XLI Options History — July 2012

In July 2012, XLI traded between $34.21 and $36.08. ATM implied volatility averaged 18.5%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.1% (HV 20d: 20.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 6.10.

Notable Days

  • 2012-07-12: Highest Volume — 138,848 contracts
  • 2012-07-20: Largest IV spike — 14.6% change
  • 2012-07-11: Highest IV Rank — 18.0%
  • 2012-07-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.15$34.21$36.08$35.34$35.81
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.5%16.2%21.2%17.4%19.9%
Expected Move5.4%4.6%6.2%5.0%5.7%
HV 20d20.7%17.9%22.0%21.8%17.9%
HV 60d19.5%18.9%20.2%20.0%19.9%
IV Rank12.5%7.6%18.0%10.2%15.4%
IV Percentile23.7%5.6%43.3%16.3%36.5%
Term Structure1.6%0.5%4.0%2.2%0.5%
VWIV19.8%16.2%22.5%20.3%21.0%
Skew 25d4.9%1.6%7.2%1.6%4.1%
Skew 10d10.6%5.2%17.2%7.2%8.8%
Call IV 25d16.9%13.2%19.0%16.9%18.7%
Put IV 25d21.8%18.5%24.7%18.5%22.8%
Bid-Ask Spread %40.1225.6687.6239.5729.48
Gamma HHI0.180.120.320.160.12
Net GEX-43.6M-112.0M-16.7M-34.9M-24.6M
Net DEX278.8M39.2M735.8M192.6M130.3M
Net VEX-3.9M-4.3M-3.5M-4.2M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.100.6422.084.223.10
Total Volume54,682.5246,971138,84837,78441,412
Total OI939,217.143719,7931,155,428912,085814,406

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$35.34$35.0017.4%5.0%21.8%10.2%20.3%1.6%2.2%-34.9M192.6M-4.2M4.2239.577,24530,539231,035681,050
2012-07-03$35.73$35.0016.7%4.8%22.0%8.8%18.6%4.5%1.7%-25.8M104.8M-4.0M4.1449.704,51618,704230,427679,480
2012-07-05$35.69$35.0016.2%4.6%20.3%7.6%19.8%4.6%2.1%-27.1M120.1M-3.9M5.7428.335,65132,429232,031684,914
2012-07-06$35.20$35.0018.4%5.7%21.0%12.1%21.3%5.2%1.5%-35.3M215.6M-4.0M4.6133.212,31010,651235,689702,836
2012-07-09$35.19$35.0019.2%5.7%20.8%13.8%21.8%5.3%1.7%-42.7M260.0M-4.0M22.0836.813026,669236,289709,433
2012-07-10$34.62$35.0019.2%5.9%21.2%13.8%22.5%5.7%0.8%-58.5M470.5M-4.1M8.8338.397,89869,747236,305716,370
2012-07-11$34.37$35.0021.2%6.2%20.5%18.0%22.3%5.5%1.0%-77.9M583.1M-4.2M10.2328.179,60098,243241,053769,079
2012-07-12$34.21$35.0021.0%6.0%20.3%17.6%22.1%5.5%1.1%-112.0M735.8M-4.3M12.5225.6610,268128,580243,216833,457
2012-07-13$34.84$35.0018.8%5.4%21.1%13.0%18.8%5.2%1.5%-77.0M386.7M-4.1M2.4083.929,19322,046249,131845,991
2012-07-16$34.63$35.0018.7%5.4%21.2%12.8%19.2%4.8%1.6%-76.8M435.1M-3.9M14.8426.773,35149,730251,764791,483
2012-07-17$34.78$35.0018.4%5.3%21.2%12.1%18.9%5.3%1.6%-64.0M376.9M-3.9M9.5445.302,85527,231252,739797,099
2012-07-18$35.41$35.0016.4%4.7%21.7%8.0%16.2%7.2%4.0%-20.0M98.1M-3.7M0.6469.5628,08817,933252,875800,748
2012-07-19$35.56$35.0016.4%4.7%21.7%8.1%16.8%3.9%2.2%-16.7M39.2M-3.8M3.5329.7629,206103,160268,475804,976
2012-07-20$35.16$35.0018.8%5.4%20.8%13.0%18.4%4.8%1.3%-30.6M226.6M-4.0M0.7487.6235,83726,592262,107893,321
2012-07-23$35.00$35.0019.1%5.5%20.8%13.6%20.1%5.0%1.5%-31.2M299.5M-3.7M3.2927.0814,90749,044191,502528,291
2012-07-24$34.80$35.0019.4%5.5%19.7%14.2%21.8%4.6%1.1%-39.9M382.6M-3.7M4.1430.1612,94753,614192,839570,421
2012-07-25$34.69$35.0019.1%5.5%19.8%13.6%19.4%5.5%1.6%-39.5M384.2M-3.9M7.2926.047,22452,664198,086616,399
2012-07-26$35.20$35.0017.1%4.9%20.1%9.6%17.6%3.7%2.2%-38.1M273.7M-3.7M1.6636.3211,20518,563200,739617,853
2012-07-27$36.08$35.0018.5%5.3%21.7%12.4%19.2%6.3%1.8%-21.1M56.1M-3.6M1.2344.0232,49839,814206,088619,229
2012-07-30$35.92$35.0019.1%5.5%18.2%13.7%20.5%4.5%0.6%-21.0M82.5M-3.6M3.4126.573,60112,266215,261619,073
2012-07-31$35.81$35.0019.9%5.7%17.9%15.4%21.0%4.1%0.5%-24.6M130.3M-3.5M3.1029.4810,10231,310206,286608,120