XLI Options History — June 2013

In June 2013, XLI traded between $41.59 and $44.16. ATM implied volatility averaged 17.3%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.9% (HV 20d: 15.4%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2013-06-13: Highest Volume — 49,117 contracts
  • 2013-06-20: Largest IV spike — 33.9% change
  • 2013-06-20: Highest IV Rank — 85.2%
  • 2013-06-20: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.07$41.59$44.16$43.74$42.58
Max Pain$43.30$42.00$44.00$42.00$43.00
ATM IV17.3%15.0%20.1%16.3%15.5%
Expected Move4.9%4.3%5.8%4.7%4.5%
HV 20d15.4%11.0%19.4%11.0%19.2%
HV 60d14.6%13.0%16.1%13.0%16.1%
IV Rank55.9%35.5%85.2%38.9%53.1%
IV Percentile71.4%44.0%96.8%61.1%51.2%
Term Structure0.6%-1.3%1.9%-0.4%1.2%
VWIV17.9%14.6%21.1%19.1%17.2%
Skew 25d4.6%4.1%5.9%4.5%4.2%
Skew 10d10.5%7.0%26.8%10.6%7.0%
Call IV 25d15.4%14.1%17.9%15.2%14.8%
Put IV 25d20.0%18.4%23.1%19.7%19.0%
Bid-Ask Spread %77.4814.5598.9786.5694.14
Gamma HHI0.140.110.380.120.11
Net GEX692.0K-37.6M29.4M4.3M-6.7M
Net DEX-39.7M-323.8M248.2M-133.0M46.0M
Net VEX-2.5M-2.6M-2.3M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.154.724.721.55
Total Volume23,928.155,29749,11720,97418,326
Total OI527,142.1377,105636,755487,074399,774

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$43.74$42.0016.3%4.7%11.0%38.9%19.1%4.5%-0.4%4.3M-133.0M-2.5M4.7286.563,66817,306192,903294,171
2013-06-04$43.46$42.0018.0%5.2%11.3%47.4%17.9%4.3%-1.3%1.1M-99.8M-2.5M1.1056.1612,62413,888194,290306,303
2013-06-05$42.74$42.0018.0%5.2%12.5%47.1%19.5%5.1%-1.0%-7.1M58.7M-2.5M3.8939.755,52221,455200,989314,748
2013-06-06$43.02$42.0017.9%5.1%12.6%46.7%18.2%4.8%-0.7%-5.1M-10.9M-2.6M0.3143.2825,6967,865202,005323,730
2013-06-07$43.77$44.0015.6%4.4%14.0%35.5%14.6%4.3%1.9%6.6M-158.7M-2.5M0.3298.9724,9047,901219,026326,043
2013-06-10$43.69$44.0015.9%4.4%13.9%42.3%16.6%4.3%1.8%11.8M-179.1M-2.5M1.9018.326,25111,893237,052330,299
2013-06-11$43.31$44.0018.5%4.9%14.2%57.1%17.3%4.8%0.9%6.2M-93.5M-2.6M2.8788.254,20812,060240,691337,671
2013-06-12$42.96$44.0019.2%5.1%13.8%61.2%18.7%4.9%0.7%-4.4M20.4M-2.6M1.8091.8210,96619,753242,700345,676
2013-06-13$43.59$44.0015.6%4.5%14.8%40.6%16.8%4.6%1.9%11.2M-154.3M-2.6M0.8593.6126,54822,569243,706342,599
2013-06-14$43.29$44.0017.3%5.0%14.9%60.2%17.2%4.3%1.1%10.0M-101.8M-2.6M1.0391.577,0377,269255,257344,439
2013-06-17$43.64$44.0016.1%4.6%14.1%52.0%16.6%4.4%1.4%19.2M-202.0M-2.6M1.0087.4111,74811,803259,798349,708
2013-06-18$44.16$44.0016.1%4.6%14.8%52.0%17.0%4.3%1.4%29.4M-323.8M-2.6M0.8194.6811,2239,037267,829358,088
2013-06-19$43.57$44.0015.0%4.3%15.4%45.6%15.5%4.3%1.8%23.6M-180.4M-2.6M0.1592.9014,7872,185274,108362,647
2013-06-20$42.49$44.0020.1%5.8%17.4%85.2%19.9%4.7%0.0%-20.9M148.3M-2.4M0.9191.2321,43019,521260,315358,551
2013-06-21$42.33$43.0019.3%5.5%17.5%79.7%19.9%5.3%0.6%-37.6M248.2M-2.4M2.6794.4112,36633,045242,087364,002
2013-06-24$41.59$43.0019.1%5.5%18.3%78.0%21.1%5.9%0.1%-8.3M148.5M-2.4M1.9190.167,11613,612181,416195,689
2013-06-25$42.07$43.0018.3%5.2%18.8%71.9%19.6%5.0%0.1%-9.0M110.2M-2.3M1.7590.753,2145,613185,895202,050
2013-06-26$42.47$43.0017.9%5.1%19.2%69.3%18.0%4.3%0.3%-7.0M57.9M-2.4M0.6091.173,3091,988187,751204,294
2013-06-27$42.89$43.0015.8%4.5%19.4%54.0%16.6%4.1%1.0%-3.4M5.7M-2.4M2.5514.552,4946,363188,843205,699
2013-06-28$42.58$43.0015.5%4.5%19.2%53.1%17.2%4.2%1.2%-6.7M46.0M-2.4M1.5594.147,19711,129190,339209,435