XLI Options History — January 2011

In January 2011, XLI traded between $35.07 and $36.55. ATM implied volatility averaged 16.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 9.1% (HV 20d: 7.6%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.20.

Notable Days

  • 2011-01-24: Highest Volume — 57,874 contracts
  • 2011-01-13: Largest IV spike — 28.8% change
  • 2011-01-28: Highest IV Rank — 18.2%
  • 2011-01-10: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.75$35.07$36.55$35.12$36.24
Max Pain$34.55$33.00$36.00$33.00$36.00
ATM IV16.8%13.0%18.8%17.1%17.9%
Expected Move5.0%4.3%5.4%4.9%5.1%
HV 20d7.6%5.3%11.7%7.5%11.7%
HV 60d13.2%12.7%13.8%13.8%13.8%
IV Rank11.9%0.2%18.2%12.9%15.2%
IV Percentile15.3%0.8%30.6%17.5%25.0%
Term Structure1.4%0.5%2.2%2.1%1.3%
VWIV18.4%16.7%20.2%17.2%18.1%
Skew 25d4.3%3.2%5.3%3.2%5.0%
Skew 10d8.8%6.1%11.4%9.4%11.4%
Call IV 25d15.7%14.5%17.2%15.7%15.6%
Put IV 25d20.0%18.3%22.4%18.9%20.6%
Bid-Ask Spread %7.633.5122.4211.424.51
Gamma HHI0.180.110.230.140.16
Net GEX1.4M-8.8M4.5M3.4M-8.8M
Net DEX-229.6M-323.5M-108.2M-212.9M-126.7M
Net VEX-1.7M-2.1M-1.5M-1.6M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.2516.935.136.09
Total Volume18,123.92,52457,8746,81230,560
Total OI670,971.05364,436809,834739,384476,478

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$35.12$33.0017.1%4.9%7.5%12.9%17.2%3.2%2.1%3.4M-212.9M-1.6M5.1311.421,1115,701148,189591,195
2011-01-04$35.07$33.0016.9%4.8%7.5%12.3%19.0%3.6%2.1%3.1M-216.1M-1.5M0.2511.4218,2514,576139,961595,139
2011-01-05$35.25$33.0016.5%4.7%7.6%11.2%18.7%3.4%2.2%4.1M-238.2M-1.6M1.6718.524,6247,699148,159597,904
2011-01-06$35.19$33.0016.7%4.8%7.5%11.7%17.0%3.3%2.1%4.5M-239.6M-1.6M16.9322.4289915,221150,525601,832
2011-01-07$35.26$35.0016.3%5.4%7.4%10.6%19.8%4.5%1.2%3.4M-220.3M-1.8M1.763.885,1789,090151,035615,721
2011-01-10$35.31$34.0016.8%5.4%6.9%12.1%17.6%4.5%1.0%2.0M-227.6M-1.7M0.353.513,5081,244152,098624,332
2011-01-11$35.44$34.0016.0%5.3%7.0%9.5%19.1%4.4%1.4%3.3M-243.3M-1.7M4.446.784642,060154,611624,899
2011-01-12$35.73$35.0013.0%4.8%7.3%0.2%18.1%4.0%1.8%4.0M-281.3M-1.6M2.028.892,5065,060154,582625,902
2011-01-13$35.77$35.0016.7%4.8%7.0%11.7%17.6%4.1%1.6%4.3M-285.0M-1.6M0.946.191,9781,856156,161626,822
2011-01-14$35.91$35.0016.2%4.6%6.2%10.0%17.8%4.0%1.6%4.4M-300.5M-1.6M2.445.751,3883,388157,183627,835
2011-01-18$36.17$35.0016.5%4.7%5.3%11.1%17.3%3.4%1.5%3.2M-323.5M-1.5M2.454.112,9767,290157,298630,418
2011-01-19$35.79$35.0017.3%5.0%7.0%13.5%17.9%4.3%1.6%3.6M-291.3M-1.6M2.246.425,83313,043158,621631,739
2011-01-20$35.61$35.0017.4%5.0%7.0%13.7%18.4%4.5%1.6%3.2M-265.7M-1.7M1.295.332,7333,526163,453642,411
2011-01-21$35.90$35.0017.3%5.0%7.4%13.6%18.8%5.3%1.5%-1.1M-301.0M-1.5M1.014.6010,74810,863165,166644,668
2011-01-24$36.24$35.0017.7%5.1%7.8%14.7%19.5%4.7%1.1%3.1M-186.4M-1.6M4.155.2111,24446,630126,637237,799
2011-01-25$36.20$35.0017.8%5.1%7.9%15.0%20.2%5.1%0.8%-1.4M-163.1M-1.8M1.256.4413,69417,064135,027280,335
2011-01-26$36.41$35.0017.3%5.0%7.9%13.6%19.0%4.2%0.5%-3.2M-167.2M-1.9M1.707.0313,03722,186136,719291,059
2011-01-27$36.55$35.0015.1%4.3%7.9%6.6%16.7%4.7%1.1%-829.6K-194.5M-1.9M1.024.435,9166,015147,317298,328
2011-01-28$35.83$35.0018.8%5.4%11.1%18.2%19.4%5.2%0.7%-5.8M-108.2M-2.1M6.955.805,44737,871149,838302,025
2011-01-31$36.24$36.0017.9%5.1%11.7%15.2%18.1%5.0%1.3%-8.8M-126.7M-2.1M6.094.514,31226,248152,495323,983