XLI Options History — October 2012

In October 2012, XLI traded between $36.28 and $37.42. ATM implied volatility averaged 15.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.7% (HV 20d: 11.8%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.12.

Notable Days

  • 2012-10-22: Highest Volume — 52,851 contracts
  • 2012-10-23: Largest IV spike — 17.4% change
  • 2012-10-31: Highest IV Rank — 33.7%
  • 2012-10-31: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.70$36.28$37.42$36.68$36.49
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV15.5%13.7%18.4%14.2%18.4%
Expected Move4.5%3.5%5.3%4.1%5.3%
HV 20d11.8%10.3%14.3%14.3%11.4%
HV 60d13.0%11.4%14.2%14.2%11.4%
IV Rank21.6%11.3%33.7%11.3%33.7%
IV Percentile17.0%3.2%46.8%4.8%46.8%
Term Structure1.4%0.6%3.0%1.2%0.6%
VWIV15.9%11.3%18.8%15.6%17.1%
Skew 25d3.7%2.0%7.2%3.3%3.8%
Skew 10d8.0%4.9%15.3%7.4%7.8%
Call IV 25d13.9%8.5%16.1%14.0%16.1%
Put IV 25d17.6%15.6%20.0%17.3%19.9%
Bid-Ask Spread %44.9910.93102.5628.4458.16
Gamma HHI0.190.110.430.170.12
Net GEX-7.0M-33.3M36.0M5.4M-12.7M
Net DEX33.1M-160.6M161.8M-18.3M105.9M
Net VEX-2.7M-2.9M-2.4M-2.9M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.120.5718.772.781.07
Total Volume25,383.7627,30852,85113,09818,671
Total OI729,802.905546,538839,403723,815616,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$36.68$37.0014.2%4.1%14.3%11.3%15.6%3.3%1.2%5.4M-18.3M-2.9M2.7828.443,4679,631290,288433,527
2012-10-02$36.67$37.0014.3%4.1%13.9%11.6%15.7%2.9%1.6%3.8M-8.0M-2.9M3.1625.059,07128,688292,532439,737
2012-10-03$36.87$37.0013.7%3.9%13.9%11.9%15.1%2.3%1.7%5.3M-24.6M-2.9M4.1024.741,7076,993295,969457,430
2012-10-04$37.02$37.0014.0%4.0%11.6%15.0%13.5%2.3%1.8%13.5M-72.2M-2.9M1.0223.513,6253,683295,754462,670
2012-10-05$37.15$37.0013.7%4.4%11.3%14.3%16.7%3.5%1.2%20.2M-111.2M-2.9M7.6779.364,53634,802298,705463,596
2012-10-08$36.97$37.0013.7%4.5%11.2%15.6%15.5%3.1%1.4%13.0M-78.3M-2.8M2.0228.674,2648,620299,849477,870
2012-10-09$36.64$37.0015.2%3.5%11.6%21.3%12.9%5.6%2.2%-29.0M117.4M-2.7M0.5751.2317,1889,812303,254483,486
2012-10-10$36.35$37.0016.0%4.8%11.6%24.5%17.3%3.5%1.3%-29.6M141.1M-2.7M2.4326.8811,92429,033300,890485,221
2012-10-11$36.28$37.0016.1%4.6%10.8%24.9%15.4%4.0%1.5%-33.3M136.6M-2.7M0.7137.0818,99513,478292,649491,704
2012-10-12$36.39$37.0016.7%4.8%10.3%26.9%17.5%4.3%1.2%-32.6M122.4M-2.6M1.3296.2511,77615,544302,576495,407
2012-10-15$36.70$37.0015.3%4.4%10.8%21.9%16.5%3.2%1.2%-19.1M33.4M-2.5M4.4429.234,36519,398301,571499,768
2012-10-16$37.11$37.0014.3%4.1%11.7%17.8%11.3%7.2%3.0%-2.7M-32.1M-2.5M0.8854.6412,98411,388303,653508,186
2012-10-17$37.33$37.0015.2%4.4%11.7%21.5%18.0%3.2%1.6%5.6M-115.5M-2.5M6.0837.224,40926,790311,781511,434
2012-10-18$37.42$37.0015.8%4.5%11.3%23.6%15.6%2.0%0.7%36.0M-160.6M-2.5M0.8456.0510,9489,166312,182522,515
2012-10-19$36.72$37.0014.3%4.1%12.3%18.2%15.1%3.0%2.1%-24.4M79.5M-2.5M1.59102.5612,36519,695310,294529,109
2012-10-22$36.71$37.0014.9%4.3%12.3%20.3%16.0%3.9%1.7%-8.6M16.5M-2.4M1.3029.7923,01629,835198,975347,563
2012-10-23$36.32$37.0017.5%5.0%11.9%30.2%16.8%4.5%0.8%-12.7M124.1M-2.7M1.1323.6413,94915,756211,807366,028
2012-10-24$36.32$37.0017.1%4.9%11.8%28.8%15.9%3.4%0.8%-17.6M161.8M-2.7M2.2825.015,57312,704219,220375,891
2012-10-25$36.30$37.0017.4%5.0%11.3%29.7%18.8%4.5%0.9%-13.1M134.0M-2.7M18.7710.931,31224,625222,884379,583
2012-10-26$36.29$37.0017.5%5.0%11.3%30.0%17.8%4.1%0.7%-13.7M142.7M-2.7M1.2696.384,0965,177223,230390,434
2012-10-31$36.49$37.0018.4%5.3%11.4%33.7%17.1%3.8%0.6%-12.7M105.9M-2.6M1.0758.169,0309,641226,011390,628