XLI Options History — July 2011

In July 2011, XLI traded between $34.68 and $38.30. ATM implied volatility averaged 20.8%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.7% (HV 20d: 17.1%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2011-07-27: Highest Volume — 129,591 contracts
  • 2011-07-11: Largest IV spike — 27.4% change
  • 2011-07-29: Highest IV Rank — 80.9%
  • 2011-07-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.72$34.68$38.30$37.31$34.68
Max Pain$36.75$36.00$37.00$36.00$36.00
ATM IV20.8%16.7%26.6%17.6%26.6%
Expected Move6.0%5.0%7.6%5.0%7.6%
HV 20d17.1%16.0%19.9%16.2%18.7%
HV 60d17.1%16.5%18.3%16.5%18.1%
IV Rank46.2%22.1%80.9%23.2%80.9%
IV Percentile56.6%13.5%95.2%24.6%95.2%
Term Structure0.0%-1.7%1.3%1.3%-1.4%
VWIV21.2%16.1%28.5%16.1%28.5%
Skew 25d4.9%2.5%7.4%2.5%7.4%
Skew 10d11.2%4.6%28.4%4.6%12.9%
Call IV 25d18.8%15.3%24.4%15.3%24.4%
Put IV 25d23.7%17.8%31.8%17.8%31.8%
Bid-Ask Spread %30.178.2292.8330.5648.97
Gamma HHI0.150.130.190.130.14
Net GEX-18.9M-43.0M16.0M1.7M-40.3M
Net DEX171.6M-360.6M729.6M-236.0M726.7M
Net VEX-4.5M-4.7M-4.3M-4.4M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.346.680.352.53
Total Volume49,560.64,105129,59185,92787,157
Total OI955,559.25801,6941,110,023948,364960,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$37.31$36.0017.6%5.0%16.2%23.2%16.1%2.5%1.3%1.7M-236.0M-4.4M0.3530.5663,84522,082288,741659,623
2011-07-05$37.77$36.0017.6%5.2%16.5%23.3%18.7%4.4%0.7%3.1M-187.4M-4.4M2.238.995,60912,500317,429672,988
2011-07-06$37.90$36.0016.7%5.2%16.3%22.1%19.2%4.7%0.6%9.2M-243.1M-4.3M2.418.2218,77845,222319,058675,057
2011-07-07$38.30$36.0018.5%5.4%16.0%32.9%19.4%4.5%0.3%16.0M-360.6M-4.3M0.7435.8749,43936,347326,481678,104
2011-07-08$37.89$37.0017.0%5.2%16.7%23.7%18.8%4.6%0.6%12.8M-240.0M-4.4M1.6034.3318,51829,653355,069701,973
2011-07-11$37.27$37.0021.6%5.9%16.6%51.4%21.9%4.7%0.2%-11.9M44.0M-4.7M1.0010.7924,51024,390357,488718,003
2011-07-12$36.87$37.0022.6%6.1%17.3%57.5%22.7%5.2%-0.1%-28.9M199.4M-4.7M0.8613.2232,32927,681365,701711,871
2011-07-13$36.92$37.0020.5%6.0%16.2%44.8%20.8%5.3%0.1%-21.9M167.3M-4.6M0.7330.5914,95410,864373,612724,148
2011-07-14$36.51$37.0021.7%6.2%16.0%51.8%23.9%5.9%0.1%-33.3M293.6M-4.6M4.9320.345,86728,936371,305726,378
2011-07-15$36.60$37.0020.5%5.9%16.0%44.7%21.7%5.3%0.6%-32.0M316.0M-4.6M0.5812.7522,81213,243371,832738,191
2011-07-18$36.13$37.0021.9%6.3%16.8%53.1%21.5%5.4%0.9%-31.0M374.9M-4.5M0.7034.5046,77532,938228,552573,142
2011-07-19$36.62$37.0021.2%6.1%17.3%48.8%21.1%4.9%0.1%-26.8M252.9M-4.6M0.5721.7812,8167,318242,031589,219
2011-07-20$36.67$37.0019.7%5.6%16.6%40.0%19.2%3.9%0.4%-25.6M215.4M-4.5M0.4241.719,3323,960248,257589,318
2011-07-21$37.22$37.0019.7%5.6%17.2%40.1%19.7%3.9%0.6%-18.5M61.0M-4.3M0.3450.329,2523,163254,358591,604
2011-07-22$36.84$37.0020.9%6.0%17.7%47.4%20.6%3.3%-1.7%-22.1M192.9M-4.3M0.6992.8317,46312,033257,763592,054
2011-07-25$36.85$37.0020.8%5.9%16.8%46.3%20.0%4.0%-0.4%-19.3M158.6M-4.4M0.7033.942,4161,689270,254590,855
2011-07-26$36.11$37.0021.4%6.1%18.2%50.1%20.7%4.9%0.3%-29.5M351.1M-4.4M2.0911.6310,70022,316270,585590,779
2011-07-27$35.10$37.0024.9%7.1%19.9%71.0%25.5%6.2%-1.4%-36.5M616.5M-4.4M6.6827.3416,867112,724275,027605,323
2011-07-28$34.77$37.0024.9%7.1%19.8%71.1%24.4%6.3%-1.0%-43.0M729.6M-4.5M1.5134.7529,72444,990283,550645,352
2011-07-29$34.68$36.0026.6%7.6%18.7%80.9%28.5%7.4%-1.4%-40.3M726.7M-4.6M2.5348.9724,67962,478300,805659,305