XLI Options History — October 2011

In October 2011, XLI traded between $28.40 and $34.28. ATM implied volatility averaged 33.2%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.4% (HV 20d: 37.5%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.22.

Notable Days

  • 2011-10-04: Highest Volume — 123,173 contracts
  • 2011-10-17: Largest IV spike — 19.1% change
  • 2011-10-03: Highest IV Rank — 77.5%
  • 2011-10-03: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.77$28.40$34.28$28.40$33.42
Max Pain$30.81$30.00$32.00$31.00$31.00
ATM IV33.2%25.9%50.2%50.2%30.4%
Expected Move9.7%7.4%14.4%14.4%8.7%
HV 20d37.5%31.5%42.1%38.3%31.5%
HV 60d41.2%39.4%42.5%39.4%41.4%
IV Rank42.0%26.9%77.5%77.5%36.3%
IV Percentile83.7%74.2%99.6%99.6%79.0%
Term Structure0.0%-2.2%1.8%-2.2%0.8%
VWIV35.0%28.2%50.0%50.0%29.1%
Skew 25d9.2%6.2%12.8%12.8%7.0%
Skew 10d18.9%12.7%27.2%21.0%15.1%
Call IV 25d29.5%22.5%43.7%43.7%26.9%
Put IV 25d38.7%28.7%56.4%56.4%33.9%
Bid-Ask Spread %33.9321.4670.6543.1530.25
Gamma HHI0.110.100.150.100.10
Net GEX-2.8M-16.0M10.1M-16.0M3.3M
Net DEX169.9M-321.3M792.2M792.2M-81.7M
Net VEX-4.6M-4.8M-4.3M-4.5M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.0714.032.502.71
Total Volume38,449.71410,828123,17340,90833,715
Total OI1,119,069.2861,013,7811,200,0911,111,4141,065,397

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$28.40$31.0050.2%14.4%38.3%77.5%50.0%12.8%-2.2%-16.0M792.2M-4.5M2.5043.1511,69029,218418,045693,369
2011-10-04$29.01$30.0044.3%12.7%39.3%65.2%47.9%9.4%-1.1%-14.7M655.8M-4.8M2.2430.8237,99685,177420,595698,958
2011-10-05$29.77$30.0038.9%11.2%38.9%54.0%38.9%7.9%0.3%-13.2M536.6M-4.6M0.8930.8815,62313,873402,161686,898
2011-10-06$30.42$30.0038.2%11.0%39.6%52.5%38.1%7.2%0.3%-10.3M424.0M-4.7M1.3133.2816,59921,680408,471688,838
2011-10-07$30.34$30.0036.1%11.1%38.7%48.0%36.9%10.7%-0.3%-11.3M424.2M-4.8M6.7235.883,52423,690417,638701,114
2011-10-10$31.38$30.0033.1%10.2%40.5%41.8%38.3%10.0%0.3%-6.3M222.8M-4.8M1.1624.736,0937,064419,467718,883
2011-10-11$31.49$31.0032.2%10.0%40.0%40.0%38.4%9.9%-0.1%-6.2M220.2M-4.8M1.6525.467,69612,678422,746721,870
2011-10-12$31.89$31.0028.2%9.0%39.8%31.6%29.5%9.4%0.3%-3.8M134.3M-4.7M0.0723.1833,0812,353425,511730,534
2011-10-13$31.62$31.0030.7%8.8%39.1%36.9%33.1%9.7%0.4%-4.1M200.6M-4.7M0.2821.468,4572,371429,081731,252
2011-10-14$32.19$31.0029.3%8.4%39.6%34.0%31.5%8.8%0.8%2.1M54.8M-4.6M0.5032.7310,3055,118428,485731,062
2011-10-17$31.28$31.0034.9%10.0%40.8%45.7%36.8%10.8%-0.9%-6.4M283.2M-4.4M14.0324.642,28332,027430,775731,677
2011-10-18$32.20$31.0032.2%9.2%42.1%40.0%33.2%10.2%-0.2%2.5M67.4M-4.5M0.8243.9722,24818,147430,938748,289
2011-10-19$31.86$31.0033.5%9.6%38.4%42.6%33.6%10.7%-0.2%-407.1K160.5M-4.6M1.2225.328,76910,669434,988755,897
2011-10-20$32.04$32.0033.1%9.5%35.4%41.9%33.3%10.3%0.4%3.1M114.7M-4.5M0.8042.4821,85217,427437,936758,417
2011-10-21$32.67$32.0028.7%8.2%35.8%32.7%37.2%9.0%1.8%10.1M-78.3M-4.5M0.1440.2352,3947,533438,172761,919
2011-10-24$33.31$30.0029.6%8.5%36.0%34.6%29.1%8.5%0.2%-1.5M-53.9M-4.4M0.6636.7434,25222,484383,101630,680
2011-10-25$32.59$31.0030.1%8.6%34.9%35.7%33.1%9.6%-0.2%-2.7M91.3M-4.4M1.7470.6527,79148,491390,997628,626
2011-10-26$32.85$31.0029.7%8.5%32.7%34.7%30.5%8.4%-0.3%-237.2K25.1M-4.5M0.8530.416,4735,524409,538645,419
2011-10-27$34.26$31.0027.1%7.8%35.3%29.3%28.2%6.4%0.1%7.8M-321.3M-4.3M1.7128.4424,09541,175415,275644,108
2011-10-28$34.28$31.0025.9%7.4%32.0%26.9%28.8%6.2%0.7%8.6M-304.7M-4.3M4.6737.722,79013,019422,456640,872
2011-10-31$33.42$31.0030.4%8.7%31.5%36.3%29.1%7.0%0.8%3.3M-81.7M-4.4M2.7130.259,08024,635421,681643,716