XLI Options History — May 2012

In May 2012, XLI traded between $34.06 and $37.12. ATM implied volatility averaged 21.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.5% (HV 20d: 15.5%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.66.

Notable Days

  • 2012-05-17: Highest Volume — 256,892 contracts
  • 2012-05-14: Largest IV spike — 11.4% change
  • 2012-05-17: Highest IV Rank — 26.8%
  • 2012-05-17: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.48$34.06$37.12$37.12$34.67
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV21.9%17.1%25.5%17.1%23.9%
Expected Move6.3%4.9%7.3%4.9%6.9%
HV 20d15.5%12.6%18.4%17.8%17.0%
HV 60d15.5%14.7%17.0%14.7%16.4%
IV Rank19.5%9.6%26.8%9.6%23.6%
IV Percentile48.0%14.3%61.5%15.5%57.5%
Term Structure0.4%-2.1%3.1%1.2%-0.5%
VWIV22.6%17.8%26.6%17.8%24.1%
Skew 25d6.6%3.9%8.9%3.9%5.5%
Skew 10d12.6%7.9%15.5%9.8%7.9%
Call IV 25d18.8%15.2%22.3%15.3%22.1%
Put IV 25d25.4%19.2%30.4%19.2%27.5%
Bid-Ask Spread %38.2722.4879.3238.2133.44
Gamma HHI0.220.160.290.160.25
Net GEX-66.6M-110.5M-29.4M-30.9M-65.9M
Net DEX664.6M130.7M1.46B143.5M734.8M
Net VEX-4.4M-4.9M-4.0M-4.1M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.3711.640.378.02
Total Volume63,303.2275,492256,89232,00767,637
Total OI1,069,394.5921,3121,407,017921,3121,073,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$37.12$36.0017.1%4.9%17.8%9.6%17.8%3.9%1.2%-30.9M143.5M-4.1M0.3738.2123,4468,561221,031700,281
2012-05-02$37.08$36.0017.1%4.9%17.6%9.6%18.4%4.4%1.0%-29.4M130.7M-4.1M0.9034.625,9295,337230,328703,103
2012-05-03$36.88$36.0017.4%5.0%17.5%10.2%19.0%4.5%1.0%-36.5M221.6M-4.2M5.2330.045,18027,109226,891705,555
2012-05-04$36.30$36.0019.4%5.9%18.4%14.3%22.9%6.6%0.9%-57.7M439.2M-4.3M9.0825.735,85553,188227,888723,068
2012-05-07$36.25$36.0020.2%5.9%17.3%16.0%22.3%6.8%0.5%-60.3M444.9M-4.3M2.6828.756,37317,078230,848758,894
2012-05-08$36.11$36.0020.3%5.9%15.7%16.2%22.2%6.4%0.9%-68.4M515.1M-4.4M3.2825.4426,81587,971232,641771,551
2012-05-09$35.65$36.0020.7%6.0%15.8%16.9%21.9%7.1%1.1%-87.2M707.1M-4.5M1.0022.4864,54164,510236,493813,486
2012-05-10$35.74$36.0020.6%5.9%14.1%16.7%21.7%7.3%1.4%-87.7M679.9M-4.7M1.9635.225,0259,854282,610855,369
2012-05-11$35.67$36.0020.9%6.0%13.8%17.4%23.2%7.0%1.3%-84.4M690.3M-4.5M11.6429.2611,268131,134281,906807,355
2012-05-14$35.27$36.0023.3%6.7%14.2%22.3%23.3%6.2%0.3%-110.5M967.3M-4.7M2.8539.3945,694130,398287,250880,772
2012-05-15$35.08$36.0022.7%6.5%12.6%21.1%23.4%6.6%0.9%-94.3M1.01B-4.8M2.8533.109,50827,139307,696885,198
2012-05-16$34.98$36.0023.4%6.7%12.6%22.6%23.9%6.3%0.9%-94.5M1.02B-4.7M1.8941.4113,05124,618308,782877,074
2012-05-17$34.29$36.0025.5%7.3%13.7%26.8%24.5%8.1%3.1%-89.0M1.32B-4.5M0.9436.25132,446124,446313,258881,439
2012-05-18$34.06$36.0025.3%7.3%13.1%26.4%24.5%7.6%0.5%-92.2M1.46B-4.9M3.3338.0415,15050,523439,079967,938
2012-05-21$34.93$36.0023.7%6.8%16.3%23.2%24.2%7.5%-1.8%-55.6M652.1M-4.5M2.8250.035,01814,134260,446769,716
2012-05-22$35.09$36.0022.4%6.4%15.1%20.4%23.2%6.8%0.3%-58.1M646.4M-4.4M3.3140.042,8689,494262,832774,660
2012-05-23$35.20$36.0023.0%6.6%15.3%21.7%24.4%7.1%-0.2%-53.9M579.5M-4.3M4.2239.369,76541,180264,338776,136
2012-05-24$35.16$36.0023.2%6.6%14.9%22.0%23.6%7.1%-0.8%-57.7M598.5M-4.4M2.6842.821,4943,998268,184789,441
2012-05-25$34.92$36.0024.9%7.1%14.8%25.7%18.4%7.0%-2.1%-46.8M508.9M-4.3M1.0679.3211,30811,951269,183757,299
2012-05-29$35.44$36.0023.3%6.7%16.0%22.2%23.9%6.9%-0.7%-45.6M452.5M-4.1M0.9450.3525,24623,622275,952760,755
2012-05-30$34.75$36.0024.5%7.0%17.0%24.7%26.6%8.9%-1.0%-58.3M702.2M-4.2M9.5948.663,09829,711292,941773,042
2012-05-31$34.67$36.0023.9%6.9%17.0%23.6%24.1%5.5%-0.5%-65.9M734.8M-4.0M8.0233.447,50260,135294,554779,416