XLI Options History — March 2013

In March 2013, XLI traded between $40.83 and $42.14. ATM implied volatility averaged 12.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.9% (HV 20d: 13.3%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2013-03-14: Highest Volume — 99,682 contracts
  • 2013-03-08: Largest IV drop — 37.1% change
  • 2013-03-25: Highest IV Rank — 29.6%
  • 2013-03-25: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.59$40.83$42.14$40.87$41.80
Max Pain$40.95$40.00$41.00$40.00$41.00
ATM IV12.4%8.5%14.4%14.0%11.6%
Expected Move3.7%3.3%4.1%4.0%3.3%
HV 20d13.3%8.7%14.9%14.4%9.1%
HV 60d14.3%11.8%14.7%14.5%11.8%
IV Rank18.5%0.0%29.6%23.1%15.4%
IV Percentile10.4%0.0%27.4%19.0%3.6%
Term Structure1.5%0.5%3.2%0.6%1.4%
VWIV14.0%11.6%16.5%15.8%11.6%
Skew 25d3.8%2.3%5.1%5.1%3.3%
Skew 10d8.5%6.3%11.3%11.3%7.6%
Call IV 25d11.7%10.6%12.9%12.7%10.8%
Put IV 25d15.5%13.3%17.8%17.8%14.1%
Bid-Ask Spread %31.984.7756.0047.1556.00
Gamma HHI0.230.160.380.230.20
Net GEX4.3M-4.6M15.2M-1.6M-399.6K
Net DEX-111.8M-307.5M14.2M-65.8M-33.0M
Net VEX-1.3M-1.7M-1.0M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0510.241.830.92
Total Volume15,107.5586399,6828,3225,959
Total OI324,071.95188,411416,042388,265267,183

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$40.87$40.0014.0%4.0%14.4%23.1%15.8%5.1%0.6%-1.6M-65.8M-1.4M1.8347.152,9445,378115,397272,868
2013-03-04$40.83$41.0013.5%4.1%14.0%20.4%15.4%4.6%1.3%2.8M-88.4M-1.3M4.6633.721,0765,010116,370274,461
2013-03-05$41.39$41.0013.9%4.0%14.3%22.7%13.6%4.2%1.2%9.1M-182.7M-1.2M0.4735.934,5792,168116,301274,962
2013-03-06$41.41$41.0014.3%4.0%14.1%24.6%13.7%4.3%1.4%9.9M-178.3M-1.2M0.3431.724,2661,463116,853275,397
2013-03-07$41.43$41.0013.5%3.9%14.1%20.5%13.5%4.4%1.6%12.5M-199.4M-1.2M2.0931.26413865118,547275,590
2013-03-08$41.82$41.008.5%3.5%14.3%0.0%15.3%3.9%2.1%14.8M-255.9M-1.1M2.204.772,8306,230118,619275,788
2013-03-11$41.98$41.0011.5%3.5%14.3%15.0%13.3%3.5%1.9%14.4M-284.1M-1.0M2.0031.154,1728,350118,711279,879
2013-03-12$41.73$41.009.2%3.5%14.6%3.6%13.2%3.3%2.2%15.2M-252.7M-1.1M1.6330.825,1848,474121,337285,870
2013-03-13$41.92$41.0011.1%3.4%14.6%13.1%13.1%3.5%2.3%13.6M-262.2M-1.1M1.3130.37374489122,714293,328
2013-03-14$42.14$41.0011.6%3.3%14.6%15.4%12.8%3.4%2.3%11.8M-307.5M-1.1M0.0534.4594,9774,705122,720292,124
2013-03-15$42.01$41.0011.4%3.3%14.7%14.4%12.4%2.3%3.2%-3.8M-16.2M-1.1M0.3747.0019,6547,18555,811295,387
2013-03-18$41.74$41.0012.3%3.5%14.9%19.1%15.2%3.8%1.2%306.9K-25.6M-1.3M2.8731.081,8805,38767,313121,098
2013-03-19$41.76$41.0013.1%3.7%14.7%22.7%15.3%3.9%0.8%-1.0M-22.1M-1.3M0.3831.9720,2387,64268,803125,594
2013-03-20$41.68$41.0011.8%3.4%13.7%16.7%12.9%3.8%1.2%1.5M-36.4M-1.4M10.2433.821,56316,00686,756130,803
2013-03-21$41.52$41.0012.6%3.6%13.3%20.2%15.4%3.0%0.9%-4.6M-2.3M-1.4M1.1632.2013,55715,68187,046145,288
2013-03-22$41.62$41.0012.8%3.7%13.0%21.6%16.5%4.2%0.9%-629.2K-21.2M-1.7M2.2331.182,2184,95296,614158,087
2013-03-25$41.24$41.0014.4%4.1%10.7%29.6%14.6%4.4%0.5%-3.5M14.2M-1.6M0.944.955,3315,01098,269159,848
2013-03-26$41.46$41.0013.7%3.9%10.5%25.7%13.2%3.8%1.1%-1.9M-13.9M-1.7M6.8831.733612,484100,668163,076
2013-03-27$41.44$41.0013.8%3.9%8.7%26.2%12.5%4.2%0.9%-2.1M-1.7M-1.6M1.0228.391,5291,567100,638165,321
2013-03-28$41.80$41.0011.6%3.3%9.1%15.4%11.6%3.3%1.4%-399.6K-33.0M-1.6M0.9256.003,1002,859101,222165,961