XLI Options History — June 2011

In June 2011, XLI traded between $35.19 and $37.24. ATM implied volatility averaged 20.2%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.3% (HV 20d: 18.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.21.

Notable Days

  • 2011-06-16: Highest Volume — 120,084 contracts
  • 2011-06-15: Largest IV spike — 21.7% change
  • 2011-06-16: Highest IV Rank — 43.9%
  • 2011-06-16: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.95$35.19$37.24$36.40$37.24
Max Pain$36.36$36.00$38.00$38.00$36.00
ATM IV20.2%17.9%23.3%21.0%18.0%
Expected Move5.8%5.1%6.7%6.0%5.2%
HV 20d18.9%16.6%20.3%18.7%17.3%
HV 60d15.7%15.3%16.5%15.9%16.5%
IV Rank29.7%20.7%43.9%27.9%23.5%
IV Percentile47.9%27.8%76.2%51.6%28.2%
Term Structure0.9%-1.0%1.8%-1.0%1.4%
VWIV20.5%19.0%22.8%20.1%19.7%
Skew 25d4.4%3.4%5.2%4.5%4.2%
Skew 10d8.8%6.0%12.2%8.0%8.8%
Call IV 25d18.7%16.0%20.9%18.3%16.0%
Put IV 25d23.1%20.2%25.9%22.8%20.2%
Bid-Ask Spread %15.427.6163.298.787.76
Gamma HHI0.210.130.370.210.13
Net GEX-65.0M-109.6M-7.2M-89.8M-7.2M
Net DEX809.8M-19.5M1.41B906.3M-19.5M
Net VEX-4.9M-5.2M-4.7M-5.2M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.346.571.083.14
Total Volume52,007.6825,137120,08464,10682,574
Total OI1,196,273.955807,8541,521,7901,341,634912,590

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$36.40$38.0021.0%6.0%18.7%27.9%20.1%4.5%-1.0%-89.8M906.3M-5.2M1.088.7830,84833,258460,824880,810
2011-06-02$36.60$38.0018.9%5.4%18.4%20.7%20.0%4.2%0.0%-91.8M845.0M-5.2M1.377.6120,48128,064477,739886,016
2011-06-03$36.03$37.0019.8%5.7%19.1%23.7%19.0%4.8%1.1%-94.8M1.07B-4.9M3.4533.1216,21655,965480,093882,597
2011-06-06$35.92$37.0020.4%5.8%18.8%25.8%20.3%4.5%1.2%-98.3M1.14B-5.1M6.579.2411,34174,478494,701906,004
2011-06-07$35.80$37.0018.2%5.7%18.6%21.7%19.9%4.7%1.1%-106.5M1.15B-5.0M2.939.4723,62569,268492,039918,005
2011-06-08$35.51$37.0019.5%5.7%18.1%27.0%20.7%4.6%1.2%-94.0M1.28B-4.9M3.1763.2911,61736,847501,238906,400
2011-06-09$35.80$36.0018.8%5.4%18.3%24.8%19.1%4.2%1.6%-101.2M1.18B-4.9M2.1910.3722,98950,329508,110913,708
2011-06-10$35.19$36.0020.7%5.9%18.8%33.0%20.1%4.1%1.8%-90.0M1.36B-4.9M2.9736.629,08627,023524,586941,892
2011-06-13$35.22$36.0021.0%6.0%18.5%34.3%21.2%4.0%0.8%-86.1M1.41B-4.7M2.159.3310,46122,520524,950940,554
2011-06-14$35.89$36.0018.8%5.4%20.1%25.0%19.6%3.8%1.8%-109.6M1.09B-4.8M2.9518.0015,00144,248531,740948,445
2011-06-15$35.44$36.0022.9%6.6%20.0%42.4%22.8%4.3%0.2%-93.9M1.37B-4.9M1.0818.3332,28934,945538,803966,209
2011-06-16$35.47$36.0023.3%6.7%19.1%43.9%22.7%5.0%0.7%-91.8M1.26B-4.9M0.3411.7489,40130,683552,690969,100
2011-06-17$35.52$36.0022.0%6.3%18.9%38.5%22.3%5.2%0.3%-75.4M1.28B-5.0M2.0612.048,81218,178546,059970,092
2011-06-20$35.77$36.0021.4%6.1%18.9%35.8%20.9%5.0%0.4%-28.5M404.0M-4.9M1.208.623,2563,921238,509569,345
2011-06-21$36.27$36.0020.9%6.0%19.3%33.7%20.6%4.5%-0.1%-23.8M285.9M-4.8M0.7710.8829,73623,026239,474569,375
2011-06-22$36.10$36.0019.7%5.7%19.3%28.9%19.9%3.4%0.9%-24.6M310.3M-4.9M1.018.3811,82511,914257,286582,058
2011-06-23$36.04$36.0019.3%5.5%19.0%27.1%19.0%3.6%1.4%-27.6M357.1M-4.9M1.2911.6013,79317,810253,823583,749
2011-06-24$35.55$36.0020.1%5.8%19.3%30.5%20.6%4.3%1.3%-31.3M440.1M-4.9M0.7410.8710,6467,923257,198592,423
2011-06-27$35.91$36.0020.9%6.0%19.7%33.7%21.9%4.6%0.7%-27.1M346.8M-4.9M4.928.598684,269266,315596,874
2011-06-28$36.50$36.0020.3%5.8%20.3%31.4%20.7%4.0%0.9%-19.5M193.8M-4.8M1.697.776,71911,370265,115595,209
2011-06-29$36.70$36.0017.9%5.1%16.6%21.2%21.0%4.7%1.5%-16.4M140.5M-4.8M1.4516.7531,28345,263270,932604,348
2011-06-30$37.24$36.0018.0%5.2%17.3%23.5%19.7%4.2%1.4%-7.2M-19.5M-4.8M3.147.7619,93562,639286,821625,769