XLI Options History — December 2011

In December 2011, XLI traded between $32.33 and $34.09. ATM implied volatility averaged 26.3%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.0% (HV 20d: 29.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2011-12-02: Highest Volume — 236,625 contracts
  • 2011-12-09: Largest IV drop — 19.4% change
  • 2011-12-08: Highest IV Rank — 45.2%
  • 2011-12-08: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.49$32.33$34.09$33.78$33.75
Max Pain$33.90$33.00$34.00$33.00$34.00
ATM IV26.3%20.9%34.7%27.6%21.5%
Expected Move7.3%6.0%8.8%7.9%6.2%
HV 20d29.3%22.8%31.6%31.0%22.8%
HV 60d32.1%28.6%34.1%34.0%28.6%
IV Rank27.7%16.4%45.2%30.4%17.7%
IV Percentile62.6%46.8%86.5%67.5%49.6%
Term Structure2.3%-0.8%6.3%-0.2%2.9%
VWIV27.0%22.8%33.3%31.7%22.9%
Skew 25d6.9%5.3%8.3%7.8%5.7%
Skew 10d14.1%10.0%21.6%13.5%11.1%
Call IV 25d22.7%18.7%27.7%25.1%19.6%
Put IV 25d29.6%24.0%35.2%33.0%25.3%
Bid-Ask Spread %33.8220.3563.3526.1520.35
Gamma HHI0.190.110.360.120.16
Net GEX-6.9M-50.4M34.6M208.6K-14.6M
Net DEX112.0M-223.9M465.0M-61.6M113.5M
Net VEX-3.5M-4.0M-3.1M-3.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.109.243.401.70
Total Volume64,280.8579,427236,625139,97413,837
Total OI1,191,001.381904,2651,613,8631,101,689961,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$33.78$33.0027.6%7.9%31.0%30.4%31.7%7.8%-0.2%208.6K-61.6M-3.5M3.4026.1531,803108,171399,365702,324
2011-12-02$33.69$33.0028.9%8.3%29.5%33.2%30.8%6.9%-0.8%-6.1M48.4M-3.9M0.3228.11179,75256,873396,188747,461
2011-12-05$33.97$34.0031.3%8.1%29.2%38.1%26.7%7.9%1.4%30.6M-223.9M-3.9M2.2244.3421,63847,977534,531781,976
2011-12-06$33.99$34.0029.8%7.9%29.2%34.9%30.7%7.9%1.7%26.1M-158.8M-4.0M0.6221.9916,62110,313534,334816,872
2011-12-07$34.05$34.0031.3%8.1%29.0%38.0%28.4%7.9%1.4%29.3M-195.2M-3.9M4.6733.627,81236,491541,574814,497
2011-12-08$33.20$34.0034.7%8.8%28.7%45.2%33.3%8.1%0.8%9.0M80.7M-3.8M4.9727.936,68033,179545,063847,548
2011-12-09$34.09$34.0028.0%7.6%30.0%31.2%27.7%6.5%2.2%34.6M-209.1M-3.7M1.3935.217,85310,947548,234868,218
2011-12-12$33.34$34.0032.5%8.1%30.2%40.6%27.6%7.6%2.0%4.1M99.8M-3.4M9.2426.9522,827210,923547,551866,188
2011-12-13$32.90$34.0030.5%7.8%30.5%36.4%27.7%8.1%2.9%-31.1M341.9M-3.6M1.2431.0350,85462,983550,2211,063,642
2011-12-14$32.59$34.0025.5%7.8%30.6%26.1%29.7%8.3%2.8%-31.0M463.9M-3.5M2.8244.4729,95584,425561,041906,614
2011-12-15$32.75$34.0025.5%7.3%30.5%26.0%25.5%7.2%3.9%-50.4M465.0M-3.6M0.1030.01120,12212,508560,939976,918
2011-12-16$32.67$34.0024.1%6.9%30.0%23.1%26.3%8.3%6.3%-26.8M459.4M-3.4M1.8563.357,33713,598528,934896,294
2011-12-19$32.33$34.0026.3%7.5%30.2%27.6%26.9%6.7%2.5%-20.9M375.4M-3.3M2.6545.437,85520,788289,669614,596
2011-12-20$33.44$34.0024.1%6.9%31.6%23.0%23.5%5.5%2.1%-15.9M167.2M-3.3M1.0528.2114,31615,007294,041630,942
2011-12-21$33.45$34.0023.1%6.6%31.1%21.1%23.6%5.4%2.5%-16.0M165.9M-3.4M0.5436.287,1813,878300,966641,423
2011-12-22$33.77$34.0021.0%6.0%30.5%16.8%25.6%7.0%3.4%-14.0M106.8M-3.3M5.2844.303,46918,332302,966644,552
2011-12-23$34.07$34.0020.9%6.0%30.4%16.4%24.2%5.3%2.9%-11.8M50.5M-3.3M2.7532.352,5126,915301,013641,046
2011-12-27$34.07$34.0021.5%6.2%28.4%17.7%22.8%5.5%2.5%-11.7M40.2M-3.1M0.6231.9010,5306,487302,641644,088
2011-12-28$33.58$34.0022.3%6.4%29.1%19.3%24.8%6.1%2.3%-16.0M145.7M-3.1M2.1027.035,12910,755303,795646,772
2011-12-29$33.85$34.0021.5%6.2%22.8%17.8%26.3%5.5%2.9%-13.4M76.9M-3.2M2.0831.283,6607,605304,893650,014
2011-12-30$33.75$34.0021.5%6.2%22.8%17.7%22.9%5.7%2.9%-14.6M113.5M-3.1M1.7020.355,1288,709307,199653,886