XLI Options History — April 2012

In April 2012, XLI traded between $35.63 and $37.66. ATM implied volatility averaged 18.7%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.3% (HV 20d: 16.4%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.41.

Notable Days

  • 2012-04-23: Highest Volume — 107,699 contracts
  • 2012-04-09: Largest IV spike — 20.5% change
  • 2012-04-16: Highest IV Rank — 20.3%
  • 2012-04-16: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.78$35.63$37.66$37.66$37.01
Max Pain$36.35$36.00$37.00$37.00$36.00
ATM IV18.7%14.9%22.3%14.9%17.1%
Expected Move5.4%4.3%6.4%4.3%4.9%
HV 20d16.4%13.3%17.9%16.2%17.9%
HV 60d14.2%12.8%15.2%12.8%15.1%
IV Rank12.9%5.0%20.3%5.0%9.6%
IV Percentile29.3%2.8%57.1%2.8%15.5%
Term Structure1.3%0.3%2.5%1.8%1.5%
VWIV19.9%16.6%22.0%17.3%18.3%
Skew 25d5.6%3.8%8.4%4.9%4.8%
Skew 10d11.4%8.8%15.2%8.8%9.0%
Call IV 25d16.5%14.3%18.8%14.3%15.5%
Put IV 25d22.1%18.7%25.7%19.1%20.3%
Bid-Ask Spread %34.0428.1476.9629.9829.12
Gamma HHI0.170.150.190.160.16
Net GEX-33.9M-54.0M-13.6M-13.6M-31.9M
Net DEX280.8M57.9M619.4M57.9M161.2M
Net VEX-4.3M-4.6M-4.0M-4.0M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.5317.531.916.38
Total Volume44,297.9511,578107,69933,54026,207
Total OI950,063.75843,9361,042,816855,703939,415

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$37.66$37.0014.9%4.3%16.2%5.0%17.3%4.9%1.8%-13.6M57.9M-4.0M1.9129.9811,54221,998234,674621,029
2012-04-03$37.40$37.0017.0%4.9%14.0%9.4%17.4%4.5%1.4%-21.6M137.1M-4.1M1.6730.237,19912,003235,373628,521
2012-04-04$37.12$37.0016.5%4.7%14.1%8.4%16.6%3.8%2.0%-30.2M249.4M-4.2M0.8433.6419,40616,298241,106633,067
2012-04-05$37.00$37.0016.8%4.8%13.3%9.0%18.2%4.1%1.3%-36.0M275.5M-4.2M3.9135.803,30112,912245,288644,717
2012-04-09$36.36$37.0020.3%5.9%14.6%16.1%20.6%5.6%0.8%-46.9M451.4M-4.2M2.4632.7812,70031,208246,550647,932
2012-04-10$35.63$37.0019.9%6.1%16.2%15.4%21.9%7.0%1.3%-54.0M619.4M-4.2M1.2836.1935,76445,824256,083663,847
2012-04-11$36.05$37.0020.1%6.2%14.8%15.8%21.7%6.4%1.0%-48.0M530.7M-4.5M1.6330.5237,99361,927269,337689,067
2012-04-12$36.73$36.0019.1%5.5%16.6%13.8%22.0%5.9%1.0%-30.6M274.3M-4.6M1.1429.229,23110,490299,901728,217
2012-04-13$36.38$36.0022.0%6.3%16.1%19.7%21.4%5.8%0.8%-37.9M409.5M-4.6M5.4932.412,69314,790303,694728,481
2012-04-16$36.43$36.0022.3%6.4%16.2%20.3%21.6%6.4%0.3%-40.1M379.5M-4.5M1.4932.787,11810,575304,166737,794
2012-04-17$37.03$36.0019.2%5.5%17.4%13.8%19.7%5.6%1.2%-28.7M211.5M-4.3M0.7031.8024,63217,315302,108739,607
2012-04-18$36.87$36.0019.4%5.6%17.0%14.4%20.7%6.4%1.2%-26.3M216.2M-4.3M2.2131.013,6127,966306,157727,140
2012-04-19$36.46$36.0020.2%5.8%17.4%15.8%19.8%8.4%2.5%-39.4M379.5M-4.3M0.5376.9646,82324,826306,081726,418
2012-04-20$36.77$36.0018.0%5.2%17.4%11.4%19.9%5.6%1.7%-34.3M264.3M-4.2M10.1830.706,01361,214313,954728,862
2012-04-23$36.36$36.0020.8%6.0%17.7%17.2%21.8%6.4%1.0%-35.1M341.8M-4.4M17.5329.955,811101,888208,973634,963
2012-04-24$36.94$36.0018.3%5.3%17.8%12.1%20.7%6.1%1.8%-34.5M238.4M-4.5M0.5340.4527,16514,296211,318719,652
2012-04-25$36.90$36.0017.7%5.1%17.8%10.7%18.1%5.2%1.3%-33.9M214.1M-4.4M1.7028.145,3059,005219,579709,760
2012-04-26$37.13$36.0017.2%4.9%17.7%9.8%18.9%4.5%1.1%-29.3M125.0M-4.2M5.3929.725,89731,758217,011707,197
2012-04-27$37.29$36.0017.0%4.9%17.8%9.4%20.8%4.8%1.4%-26.2M78.6M-4.2M1.2029.3836,92244,332218,098706,138
2012-04-30$37.01$36.0017.1%4.9%17.9%9.6%18.3%4.8%1.5%-31.9M161.2M-4.2M6.3829.123,55122,656222,482716,933