XLI Options History — February 2012

In February 2012, XLI traded between $36.60 and $37.55. ATM implied volatility averaged 18.3%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.9% (HV 20d: 11.4%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 7.67.

Notable Days

  • 2012-02-07: Highest Volume — 132,410 contracts
  • 2012-02-09: Largest IV spike — 17.8% change
  • 2012-02-15: Highest IV Rank — 14.5%
  • 2012-02-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.21$36.60$37.55$36.60$37.23
Max Pain$35.85$35.00$36.00$36.00$36.00
ATM IV18.3%16.1%21.4%17.3%17.5%
Expected Move5.4%4.6%6.1%5.0%5.0%
HV 20d11.4%10.3%12.8%10.3%11.3%
HV 60d20.6%16.1%22.5%22.5%16.1%
IV Rank8.5%3.1%14.5%8.5%6.1%
IV Percentile21.1%3.2%47.6%13.5%12.3%
Term Structure1.8%0.4%3.4%1.5%1.2%
VWIV20.6%17.5%23.3%19.2%17.5%
Skew 25d5.6%4.2%6.8%5.5%4.8%
Skew 10d11.3%-0.3%15.0%12.2%14.1%
Call IV 25d16.4%14.2%19.0%16.4%15.7%
Put IV 25d21.9%19.4%25.8%21.9%20.4%
Bid-Ask Spread %26.1612.5991.5832.6222.76
Gamma HHI0.190.150.280.260.18
Net GEX-23.8M-39.1M-11.6M-38.6M-27.2M
Net DEX-108.5M-233.6M20.1M20.1M-9.1M
Net VEX-3.7M-4.0M-3.4M-3.9M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.670.12100.540.580.12
Total Volume45,007.1512,748132,41039,74731,688
Total OI1,046,955.1980,9661,194,2141,011,7051,009,513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$36.60$36.0017.3%5.0%10.3%8.5%19.2%5.5%1.5%-38.6M20.1M-3.9M0.5832.6225,16214,585217,200794,505
2012-02-02$36.63$36.0016.3%4.7%10.3%6.3%20.7%4.2%2.3%-39.1M-13.0M-3.7M4.7425.905,64726,750214,536796,387
2012-02-03$37.26$35.0016.9%5.5%11.4%7.5%19.0%5.5%2.2%-25.9M-183.7M-3.5M2.3518.3319,05344,806219,287801,371
2012-02-06$37.18$35.0017.7%5.5%11.6%9.2%23.2%5.4%2.2%-24.9M-165.9M-3.5M3.8318.935,75622,057224,365805,039
2012-02-07$37.15$35.0017.1%5.5%11.7%6.3%20.8%5.3%1.6%-25.5M-170.0M-3.7M100.5415.931,304131,106228,405834,893
2012-02-08$37.21$36.0016.8%5.6%11.0%4.7%18.5%5.7%1.4%-23.3M-160.1M-3.7M2.3224.4311,45626,631228,467810,494
2012-02-09$37.28$36.0019.8%5.7%11.0%11.1%18.3%5.5%1.5%-20.0M-199.6M-3.6M0.1991.5818,7143,609231,997813,633
2012-02-10$36.97$36.0020.2%5.8%11.4%12.0%22.6%6.1%3.2%-23.7M-118.0M-3.8M1.9526.8330,83860,085241,506816,555
2012-02-13$37.42$36.0019.8%5.7%11.4%11.1%22.4%5.8%2.4%-14.8M-233.6M-3.7M1.5526.576,0579,400252,972851,845
2012-02-14$37.29$36.0020.2%5.8%11.6%11.9%23.3%6.3%2.6%-11.6M-196.1M-3.8M0.9226.3026,06723,992256,928856,746
2012-02-15$36.80$36.0021.4%6.1%12.8%14.5%23.2%6.8%2.5%-24.6M-5.0M-4.0M1.4331.8626,61738,071254,187870,187
2012-02-16$37.14$36.0020.0%5.7%12.0%11.4%23.1%6.6%2.9%-23.0M-74.3M-4.0M1.5827.8841,78066,209256,986894,858
2012-02-17$37.33$36.0018.7%5.4%12.0%8.7%21.2%5.7%3.4%-30.5M-159.8M-4.0M3.3825.353,46911,710262,690931,524
2012-02-21$37.41$36.0019.1%5.5%11.9%9.5%21.0%6.1%0.7%-21.7M-66.3M-3.8M1.9424.677,33114,248215,105767,358
2012-02-22$37.33$36.0018.3%5.2%12.0%7.7%22.8%5.4%1.4%-21.8M-56.8M-3.7M14.3618.801,35219,412216,002764,964
2012-02-23$37.49$36.0017.7%5.1%11.4%6.6%17.5%5.2%0.4%-20.2M-102.9M-3.6M0.8418.9521,76518,300216,374780,931
2012-02-24$37.48$36.0017.5%5.0%11.3%6.0%19.2%4.9%1.2%-19.6M-91.9M-3.7M3.8417.2410,10338,765220,399780,772
2012-02-27$37.55$36.0016.1%4.6%11.3%3.1%19.3%5.3%1.5%-19.2M-103.3M-3.4M2.6415.756,45417,046217,118775,485
2012-02-28$37.41$36.0018.2%5.2%11.1%7.6%19.7%5.1%0.7%-21.5M-81.3M-3.6M4.2212.592,44010,308221,191786,327
2012-02-29$37.23$36.0017.5%5.0%11.3%6.1%17.5%4.8%1.2%-27.2M-9.1M-3.6M0.1222.7628,2213,467221,646787,867