XLI Options History — April 2013

In April 2013, XLI traded between $40.18 and $42.00. ATM implied volatility averaged 14.5%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.6% (HV 20d: 12.9%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.62.

Notable Days

  • 2013-04-11: Highest Volume — 48,540 contracts
  • 2013-04-15: Largest IV spike — 25.9% change
  • 2013-04-18: Highest IV Rank — 46.3%
  • 2013-04-18: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.08$40.18$42.00$41.27$41.45
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV14.5%11.5%17.8%14.3%15.0%
Expected Move4.2%3.6%5.1%4.1%4.3%
HV 20d12.9%9.2%16.2%10.3%15.4%
HV 60d12.3%11.1%13.4%11.3%13.2%
IV Rank30.1%14.9%46.3%28.8%32.5%
IV Percentile31.5%2.8%69.4%27.8%37.7%
Term Structure0.8%0.1%1.4%0.4%0.8%
VWIV15.3%13.5%17.9%15.4%17.9%
Skew 25d3.9%3.1%5.1%4.0%4.0%
Skew 10d8.9%4.9%12.2%7.7%7.9%
Call IV 25d13.0%11.7%15.7%12.2%12.6%
Put IV 25d16.9%14.9%20.8%16.2%16.6%
Bid-Ask Spread %46.9325.20103.0329.8929.43
Gamma HHI0.200.160.300.190.16
Net GEX-12.7M-42.1M6.0M-5.3M-9.0M
Net DEX61.3M-90.3M243.2M18.5M10.8M
Net VEX-1.7M-1.8M-1.5M-1.6M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.620.4511.446.206.17
Total Volume18,332.1365,66848,54013,11325,707
Total OI327,295.091270,362374,743270,362374,743

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$41.27$41.0014.3%4.1%10.3%28.8%15.4%4.0%0.4%-5.3M18.5M-1.6M6.2029.891,82211,291102,343168,019
2013-04-02$41.20$41.0013.8%3.9%10.3%26.3%14.0%3.8%0.4%-7.6M38.2M-1.6M2.7733.683,2118,883103,183175,114
2013-04-03$40.90$41.0014.3%4.1%9.4%29.1%14.1%4.1%0.1%-12.3M80.0M-1.7M0.8730.9310,2588,941105,165181,734
2013-04-04$41.05$41.0014.2%4.1%9.5%28.6%14.4%4.1%0.3%-9.7M59.6M-1.7M1.2030.163,3914,061110,666185,932
2013-04-05$40.92$41.0013.5%4.1%9.5%24.9%14.6%4.1%1.1%-13.2M81.7M-1.6M4.5889.601,8148,309111,803186,276
2013-04-08$41.21$41.0013.6%4.0%9.2%25.4%15.0%4.2%1.2%-8.2M36.5M-1.6M0.8128.673,8073,102112,625188,575
2013-04-09$41.34$41.0013.5%4.0%9.2%24.9%13.5%4.0%1.2%-5.7M10.5M-1.6M1.0925.932,7122,956114,457188,849
2013-04-10$41.88$41.0011.5%3.6%10.2%14.9%15.1%3.4%1.4%5.7M-70.1M-1.5M2.7526.313,5029,620115,784189,410
2013-04-11$42.00$41.0012.9%3.7%10.1%21.8%14.1%3.1%1.4%6.0M-90.3M-1.5M1.3526.7420,67027,870115,798197,457
2013-04-12$41.76$41.0012.9%3.7%10.1%22.0%14.2%3.1%1.2%-1.6M-46.9M-1.6M8.6835.631,0429,045128,606224,255
2013-04-15$40.59$41.0016.3%4.7%14.2%38.7%17.2%4.0%0.5%-36.9M207.8M-1.7M3.19100.963,0079,584128,789230,293
2013-04-16$41.04$41.0015.0%4.3%14.7%32.6%15.6%3.9%0.7%-18.1M101.8M-1.7M4.2525.201,1865,036129,021230,917
2013-04-17$40.43$41.0017.3%5.0%15.6%43.9%17.0%4.5%0.3%-38.3M223.0M-1.7M1.9226.929,07617,410129,141230,272
2013-04-18$40.18$41.0017.8%5.1%15.6%46.3%17.8%5.1%0.4%-38.3M243.2M-1.7M6.3327.795,28833,496127,797223,096
2013-04-19$40.35$41.0016.3%4.7%15.8%38.6%14.8%4.8%1.0%-42.1M206.7M-1.7M0.4577.3023,73310,765126,788231,067
2013-04-22$40.43$41.0016.0%4.6%15.8%37.4%15.9%4.1%0.4%-13.5M141.3M-1.8M1.3130.0312,13815,890116,277199,885
2013-04-23$40.72$41.0013.8%4.0%15.8%26.5%16.3%3.8%1.2%-10.0M80.9M-1.8M2.2297.363,0616,794122,902211,646
2013-04-24$41.12$41.0014.2%4.1%16.1%28.2%15.7%3.9%0.8%-5.3M21.6M-1.8M1.1097.032,7453,021124,186214,967
2013-04-25$41.35$41.0014.6%4.2%16.2%30.5%14.6%3.7%0.8%-3.5M-14.2M-1.8M7.2833.212,77820,232121,778216,304
2013-04-26$41.20$41.0014.3%4.1%15.9%28.7%15.4%3.5%0.9%-7.5M24.4M-1.8M3.72103.031,9167,130122,549228,161
2013-04-29$41.42$41.0014.7%4.2%15.4%31.1%14.7%3.8%1.0%-4.8M-16.2M-1.7M11.4426.602,97634,031122,319231,543
2013-04-30$41.45$41.0015.0%4.3%15.4%32.5%17.9%4.0%0.8%-9.0M10.8M-1.8M6.1729.433,58722,120123,306251,437