XLI Options History — January 2013

In January 2013, XLI traded between $38.66 and $40.58. ATM implied volatility averaged 12.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 5.1% (HV 20d: 17.9%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.13.

Notable Days

  • 2013-01-15: Highest Volume — 71,385 contracts
  • 2013-01-10: Largest IV spike — 21.1% change
  • 2013-01-30: Highest IV Rank — 23.7%
  • 2013-01-04: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.59$38.66$40.58$38.81$40.06
Max Pain$39.05$37.00$40.00$37.00$40.00
ATM IV12.8%11.5%14.1%13.2%13.7%
Expected Move3.8%3.3%4.3%3.8%3.9%
HV 20d17.9%9.0%19.4%18.9%9.0%
HV 60d16.0%15.3%16.4%16.3%15.3%
IV Rank17.0%10.1%23.7%19.1%21.8%
IV Percentile4.4%1.2%13.9%2.0%10.7%
Term Structure1.6%0.7%2.1%1.7%1.1%
VWIV14.5%12.0%22.1%14.0%15.4%
Skew 25d2.8%2.1%3.4%2.7%3.3%
Skew 10d6.5%4.7%8.9%7.4%8.9%
Call IV 25d12.2%10.7%13.4%12.4%12.8%
Put IV 25d15.0%13.2%16.7%15.1%16.1%
Bid-Ask Spread %43.0225.51104.2525.5134.68
Gamma HHI0.300.170.680.220.17
Net GEX17.0M-5.7M43.3M14.9M-5.7M
Net DEX-213.2M-407.9M-41.5M-186.3M-41.5M
Net VEX-1.1M-1.3M-935.1K-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.130.1034.060.734.77
Total Volume20,439.0484,74071,38511,73525,224
Total OI475,054.476302,900627,449507,759377,784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$38.81$37.0013.2%3.8%18.9%19.1%14.0%2.7%1.7%14.9M-186.3M-1.3M0.7325.516,7884,947147,941359,818
2013-01-03$38.83$37.0013.0%3.7%18.9%17.8%13.4%2.1%1.8%17.5M-204.9M-1.2M1.2825.606,8358,737149,442361,666
2013-01-04$39.12$39.0012.6%4.3%18.8%15.6%15.2%3.4%0.8%20.5M-259.9M-1.2M0.4989.3410,8795,350153,794366,214
2013-01-07$38.96$39.0012.4%4.1%18.9%14.9%16.1%3.3%1.4%24.7M-253.8M-1.1M1.7036.594,5757,775160,032367,659
2013-01-08$38.66$39.0012.0%4.0%19.2%13.0%14.1%3.0%1.8%19.4M-178.6M-1.2M0.4239.468,1393,389159,050373,524
2013-01-09$39.04$39.0011.5%4.0%19.4%10.1%15.1%3.2%1.9%26.9M-258.1M-1.2M1.3536.915,6177,591160,391373,695
2013-01-10$39.04$39.0013.9%4.0%19.4%22.9%14.1%3.1%1.7%29.5M-304.8M-1.1M0.7232.638,3296,003163,776377,626
2013-01-11$39.10$39.0013.7%3.9%19.4%21.4%14.4%2.6%1.8%30.0M-279.5M-1.2M3.90100.861,3075,092166,207380,961
2013-01-14$39.24$39.0013.9%4.0%19.3%22.5%15.2%2.8%1.7%36.0M-310.7M-991.9K5.9033.821,2487,362166,957385,317
2013-01-15$39.35$39.0013.8%3.9%19.3%21.9%22.1%2.8%2.0%28.0M-340.5M-935.1K34.0634.042,03669,349167,206388,995
2013-01-16$39.20$39.0013.5%3.9%19.2%20.7%14.6%2.9%2.0%24.5M-287.5M-1.1M1.5532.422,7554,257167,003455,793
2013-01-17$39.76$39.0012.3%3.5%19.4%14.2%14.0%2.5%2.1%26.9M-359.0M-1.1M0.6633.269,0025,954166,704455,294
2013-01-18$39.87$39.0011.9%3.4%19.2%12.1%12.1%3.0%1.6%43.3M-407.9M-970.7K0.10104.2561,5586,167170,346457,103
2013-01-22$40.09$39.0011.9%3.4%19.2%12.1%14.1%2.6%1.8%8.8M-131.6M-1.0M4.0939.104,04716,54085,127217,773
2013-01-23$40.10$39.0011.6%3.3%18.3%10.6%12.0%2.8%2.1%7.0M-115.1M-1.1M8.8637.893,98435,31387,208228,655
2013-01-24$40.40$39.0012.0%3.4%18.2%12.5%12.9%2.4%1.7%5.5M-136.9M-1.0M1.2631.9314,53218,24789,504246,791
2013-01-25$40.47$40.0012.5%3.6%18.1%15.4%12.5%2.5%1.4%786.1K-107.1M-1.2M1.4731.861,9182,82290,646260,222
2013-01-28$40.50$40.0013.5%3.9%18.0%20.5%13.8%3.0%1.0%513.7K-109.3M-1.2M7.3331.511,80513,22391,687261,430
2013-01-29$40.58$40.0012.3%3.5%14.7%14.4%13.4%2.3%1.0%-627.7K-118.4M-1.2M1.7236.564,3057,42292,533271,179
2013-01-30$40.24$40.0014.1%4.0%11.5%23.7%16.8%3.1%0.7%-2.0M-85.4M-1.2M4.3835.281,6367,16196,032277,059
2013-01-31$40.06$40.0013.7%3.9%9.0%21.8%15.4%3.3%1.1%-5.7M-41.5M-1.3M4.7734.684,37120,85395,916281,868