XLI Options History — December 2010

In December 2010, XLI traded between $33.45 and $34.89. ATM implied volatility averaged 18.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.7% (HV 20d: 15.6%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.45.

Notable Days

  • 2010-12-16: Highest Volume — 411,317 contracts
  • 2010-12-13: Largest IV spike — 14.4% change
  • 2010-12-13: Highest IV Rank — 29.7%
  • 2010-12-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.47$33.45$34.89$33.45$34.87
Max Pain$31.50$30.00$34.00$31.00$33.00
ATM IV18.3%15.8%22.5%22.4%17.1%
Expected Move5.1%4.5%6.4%6.4%4.9%
HV 20d15.6%7.2%20.0%19.3%7.2%
HV 60d15.6%13.8%16.4%16.2%13.8%
IV Rank16.7%9.1%29.7%29.5%13.1%
IV Percentile24.0%5.2%56.7%56.3%17.9%
Term Structure2.0%-1.7%3.3%-1.7%2.4%
VWIV19.4%14.2%23.0%23.0%18.1%
Skew 25d3.9%3.0%4.9%4.9%3.8%
Skew 10d9.4%7.0%13.8%9.2%8.9%
Call IV 25d16.6%14.9%19.4%19.4%16.2%
Put IV 25d20.5%18.8%24.3%24.3%19.9%
Bid-Ask Spread %30.852.6766.709.332.67
Gamma HHI0.160.110.210.210.14
Net GEX4.0M-4.1M10.2M6.6M166.7K
Net DEX-445.6M-797.4M-112.6M-576.2M-177.6M
Net VEX-1.8M-2.3M-1.5M-2.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.0012.666.510.54
Total Volume30,061.1361,351411,31713,07414,930
Total OI847,473.773690,094985,595945,942720,021

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$33.45$31.0022.4%6.4%19.3%29.5%23.0%4.9%-1.7%6.6M-576.2M-2.3M6.519.331,74211,332315,508630,434
2010-12-02$33.97$31.0019.9%5.7%20.0%21.7%19.9%3.6%-0.4%6.1M-617.8M-2.3M0.5812.6918,02010,468306,114634,658
2010-12-03$34.04$31.0018.6%5.3%18.7%17.7%18.8%3.0%0.0%9.1M-654.2M-2.1M3.1217.633,99812,466308,216635,040
2010-12-06$34.02$30.0019.0%5.3%18.6%18.9%19.5%4.0%2.8%9.6M-648.9M-2.1M0.6547.801,7841,162309,056639,771
2010-12-07$34.11$30.0019.9%5.4%18.5%21.6%22.0%3.7%2.8%9.8M-666.5M-2.1M1.5316.075,2308,015309,259639,518
2010-12-08$33.99$30.0019.4%5.4%18.2%20.3%20.4%3.7%2.8%10.2M-687.0M-1.9M12.6626.801,37517,402311,076640,066
2010-12-09$34.09$30.0019.0%5.3%18.2%18.8%19.2%3.6%2.9%8.4M-670.4M-2.0M3.1349.441,5254,774309,677646,299
2010-12-10$34.40$30.0019.7%5.3%18.2%21.0%20.2%4.5%2.6%9.4M-725.5M-1.9M3.9161.833,61214,138310,256649,564
2010-12-13$34.42$30.0022.5%5.4%17.4%29.7%21.6%4.7%2.4%8.6M-707.7M-1.9M1.0161.657,5227,624309,635656,932
2010-12-14$34.58$30.0020.4%5.0%17.4%23.4%19.0%3.3%2.5%8.7M-797.4M-1.5M4.3642.304,67220,347311,690656,571
2010-12-15$34.44$30.0018.8%5.4%16.1%18.2%19.2%3.6%2.7%8.7M-762.4M-1.7M1.035.242,5022,574315,048670,547
2010-12-16$34.82$30.0017.0%4.9%16.2%12.6%14.2%3.4%2.9%8.1M-778.6M-1.6M0.005.29409,8791,438307,774670,811
2010-12-17$34.54$33.0016.5%4.7%15.7%11.2%21.2%4.0%3.3%-4.1M-112.6M-1.7M3.7513.622,73910,262121,931671,201
2010-12-20$34.53$32.0015.8%4.5%15.7%9.2%18.7%3.7%2.0%-103.2K-143.8M-1.5M0.9462.606,8456,420115,677574,417
2010-12-21$34.81$33.0016.2%4.6%15.7%10.2%18.0%4.2%1.9%-1.9M-145.4M-1.6M4.2266.702,60110,982120,587577,606
2010-12-22$34.89$33.0015.8%4.5%14.4%9.1%16.7%4.0%2.0%-2.4M-154.8M-1.6M1.6412.832,4874,073121,709583,125
2010-12-23$34.82$33.0016.2%4.7%12.7%10.4%18.5%4.0%2.1%-2.1M-151.8M-1.6M0.8414.58733618122,670586,270
2010-12-27$34.88$34.0016.8%4.8%12.1%12.2%18.7%4.6%2.0%-3.2M-124.9M-1.5M1.7744.946141,086109,952582,460
2010-12-28$34.86$33.0017.1%4.9%12.1%13.2%20.3%4.0%2.1%-2.1M-153.3M-1.6M0.2445.876,5391,542123,180586,320
2010-12-29$34.89$33.0016.9%4.8%11.9%12.3%18.0%3.6%2.4%-511.5K-168.2M-1.5M0.1346.609,9201,284126,632585,860
2010-12-30$34.83$33.0016.8%4.8%8.7%12.2%20.9%3.8%2.6%488.9K-177.9M-1.6M1.3512.131,7342,335135,396585,889
2010-12-31$34.87$33.0017.1%4.9%7.2%13.1%18.1%3.8%2.4%166.7K-177.6M-1.6M0.542.679,7015,229132,915587,106