XLI Options History — September 2011

In September 2011, XLI traded between $29.05 and $32.03. ATM implied volatility averaged 38.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.2% (HV 20d: 37.9%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2011-09-15: Highest Volume — 344,303 contracts
  • 2011-09-21: Largest IV spike — 18.6% change
  • 2011-09-30: Highest IV Rank — 66.4%
  • 2011-09-30: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.66$29.05$32.03$31.87$29.22
Max Pain$30.86$30.00$34.00$34.00$30.00
ATM IV38.1%30.7%44.9%32.7%44.9%
Expected Move10.7%8.8%12.9%9.4%12.9%
HV 20d37.9%31.4%51.5%50.1%38.7%
HV 60d36.4%34.3%39.1%34.3%39.1%
IV Rank52.1%36.8%66.4%41.0%66.4%
IV Percentile94.0%87.7%99.2%92.9%99.2%
Term Structure-0.9%-2.5%1.8%-0.6%-1.5%
VWIV39.3%31.7%45.4%35.8%42.1%
Skew 25d11.1%7.7%13.3%7.7%13.3%
Skew 10d21.7%15.2%24.9%15.2%24.5%
Call IV 25d32.7%26.4%39.1%29.0%39.1%
Put IV 25d43.8%36.4%52.4%36.7%52.4%
Bid-Ask Spread %41.1517.4689.0745.1845.92
Gamma HHI0.110.090.160.120.11
Net GEX-16.0M-23.5M-6.4M-21.1M-12.4M
Net DEX744.1M212.9M1.21B820.1M604.4M
Net VEX-4.6M-5.0M-4.4M-4.9M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.205.001.482.81
Total Volume66,120.04815,653344,30343,36999,423
Total OI1,173,739.048861,0121,433,5461,282,1971,040,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$31.87$34.0032.7%9.4%50.1%41.0%35.8%7.7%-0.6%-21.1M820.1M-4.9M1.4845.1817,49225,877478,964803,233
2011-09-02$30.85$34.0034.2%9.8%51.5%44.2%36.6%9.0%0.6%-21.8M1.07B-4.6M3.5141.963,46812,185477,473814,830
2011-09-06$30.53$32.0039.2%10.3%42.3%54.5%45.4%11.7%-1.9%-21.2M1.11B-4.4M5.0043.719,48547,446477,685816,492
2011-09-07$31.43$32.0037.8%10.0%40.9%51.7%32.9%10.5%-1.0%-21.8M944.9M-4.6M0.8730.2414,31012,440479,364832,813
2011-09-08$31.01$32.0038.2%10.2%39.3%52.5%34.7%10.8%-1.6%-22.1M1.06B-4.5M0.6244.9431,26719,411483,367843,298
2011-09-09$30.27$32.0044.1%11.4%38.0%64.7%40.2%12.2%-2.4%-20.9M1.21B-4.4M0.2466.1987,17420,493497,943856,421
2011-09-12$30.23$30.0043.9%11.6%36.7%64.3%44.8%13.3%-2.5%-16.6M1.18B-4.4M1.6638.8631,92052,969549,556859,214
2011-09-13$30.80$30.0037.8%10.7%37.1%51.7%42.7%11.1%-1.3%-17.1M1.11B-4.4M1.8017.4610,81219,410534,690861,344
2011-09-14$31.34$30.0033.5%10.6%37.4%42.8%40.8%10.7%-1.5%-17.0M972.6M-4.5M1.1789.0725,72030,114540,328873,180
2011-09-15$32.03$30.0032.7%9.4%38.2%41.1%40.7%9.0%1.0%-20.2M747.0M-4.5M0.2024.59286,30857,995542,621887,115
2011-09-16$31.89$30.0030.7%8.8%31.4%36.8%31.7%10.1%1.8%-23.5M847.3M-4.8M0.5229.3640,45921,037531,933901,613
2011-09-19$31.56$30.0032.7%9.4%31.6%41.0%38.5%10.0%0.7%-6.4M212.9M-4.7M4.7226.0410,23048,295335,607525,405
2011-09-20$31.60$30.0032.1%9.2%31.4%39.8%34.9%9.5%0.4%-9.2M266.5M-4.8M2.3938.769,06521,676344,329566,921
2011-09-21$30.14$31.0038.1%10.9%34.3%52.2%37.4%11.2%-1.1%-13.5M509.1M-4.5M0.8645.9123,58420,312348,464581,150
2011-09-22$29.05$31.0042.7%12.2%35.8%61.8%39.9%13.1%-2.1%-13.5M627.0M-4.4M2.6551.2812,33432,691367,067590,957
2011-09-23$29.22$30.0043.8%12.5%35.3%64.0%42.8%12.5%-1.8%-13.1M583.8M-4.7M1.7137.5228,93949,425374,281611,816
2011-09-26$29.69$30.0041.2%11.8%34.9%58.7%41.5%13.3%-0.8%-10.7M439.8M-4.7M2.1952.955,44311,904380,220610,350
2011-09-27$30.89$30.0037.6%10.8%36.1%51.3%40.0%10.7%-0.3%-10.6M367.6M-4.8M2.6827.788,44522,622380,675609,522
2011-09-28$29.97$30.0041.0%11.8%37.2%58.3%41.1%11.8%-1.3%-11.6M491.3M-4.7M1.1827.8834,57740,738384,367610,666
2011-09-29$30.24$30.0040.0%11.5%37.3%56.3%39.9%11.5%-0.5%-10.8M443.9M-5.0M1.9338.5810,57620,450404,380638,646
2011-09-30$29.22$30.0044.9%12.9%38.7%66.4%42.1%13.3%-1.5%-12.4M604.4M-4.7M2.8145.9226,06873,355401,071639,149