XLI Options History — March 2012

In March 2012, XLI traded between $36.05 and $38.15. ATM implied volatility averaged 16.0%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.8% (HV 20d: 14.2%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.37.

Notable Days

  • 2012-03-15: Highest Volume — 412,763 contracts
  • 2012-03-15: Largest IV spike — 27.4% change
  • 2012-03-06: Highest IV Rank — 13.3%
  • 2012-03-06: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.32$36.05$38.15$37.33$37.41
Max Pain$36.91$36.00$37.00$36.00$37.00
ATM IV16.0%12.4%20.9%15.3%16.9%
Expected Move4.7%3.9%5.9%4.4%4.9%
HV 20d14.2%9.5%16.4%10.8%16.4%
HV 60d14.4%12.7%16.9%16.1%12.7%
IV Rank5.7%0.0%13.3%1.4%9.2%
IV Percentile9.1%0.0%44.4%0.8%14.7%
Term Structure2.4%0.7%6.5%3.1%1.1%
VWIV17.3%13.2%23.2%15.7%17.4%
Skew 25d4.8%3.4%6.6%3.6%4.3%
Skew 10d9.9%4.1%14.4%11.9%8.0%
Call IV 25d14.7%10.4%17.9%15.2%14.5%
Put IV 25d19.4%15.0%24.5%18.8%18.7%
Bid-Ask Spread %29.2415.61104.3435.1727.58
Gamma HHI0.190.130.270.190.15
Net GEX-13.2M-60.8M22.7M-18.3M-14.3M
Net DEX-7.8M-420.5M349.2M-114.7M97.2M
Net VEX-3.6M-4.0M-3.2M-3.4M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.0524.360.5522.22
Total Volume64,530.9557,657412,76320,68941,120
Total OI932,719.136661,2661,191,1091,019,097818,496

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$37.33$36.0015.3%4.4%10.8%1.4%15.7%3.6%3.1%-18.3M-114.7M-3.4M0.5535.1713,3347,355230,204788,893
2012-03-02$37.14$36.0017.2%4.9%11.0%5.4%18.8%4.0%0.7%-24.4M-37.6M-3.6M3.0315.6111,21133,975238,994791,307
2012-03-05$36.87$37.0016.4%5.1%9.5%3.8%18.9%5.9%2.8%-31.6M50.0M-3.6M8.1519.634,06633,125244,884813,472
2012-03-06$36.05$37.0020.9%5.9%12.3%13.3%23.1%6.6%1.7%-59.8M349.2M-3.9M2.4056.1626,93664,515245,784822,620
2012-03-07$36.42$37.0020.6%5.7%13.0%12.9%23.2%6.5%2.1%-60.8M216.8M-3.9M1.9329.049,19917,796255,312852,420
2012-03-08$36.92$37.0016.2%5.0%13.9%3.2%19.5%5.6%3.2%-32.8M35.0M-3.7M0.8620.2028,70824,581260,671859,188
2012-03-09$37.00$37.0015.5%5.0%13.9%1.8%19.5%5.8%3.2%-26.9M33.3M-3.7M4.0822.765,52222,539262,926861,667
2012-03-12$37.01$37.0015.8%4.8%13.6%2.4%16.4%5.8%3.4%-17.6M-9.3M-3.5M2.9222.963,66910,703264,257860,235
2012-03-13$37.78$37.0013.8%4.5%14.9%0.0%17.5%5.1%2.9%11.5M-254.3M-3.3M0.6333.0262,14139,280263,888860,698
2012-03-14$37.73$37.0012.4%4.5%14.8%0.0%17.5%5.1%3.4%15.7M-253.9M-3.3M0.6623.5630,03319,776296,443884,894
2012-03-15$38.15$37.0015.9%4.5%14.3%7.0%15.7%3.4%3.5%22.7M-420.5M-3.2M0.0518.85393,96018,803302,737888,372
2012-03-16$37.98$37.0013.5%3.9%14.2%2.1%13.2%4.5%6.5%-1.3M-141.9M-3.2M3.44104.3413,71947,197216,585890,700
2012-03-19$37.98$37.0014.7%4.2%14.1%4.6%14.9%3.5%2.4%5.9M-83.4M-3.5M0.7320.859,2316,773205,884455,382
2012-03-20$37.54$37.0015.1%4.3%14.8%5.5%15.5%4.1%2.0%91.9K-8.7M-3.6M6.5019.0213,83189,879208,269458,320
2012-03-21$37.48$37.0016.1%4.6%14.8%7.4%14.4%3.9%2.1%-177.4K-5.3M-3.6M0.5920.954,8192,838208,889472,346
2012-03-22$37.08$37.0017.1%4.9%15.2%9.5%16.6%5.0%1.5%-8.0M80.4M-3.6M3.3220.5423,88579,278207,171474,718
2012-03-23$37.21$37.0016.3%4.7%15.3%7.9%15.7%4.5%1.8%-10.7M91.7M-3.8M1.1725.4122,26726,023210,673509,781
2012-03-26$37.77$37.0014.3%4.1%16.2%3.8%15.6%4.4%1.6%-3.5M-40.0M-3.6M0.7328.2415,30911,128215,365527,696
2012-03-27$37.59$37.0014.8%4.2%16.2%4.8%16.7%4.5%1.7%-5.9M2.8M-3.8M24.3625.5981019,733217,432534,059
2012-03-28$37.28$37.0016.8%4.8%16.4%8.8%15.6%4.3%1.5%-13.9M114.6M-3.9M6.3624.896,83143,440217,651536,955
2012-03-29$37.25$37.0017.1%4.9%16.4%9.6%19.3%4.7%1.5%-15.8M126.3M-4.0M1.4728.8324,40035,943221,079562,504
2012-03-30$37.41$37.0016.9%4.9%16.4%9.2%17.4%4.3%1.1%-14.3M97.2M-4.0M22.2227.581,77139,349233,984584,512