XLI Options History — November 2012

In November 2012, XLI traded between $35.40 and $37.43. ATM implied volatility averaged 17.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.8% (HV 20d: 16.5%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2012-11-14: Highest Volume — 47,486 contracts
  • 2012-11-16: Largest IV drop — 14.6% change
  • 2012-11-15: Highest IV Rank — 40.5%
  • 2012-11-15: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.50$35.40$37.43$37.14$37.13
Max Pain$36.10$36.00$37.00$37.00$36.00
ATM IV17.2%15.4%20.2%15.4%15.6%
Expected Move5.0%4.4%5.8%4.4%4.5%
HV 20d16.5%13.0%18.5%13.0%16.6%
HV 60d13.6%11.9%14.5%11.9%14.3%
IV Rank29.3%22.1%40.5%22.1%24.1%
IV Percentile35.2%13.9%69.4%13.9%16.7%
Term Structure0.1%-1.0%2.1%2.1%-0.0%
VWIV18.0%15.6%20.8%16.3%16.9%
Skew 25d3.7%2.6%4.6%3.0%2.6%
Skew 10d7.8%5.7%14.8%5.7%8.9%
Call IV 25d15.8%14.2%18.2%14.5%14.6%
Put IV 25d19.5%16.8%22.1%17.5%17.2%
Bid-Ask Spread %39.667.36103.9929.2399.92
Gamma HHI0.160.130.220.140.14
Net GEX-16.6M-46.2M4.1M1.6M-8.2M
Net DEX117.1M-130.1M434.6M-82.8M-31.5M
Net VEX-2.4M-2.7M-1.9M-2.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.475.670.992.03
Total Volume23,573.0482,22147,48636,60018,211
Total OI644,040.143586,247706,653621,046605,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$37.14$37.0015.4%4.4%13.0%22.1%16.3%3.0%2.1%1.6M-82.8M-2.5M0.9929.2318,41518,185229,663391,383
2012-11-02$36.83$37.0016.0%4.6%13.3%24.2%15.6%2.9%1.8%-7.1M38.1M-2.6M5.67103.992,72415,451237,099403,310
2012-11-05$37.02$36.0018.2%5.2%13.3%32.7%18.6%4.1%-0.2%-5.3M-10.2M-2.6M1.4432.9912,57718,150237,894414,506
2012-11-06$37.43$36.0018.4%5.2%13.8%33.4%18.1%4.1%-0.1%4.1M-130.1M-2.6M0.9146.468,1577,446247,583426,509
2012-11-07$36.46$36.0019.9%5.7%16.7%39.1%20.8%4.4%-0.6%-15.3M133.2M-2.7M3.3430.739,20630,728246,393428,407
2012-11-08$36.17$36.0017.8%5.5%16.6%31.2%19.0%4.4%-0.1%-25.9M228.1M-2.7M2.347.3612,24228,683249,110444,924
2012-11-09$36.27$36.0018.8%5.5%16.5%35.0%19.1%4.6%-0.1%-25.6M222.4M-2.7M2.7091.236,20716,778248,734451,289
2012-11-12$36.41$36.0017.3%5.4%16.5%29.5%19.9%3.9%-0.3%-21.2M148.7M-2.6M2.2133.314,3439,597251,061452,073
2012-11-13$36.21$36.0018.0%5.3%16.6%31.9%17.3%4.0%-0.2%-29.7M215.9M-2.5M1.3921.874,1235,720250,817453,143
2012-11-14$35.45$36.0019.8%5.8%17.8%38.7%19.5%3.8%-0.2%-46.2M434.6M-2.5M1.5822.6918,37729,109252,710453,943
2012-11-15$35.40$36.0020.2%5.8%17.2%40.5%19.8%3.9%-0.4%-43.9M434.3M-2.4M0.7723.1422,31117,118253,677446,394
2012-11-16$35.51$36.0017.3%5.0%17.0%29.3%17.8%3.9%0.6%-41.2M405.4M-2.3M0.6192.1618,93311,611254,071447,505
2012-11-19$36.17$36.0016.8%4.8%18.5%27.4%16.9%4.0%0.4%-14.4M157.1M-2.3M0.7326.0620,94715,303209,960376,287
2012-11-20$36.15$36.0016.4%4.7%17.3%25.9%16.2%3.3%0.0%-14.2M141.4M-2.2M1.1125.0712,39313,753210,852377,151
2012-11-21$36.27$36.0016.4%4.7%17.4%26.1%17.8%3.3%0.1%-14.5M146.2M-2.2M5.2526.831,7849,359207,957380,202
2012-11-23$36.74$36.0015.4%4.4%17.6%22.3%16.9%3.8%0.4%-10.0M45.5M-2.1M0.478.681,509712212,499383,706
2012-11-26$36.77$36.0015.8%4.5%17.6%23.8%20.5%4.1%0.1%-8.3M3.7M-2.0M0.7129.707,5475,371212,590383,992
2012-11-27$36.81$36.0016.1%4.6%17.6%24.7%17.0%3.3%0.2%-10.2M38.3M-2.0M2.1228.252,1514,559207,729385,801
2012-11-28$37.00$36.0016.1%4.6%17.7%26.0%18.1%3.5%0.0%-7.9M-15.5M-1.9M1.0324.964,3394,484207,918388,882
2012-11-29$37.22$36.0016.6%4.7%17.7%27.8%16.3%2.6%-1.0%-6.0M-64.3M-1.9M1.5628.2410,31516,106209,662391,653
2012-11-30$37.13$36.0015.6%4.5%16.6%24.1%16.9%2.6%-0.0%-8.2M-31.5M-2.0M2.0399.926,01712,194211,917393,887