XLI Options History — June 2012

In June 2012, XLI traded between $33.36 and $35.67. ATM implied volatility averaged 21.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.1% (HV 20d: 21.7%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.40.

Notable Days

  • 2012-06-01: Highest Volume — 237,239 contracts
  • 2012-06-11: Largest IV spike — 34.1% change
  • 2012-06-05: Highest IV Rank — 33.3%
  • 2012-06-05: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.57$33.36$35.67$33.64$35.67
Max Pain$34.52$34.00$36.00$36.00$35.00
ATM IV21.8%16.5%28.6%26.8%16.5%
Expected Move6.3%4.7%7.9%7.7%4.7%
HV 20d21.7%19.1%23.4%19.5%21.7%
HV 60d18.0%17.1%19.9%17.3%19.9%
IV Rank19.2%8.4%33.3%29.6%8.4%
IV Percentile41.1%7.5%65.9%63.5%7.5%
Term Structure1.4%-0.2%3.3%-0.2%2.3%
VWIV23.4%18.5%28.3%26.9%19.5%
Skew 25d6.2%4.3%8.6%7.2%5.0%
Skew 10d12.3%8.1%15.9%12.1%11.8%
Call IV 25d19.5%15.1%24.4%24.4%15.1%
Put IV 25d25.7%20.1%31.7%31.7%20.1%
Bid-Ask Spread %40.4719.6993.8119.6948.10
Gamma HHI0.230.140.410.230.17
Net GEX-53.6M-110.1M-12.8M-75.9M-25.2M
Net DEX599.6M101.4M1.51B1.09B114.3M
Net VEX-4.2M-4.5M-3.8M-4.1M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.3111.837.474.40
Total Volume70,335.47616,298237,239237,23966,986
Total OI1,039,145.762696,2141,329,6751,120,156907,869

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$33.64$36.0026.8%7.7%19.5%29.6%26.9%7.2%-0.2%-75.9M1.09B-4.1M7.4719.6928,013209,226298,313821,843
2012-06-04$33.36$35.0027.2%7.6%19.1%30.3%26.6%6.7%2.6%-110.1M1.51B-4.2M4.7843.8013,67365,424312,533973,151
2012-06-05$33.46$35.0028.6%7.9%19.2%33.3%26.2%7.9%0.5%-103.6M1.31B-4.4M1.0539.4125,39726,765323,577936,405
2012-06-06$34.35$34.0025.8%7.0%22.0%27.4%25.2%8.6%0.0%-76.5M855.9M-4.4M1.3241.2826,50935,084333,955880,225
2012-06-07$34.56$34.0019.6%6.6%21.9%14.7%23.8%7.4%1.1%-73.6M752.6M-4.3M0.7834.5732,20625,220351,420891,148
2012-06-08$34.80$34.0019.4%6.4%22.0%14.3%24.6%7.4%1.7%-57.7M605.5M-4.1M1.9944.0016,73733,287367,044874,407
2012-06-11$34.35$34.0026.1%7.4%22.4%28.0%24.8%6.9%0.0%-82.1M839.4M-4.0M2.1733.5415,26833,143371,082868,725
2012-06-12$34.90$34.0022.6%6.6%23.0%20.9%24.7%6.5%1.3%-49.1M536.1M-4.0M5.0433.298,77744,204377,770886,750
2012-06-13$34.55$34.0019.7%6.7%23.2%14.9%28.3%8.2%1.9%-79.8M733.1M-4.0M2.1829.6028,32161,612383,883881,478
2012-06-14$34.83$34.0023.2%6.6%23.4%22.1%24.3%7.0%1.6%-39.6M576.1M-4.1M0.3136.4590,59128,350398,570929,122
2012-06-15$34.96$34.0022.7%6.5%22.2%21.1%23.8%5.7%1.6%-44.3M549.6M-4.4M0.8787.3136,27131,708392,368937,307
2012-06-18$35.04$34.0019.7%5.7%22.0%15.0%21.4%5.4%1.5%-18.1M193.5M-4.1M1.6133.287,67012,368197,917498,821
2012-06-19$35.51$34.0017.3%5.0%20.7%9.9%18.5%5.5%2.0%-13.9M127.6M-4.0M1.4329.3033,72548,200202,266503,670
2012-06-20$35.33$34.0018.8%5.4%20.7%13.0%21.0%4.4%1.5%-12.8M101.4M-3.8M3.4931.274,26814,913206,361489,853
2012-06-21$34.63$35.0020.2%5.8%21.9%16.0%21.0%5.4%1.1%-22.5M290.7M-4.1M5.0936.7917,22187,577208,946508,499
2012-06-22$34.75$35.0019.0%5.4%22.0%13.5%22.9%5.6%2.4%-31.0M339.1M-4.2M11.8393.819,259109,577210,451550,408
2012-06-25$34.10$35.0022.1%6.3%22.8%19.8%23.5%5.5%0.8%-52.8M580.2M-4.5M4.1137.419,45538,813214,910645,420
2012-06-26$34.17$35.0021.7%6.2%22.1%19.0%22.3%4.6%1.2%-54.3M549.8M-4.5M5.2932.364,52423,932220,936659,837
2012-06-27$34.55$35.0019.1%5.5%21.5%13.6%19.8%4.5%3.3%-51.8M457.0M-4.5M2.6530.904,47111,827223,518675,855
2012-06-28$34.47$35.0021.8%6.2%21.5%19.2%23.0%4.3%1.1%-50.4M472.2M-4.5M3.4733.7912,63043,843225,905679,543
2012-06-29$35.67$35.0016.5%4.7%21.7%8.4%19.5%5.0%2.3%-25.2M114.3M-4.2M4.4048.1012,41654,570229,338678,531