XLI Options History — April 2011

In April 2011, XLI traded between $36.55 and $38.70. ATM implied volatility averaged 17.1%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.1% (HV 20d: 13.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 7.97.

Notable Days

  • 2011-04-29: Highest Volume — 169,099 contracts
  • 2011-04-08: Largest IV spike — 31.2% change
  • 2011-04-11: Highest IV Rank — 22.3%
  • 2011-04-11: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$36.55$38.70$37.98$38.70
Max Pain$37.60$37.00$38.00$37.00$38.00
ATM IV17.1%14.7%20.1%15.7%15.7%
Expected Move5.1%4.4%6.0%4.5%4.5%
HV 20d13.0%10.4%16.1%16.1%13.1%
HV 60d15.9%15.7%16.4%15.7%15.8%
IV Rank12.8%5.4%22.3%8.4%8.5%
IV Percentile16.4%3.6%39.3%7.1%5.6%
Term Structure1.4%0.5%2.8%2.8%2.0%
VWIV19.4%15.8%22.4%16.2%21.6%
Skew 25d5.3%3.7%6.6%3.7%4.4%
Skew 10d11.9%9.2%13.4%12.4%11.7%
Call IV 25d15.8%14.1%17.7%14.1%14.6%
Put IV 25d21.1%17.9%23.6%17.9%19.0%
Bid-Ask Spread %25.349.6739.4635.009.67
Gamma HHI0.220.150.350.150.21
Net GEX-56.4M-94.8M-19.3M-25.6M-19.3M
Net DEX224.7M-84.8M548.1M-18.3M-84.8M
Net VEX-4.6M-5.2M-3.8M-4.3M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.970.1657.681.690.50
Total Volume53,712.99,111169,0999,111169,099
Total OI912,254.05772,5021,038,111778,4621,038,111

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$37.98$37.0015.7%4.5%16.1%8.4%16.2%3.7%2.8%-25.6M-18.3M-4.3M1.6935.003,3875,724189,748588,714
2011-04-04$38.06$37.0016.7%5.4%15.4%11.5%18.7%5.2%0.7%-23.6M-59.8M-3.8M5.5914.912,82615,785188,098584,404
2011-04-05$37.89$38.0016.2%5.3%15.0%10.0%21.0%5.7%0.9%-28.4M-11.9M-4.1M13.1619.484,23655,765187,657591,771
2011-04-06$37.93$38.0016.3%5.3%14.9%10.3%22.1%5.1%1.0%-33.6M34.9M-4.4M57.6815.082,431140,218189,647641,395
2011-04-07$37.75$38.0014.7%5.2%13.6%5.4%21.8%5.3%0.9%-55.7M190.7M-4.9M10.3614.812,64427,389190,439775,086
2011-04-08$37.35$38.0019.3%5.9%14.1%19.6%22.4%6.6%0.6%-64.3M311.5M-5.0M10.0233.344,05140,576190,677794,990
2011-04-11$37.34$38.0020.1%6.0%13.8%22.3%19.5%6.1%0.5%-75.3M358.1M-5.1M5.8121.312,23913,018193,104830,476
2011-04-12$37.08$38.0019.3%5.8%13.7%19.5%22.3%5.9%0.6%-86.0M434.8M-5.1M9.1814.125,73052,627193,911832,390
2011-04-13$36.98$38.0017.6%5.8%11.5%14.6%20.8%5.9%0.7%-89.6M454.2M-5.2M11.4339.465,51263,025196,119836,102
2011-04-14$36.98$38.0019.2%5.5%10.5%19.4%19.5%5.9%1.0%-90.3M409.5M-5.0M6.0029.708,62651,716197,542801,077
2011-04-15$37.13$38.0018.2%5.2%10.5%16.3%18.0%5.9%1.7%-94.8M330.5M-4.9M0.7536.1123,31417,393202,150824,241
2011-04-18$36.55$37.0018.3%5.2%10.4%16.5%19.2%6.1%1.6%-65.8M548.1M-4.9M1.0536.445,8856,164158,180688,160
2011-04-19$36.89$37.0017.0%4.9%10.8%12.4%17.0%5.5%1.7%-65.3M444.1M-4.8M2.5038.073,7429,355160,096688,063
2011-04-20$37.61$37.0015.5%4.5%12.6%8.0%15.8%5.5%2.2%-56.7M274.4M-4.5M0.8638.4117,55115,110161,091688,532
2011-04-21$37.60$37.0015.7%4.5%12.1%8.4%19.2%5.1%1.9%-54.4M276.3M-4.6M10.4513.265,48757,347169,832689,825
2011-04-25$37.58$37.0016.2%4.6%12.1%10.1%19.3%4.9%2.4%-59.4M293.2M-4.6M7.7333.963,84629,724171,856702,377
2011-04-26$38.18$37.0017.4%5.0%13.2%13.9%17.6%4.8%0.6%-47.9M142.0M-4.4M0.9933.2313,36113,273173,233716,652
2011-04-27$38.42$38.0017.7%5.1%13.1%14.6%19.1%4.9%1.2%-42.7M97.0M-4.2M3.3811.1410,03533,958176,103722,920
2011-04-28$38.54$38.0015.3%4.4%13.1%7.2%17.4%3.7%2.1%-48.4M69.9M-4.0M0.1619.21113,61918,470171,501748,811
2011-04-29$38.70$38.0015.7%4.5%13.1%8.5%21.6%4.4%2.0%-19.3M-84.8M-4.7M0.509.67112,42556,674283,194754,917