XLI Options History — May 2011

In May 2011, XLI traded between $36.64 and $38.64. ATM implied volatility averaged 18.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.9% (HV 20d: 14.3%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.09.

Notable Days

  • 2011-05-18: Highest Volume — 208,672 contracts
  • 2011-05-11: Largest IV spike — 21.9% change
  • 2011-05-17: Highest IV Rank — 28.0%
  • 2011-05-17: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.68$36.64$38.64$38.64$37.63
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV18.3%15.6%22.0%17.1%16.1%
Expected Move5.3%4.6%6.3%4.9%4.6%
HV 20d14.3%12.9%15.5%12.9%14.9%
HV 60d15.9%14.6%16.7%15.8%14.6%
IV Rank17.1%8.0%28.0%12.7%10.8%
IV Percentile27.0%4.8%56.0%16.3%7.5%
Term Structure1.1%-0.3%2.2%1.8%0.5%
VWIV19.3%16.3%22.6%18.0%18.6%
Skew 25d5.0%3.0%6.0%4.1%3.6%
Skew 10d10.9%7.7%13.4%8.7%8.2%
Call IV 25d16.7%14.7%19.2%16.3%15.2%
Put IV 25d21.6%18.7%25.2%20.4%18.7%
Bid-Ask Spread %11.126.4124.5310.566.41
Gamma HHI0.210.170.380.250.17
Net GEX-68.1M-167.3M-2.7M-6.4M-66.4M
Net DEX391.4M-156.2M862.3M-156.2M350.8M
Net VEX-5.5M-5.9M-5.1M-5.2M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.1016.340.601.80
Total Volume65,581.4768,563208,672148,35359,348
Total OI1,344,404.7621,198,3561,578,0671,198,3561,332,163

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$38.64$38.0017.1%4.9%12.9%12.7%18.0%4.1%1.8%-6.4M-156.2M-5.2M0.6010.5692,76355,590386,364811,992
2011-05-03$38.48$38.0018.6%5.3%13.0%17.4%16.3%4.3%1.6%-2.7M-117.6M-5.8M1.519.4915,39423,260467,653854,243
2011-05-04$37.92$38.0017.7%5.1%14.0%14.8%17.3%5.0%1.7%-29.2M193.5M-5.9M0.1011.24123,77411,778479,077858,634
2011-05-05$37.83$38.0018.2%5.2%14.0%16.2%20.4%4.9%1.1%-32.7M238.4M-5.9M6.3210.234,20026,536478,210855,332
2011-05-06$38.07$38.0018.4%5.4%14.0%16.8%20.4%5.6%1.4%-45.2M207.9M-5.6M2.0212.0412,79825,848379,903870,562
2011-05-09$38.23$38.0018.0%5.3%13.5%15.7%17.0%5.5%1.6%-34.3M129.5M-5.2M0.6111.865,3333,230383,707878,748
2011-05-10$38.56$38.0015.6%4.9%13.7%8.0%18.4%4.9%2.2%-17.6M-36.2M-5.1M0.689.7026,98318,244383,358878,983
2011-05-11$38.07$38.0018.9%5.8%14.3%18.6%21.3%5.5%0.8%-40.9M145.1M-5.4M3.5710.5118,09264,582396,371887,554
2011-05-12$38.16$38.0019.9%5.7%14.3%21.4%21.1%5.3%1.1%-48.5M167.0M-5.7M1.3310.9214,53819,346404,967937,239
2011-05-13$37.63$38.0020.5%5.9%15.3%23.4%21.1%5.9%0.7%-73.7M399.5M-5.7M5.059.5715,92180,477415,770947,014
2011-05-16$37.54$38.0020.5%5.9%15.3%23.5%21.7%5.8%0.8%-101.5M570.1M-5.8M2.9310.303,3589,848423,9801,009,368
2011-05-17$37.01$38.0022.0%6.3%15.1%28.0%22.6%6.0%0.2%-132.1M862.3M-5.5M4.5210.4723,870107,931428,7441,002,844
2011-05-18$37.53$38.0017.8%5.1%15.5%15.1%20.0%4.5%2.1%-110.6M527.3M-5.6M4.5614.4637,551171,121443,2891,037,075
2011-05-19$37.77$38.0017.6%5.1%14.1%14.5%19.5%4.9%2.2%-99.3M453.9M-5.8M16.349.522,52941,314458,9791,119,088
2011-05-20$37.30$38.0018.8%5.4%14.8%20.5%19.1%5.3%1.8%-167.3M690.5M-5.7M1.3624.5311,28815,368457,2501,084,413
2011-05-23$36.84$38.0019.2%5.5%15.4%21.8%21.5%5.4%-0.3%-78.2M771.5M-5.4M3.478.9310,92337,876412,623843,874
2011-05-24$36.64$38.0018.1%5.2%14.1%18.0%18.6%5.3%-0.0%-83.6M851.7M-5.4M2.239.9910,11422,510419,833866,011
2011-05-25$36.91$38.0017.5%5.0%14.2%15.8%17.3%4.8%-0.1%-94.5M770.0M-5.3M1.268.6829,28436,838421,596878,401
2011-05-26$37.17$38.0016.8%4.8%14.5%13.3%18.0%4.5%0.8%-84.7M640.3M-5.3M3.919.9414,89558,302436,413885,815
2011-05-27$37.29$38.0016.6%4.8%14.4%12.7%16.5%3.0%0.5%-80.1M560.7M-5.4M0.6814.128,4905,766445,883869,177
2011-05-31$37.63$38.0016.1%4.6%14.9%10.8%18.6%3.6%0.5%-66.4M350.8M-5.1M1.806.4121,18638,162454,227877,936