XLI Options History — December 2012

In December 2012, XLI traded between $36.73 and $38.48. ATM implied volatility averaged 16.7%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.5% (HV 20d: 12.3%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.90.

Notable Days

  • 2012-12-20: Highest Volume — 220,605 contracts
  • 2012-12-28: Largest IV spike — 24.4% change
  • 2012-12-28: Highest IV Rank — 60.8%
  • 2012-12-28: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.65$36.73$38.48$36.75$37.92
Max Pain$36.80$36.00$37.00$36.00$37.00
ATM IV16.7%15.5%21.2%17.3%17.3%
Expected Move4.9%4.5%6.1%5.0%5.0%
HV 20d12.3%8.8%17.8%16.7%17.8%
HV 60d13.8%13.3%15.7%14.5%15.7%
IV Rank33.7%23.7%60.8%30.7%40.6%
IV Percentile33.6%16.3%85.7%41.7%48.8%
Term Structure0.4%-3.2%2.5%-0.6%-0.1%
VWIV17.5%12.1%20.9%18.8%18.7%
Skew 25d3.0%-1.1%5.4%3.1%4.0%
Skew 10d7.2%-2.6%13.9%5.8%8.5%
Call IV 25d15.4%12.5%19.4%16.1%16.0%
Put IV 25d18.4%11.4%20.4%19.2%20.0%
Bid-Ask Spread %41.496.0187.9325.3518.93
Gamma HHI0.160.130.210.130.17
Net GEX-4.3M-18.2M10.9M-14.4M-3.7M
Net DEX-87.8M-351.2M202.4M61.0M9.4M
Net VEX-1.7M-2.0M-1.4M-2.0M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.126.281.182.58
Total Volume28,109.75,478220,60510,33512,456
Total OI607,037.35490,883692,175614,842510,019

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$36.75$36.0017.3%5.0%16.7%30.7%18.8%3.1%-0.6%-14.4M61.0M-2.0M1.1825.354,7315,604211,669403,173
2012-12-04$36.86$36.0017.0%4.9%16.6%29.6%17.2%3.2%0.1%-13.7M42.5M-2.0M2.1136.873,3837,135212,236405,709
2012-12-05$37.24$36.0017.2%4.9%16.6%30.2%17.6%2.4%-0.7%-9.2M-58.0M-1.8M1.8534.1510,04718,620209,967407,541
2012-12-06$37.28$36.0017.2%4.9%13.4%30.5%19.4%2.1%-1.5%-10.0M-51.5M-1.9M2.1934.574,97510,887211,260413,245
2012-12-07$37.49$37.0016.9%4.9%13.1%29.0%16.9%2.7%1.2%-7.7M-106.4M-1.7M2.3687.938,60920,330213,516411,012
2012-12-10$37.68$37.0015.5%4.6%13.1%23.7%16.5%2.4%1.1%-3.9M-153.9M-1.7M0.9233.139,8259,082216,856417,961
2012-12-11$37.75$37.0015.9%5.5%13.1%25.1%12.1%-1.1%-3.2%2.1M-239.9M-1.7M1.0656.896,3036,680223,273419,700
2012-12-12$37.80$37.0015.7%4.6%12.8%26.8%16.9%3.2%1.6%2.1M-193.9M-1.6M1.2637.403,3824,248227,928422,427
2012-12-13$37.67$37.0016.0%4.6%9.7%27.8%16.2%3.4%1.7%445.7K-168.3M-1.7M1.5138.497,39011,128228,557422,678
2012-12-14$37.62$37.0016.8%4.8%9.7%34.3%18.0%2.9%1.1%-1.7M-145.4M-1.7M6.2885.991,5649,826230,866425,878
2012-12-17$37.95$37.0016.1%4.6%9.9%34.1%18.7%3.5%1.6%5.3M-230.1M-1.5M2.1039.345,45911,464230,719429,519
2012-12-18$38.42$37.0016.0%4.6%8.8%33.6%17.1%3.4%1.3%10.9M-351.2M-1.4M1.3527.8511,54915,640232,236430,144
2012-12-19$38.24$37.0016.7%4.8%9.2%37.3%17.0%4.2%1.3%8.0M-297.8M-1.4M2.1025.7513,62428,607231,013436,193
2012-12-20$38.48$37.0016.3%4.7%9.3%35.1%17.8%3.7%1.4%5.3M-312.1M-1.5M0.1231.82197,78222,823234,585457,590
2012-12-21$37.96$37.0015.7%4.5%10.2%32.1%15.3%5.4%2.5%-17.3M72.3M-1.7M0.8181.2919,25815,590157,276466,678
2012-12-24$37.82$37.0016.6%4.8%10.4%36.8%17.4%4.4%0.6%-5.1M39.1M-1.7M1.796.013,7376,692143,709347,174
2012-12-26$37.69$37.0016.8%4.8%10.5%37.7%18.9%3.9%0.7%-6.4M45.5M-1.6M1.4419.915,2847,627139,867352,023
2012-12-27$37.64$37.0017.0%4.9%10.5%39.0%17.8%4.4%0.6%-9.1M79.9M-1.7M1.4425.546,3099,066143,911356,484
2012-12-28$36.73$37.0021.2%6.1%13.6%60.8%20.9%-0.2%-1.7%-18.2M202.4M-1.8M3.5382.591,2104,268146,090360,065
2012-12-31$37.92$37.0017.3%5.0%17.8%40.6%18.7%4.0%-0.1%-3.7M9.4M-1.6M2.5818.933,4848,972146,816363,203