1.3%2.4M-396.2M-3.0M1.0010.5714,07914,133319,544661,270
2010-11-22$32.69$31.0019.1%5.5%14.7%19.1%21.6%5.0%0.7%2.0M-417.0M-2.6M2.5321.214,16410,547305,560621,881
2010-11-23$32.24$31.0021.5%6.2%15.4%26.7%21.9%5.3%-0.8%-1.1M-283.5M-3.0M3.7524.452,85710,723307,039627,743
2010-11-24$32.97$31.0019.5%5.6%17.1%20.5%21.9%4.8%-0.4%4.1M-437.1M-2.7M39.6331.773,473137,645307,519621,388
2010-11-26$32.70$32.0023.5%6.7%17.4%33.0%23.5%11.4%-3.4%-3.5M-315.3M-2.4M38.143.041023,890249,027568,880
2010-11-29$32.69$31.0022.3%6.4%17.4%29.1%25.1%5.7%-1.4%314.5K-381.9M-2.7M1.7125.112,0253,471307,936620,326
2010-11-30$32.61$31.0023.1%6.6%17.5%31.7%22.9%5.6%-1.5%243.5K-362.6M-2.8M1.3917.299,41813,064307,684620,083