XLI Options History — March 2011

In March 2011, XLI traded between $35.35 and $37.66. ATM implied volatility averaged 21.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.7% (HV 20d: 19.6%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 4.24.

Notable Days

  • 2011-03-17: Highest Volume — 464,671 contracts
  • 2011-03-16: Largest IV spike — 21.6% change
  • 2011-03-16: Highest IV Rank — 50.3%
  • 2011-03-16: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.66$35.35$37.66$36.23$37.66
Max Pain$36.35$35.00$37.00$35.00$36.00
ATM IV21.2%16.3%29.1%22.9%16.3%
Expected Move6.1%4.7%8.4%6.6%4.7%
HV 20d19.6%15.4%22.9%16.2%16.5%
HV 60d14.5%12.1%15.7%12.1%15.6%
IV Rank25.8%10.4%50.3%30.8%10.4%
IV Percentile48.4%10.3%87.7%63.9%10.3%
Term Structure0.7%-1.8%2.2%-1.0%2.1%
VWIV22.9%19.4%29.6%23.0%20.7%
Skew 25d6.0%4.4%8.5%5.5%5.3%
Skew 10d13.1%9.4%19.4%10.3%12.6%
Call IV 25d18.8%15.7%25.1%20.7%15.7%
Put IV 25d24.9%20.9%33.6%26.2%21.0%
Bid-Ask Spread %18.774.7450.426.1140.88
Gamma HHI0.170.120.660.130.14
Net GEX-23.8M-121.2M-5.3M-10.8M-26.2M
Net DEX71.7M-164.8M290.8M12.7M61.7M
Net VEX-3.3M-4.3M-2.7M-2.7M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.240.0516.402.0710.99
Total Volume58,935.878,888464,6718,88844,194
Total OI674,335.522517,837785,615593,907757,121

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$36.23$35.0022.9%6.6%16.2%30.8%23.0%5.5%-1.0%-10.8M12.7M-2.7M2.076.112,8915,997193,447400,460
2011-03-02$36.33$35.0022.3%6.4%15.4%29.1%22.1%5.5%-0.5%-10.4M-9.5M-2.7M0.6711.8515,14110,150194,402403,267
2011-03-03$37.31$35.0019.1%5.5%18.2%19.1%19.5%4.5%-0.3%-5.3M-164.8M-2.7M2.334.748,28719,347202,580409,616
2011-03-04$36.89$37.0018.9%5.5%18.7%18.6%19.4%5.5%1.0%-9.5M-92.2M-2.7M1.065.224,8475,116203,420413,861
2011-03-07$36.50$37.0022.5%6.1%19.0%29.6%20.3%5.8%0.2%-12.5M-32.2M-2.7M1.295.837,4419,586205,148415,954
2011-03-08$37.00$37.0019.7%5.7%19.3%20.9%21.2%5.7%1.2%-7.7M-132.6M-2.7M1.434.7817,20724,655210,442420,117
2011-03-09$36.89$37.0020.1%5.8%19.2%22.2%23.6%5.9%1.4%-7.2M-115.6M-2.7M2.555.927,47219,042218,514433,019
2011-03-10$36.30$37.0023.9%6.8%20.0%34.0%26.5%6.5%-0.1%-13.1M41.1M-2.8M8.245.4910,28184,707218,824440,766
2011-03-11$36.59$37.0021.1%6.1%20.1%25.5%22.9%6.1%1.0%-21.3M19.8M-3.0M1.568.3311,88418,484221,665508,425
2011-03-14$36.34$37.0023.4%6.7%20.0%32.5%29.6%6.6%0.1%-26.9M94.2M-3.0M7.3313.223,20823,514230,429515,724
2011-03-15$36.03$37.0024.0%6.9%20.1%34.2%23.8%7.2%0.0%-25.4M153.3M-2.9M1.6641.7412,57420,873226,604502,055
2011-03-16$35.35$37.0029.1%8.4%21.0%50.3%28.2%8.5%-1.8%-23.3M266.2M-3.0M1.2950.4237,64748,716231,829505,281
2011-03-17$35.87$37.0025.4%7.3%21.7%38.8%29.3%8.0%-0.1%-26.8M153.3M-3.3M0.0520.32443,45121,220255,769529,846
2011-03-18$36.00$37.0024.0%6.9%21.8%34.2%24.1%7.6%1.0%-121.2M290.8M-3.3M1.3621.2432,82644,735202,011540,531
2011-03-21$36.65$36.0020.5%5.9%22.9%23.3%23.5%6.6%1.1%-13.2M62.1M-3.4M11.1124.105,58562,055158,070359,767
2011-03-22$36.49$36.0022.0%6.3%20.8%28.1%22.0%6.3%1.0%-18.3M137.3M-3.6M16.4027.417,348120,489161,138394,157
2011-03-23$36.59$36.0019.3%5.5%20.2%19.8%22.5%5.4%1.3%-29.9M238.4M-4.2M9.9713.573,39033,810163,269508,377
2011-03-24$37.00$36.0018.8%5.4%20.6%18.2%20.7%4.4%1.9%-28.3M158.4M-4.2M1.8941.613,3666,364165,989530,800
2011-03-25$37.09$36.0018.9%5.4%20.3%18.6%21.1%5.5%1.8%-27.0M147.8M-4.2M3.8224.834,95618,945167,777531,436
2011-03-28$37.07$36.0019.9%5.7%20.3%21.6%21.0%5.9%1.7%-29.5M168.2M-4.2M2.1918.755,66812,441168,435539,134
2011-03-29$37.39$36.0019.4%5.6%18.9%19.9%21.0%5.6%1.5%-26.5M103.7M-4.2M6.5615.002,13914,022172,825547,831
2011-03-30$37.55$36.0017.1%4.9%18.9%12.9%20.4%5.0%2.2%-26.2M86.9M-4.2M1.6120.4415,13524,319173,744555,841
2011-03-31$37.66$36.0016.3%4.7%16.5%10.4%20.7%5.3%2.1%-26.2M61.7M-4.3M10.9940.883,68640,508185,608571,513