XLI Options History — July 2013

In July 2013, XLI traded between $42.57 and $45.48. ATM implied volatility averaged 14.2%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.5% (HV 20d: 16.7%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.68.

Notable Days

  • 2013-07-23: Highest Volume — 51,245 contracts
  • 2013-07-17: Largest IV drop — 11.2% change
  • 2013-07-16: Highest IV Rank — 57.2%
  • 2013-07-08: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.41$42.57$45.48$43.07$45.16
Max Pain$43.59$42.00$44.00$43.00$44.00
ATM IV14.2%13.0%15.8%15.8%14.1%
Expected Move4.1%3.7%4.6%4.5%4.1%
HV 20d16.7%11.1%19.9%19.6%11.1%
HV 60d15.6%14.7%16.7%16.2%14.7%
IV Rank44.8%35.3%57.2%55.2%44.6%
IV Percentile34.2%17.1%57.5%54.8%38.9%
Term Structure1.4%0.9%2.3%0.9%1.0%
VWIV14.8%12.1%18.7%15.3%13.4%
Skew 25d3.1%2.4%4.1%3.9%2.8%
Skew 10d5.9%3.8%9.1%6.7%5.5%
Call IV 25d13.2%12.0%15.0%14.2%13.0%
Put IV 25d16.4%14.5%18.9%18.2%15.9%
Bid-Ask Spread %79.5814.30103.4714.30103.47
Gamma HHI0.180.110.420.110.20
Net GEX19.2M-9.9M60.7M-3.9M23.5M
Net DEX-181.7M-421.2M61.2M-3.6M-222.3M
Net VEX-2.2M-2.4M-1.9M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.1019.250.210.86
Total Volume11,280.3641,89551,2459,1322,432
Total OI404,460.727341,650446,851412,785376,259

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$43.07$43.0015.8%4.5%19.6%55.2%15.3%3.9%0.9%-3.9M-3.6M-2.4M0.2114.307,5611,571194,870217,915
2013-07-02$42.57$43.0015.7%4.5%19.9%54.0%16.7%4.0%1.1%-9.4M61.2M-2.4M1.3626.932,4113,283195,675218,961
2013-07-03$42.63$43.0015.3%4.4%19.0%54.1%16.9%4.1%1.1%-9.9M57.3M-2.4M3.3393.272,6028,656197,035219,532
2013-07-05$43.31$42.0014.3%4.6%19.7%46.1%17.0%4.0%1.3%-2.3M-39.1M-2.3M5.7294.378234,710198,975227,701
2013-07-08$43.43$42.0015.1%4.6%18.7%52.3%18.7%4.1%0.9%747.5K-60.1M-2.3M19.2578.3389017,131199,227227,631
2013-07-09$44.06$42.0013.9%4.3%19.4%43.0%15.1%3.6%0.9%16.1M-160.8M-2.2M2.6553.572,5276,696199,130221,614
2013-07-10$44.02$44.0013.6%4.3%19.1%40.6%15.3%3.7%1.4%15.5M-155.8M-2.2M0.8816.671,008887199,668225,324
2013-07-11$44.71$44.0014.1%4.0%19.5%44.3%14.5%3.2%1.4%30.2M-270.6M-2.2M0.4518.432,3261,057199,827225,503
2013-07-12$44.45$44.0015.5%4.4%19.1%55.2%16.5%2.9%1.2%25.7M-216.8M-2.2M4.6295.352,90413,410200,357225,753
2013-07-15$44.61$44.0014.2%4.1%18.9%44.9%15.1%3.0%1.5%31.5M-257.3M-2.2M1.3073.521,0271,338201,460231,465
2013-07-16$44.37$44.0015.7%4.5%18.9%57.2%16.0%3.2%1.2%26.6M-204.0M-2.2M6.0492.215463,300201,972232,013
2013-07-17$44.52$44.0014.0%4.0%18.5%43.4%15.1%3.2%1.6%31.8M-219.9M-2.1M0.3895.048,6663,322202,116234,050
2013-07-18$44.95$44.0014.0%4.0%18.0%43.7%14.1%2.8%1.4%60.7M-309.5M-2.2M0.6095.905,2543,169208,559235,483
2013-07-19$45.48$44.0013.4%3.8%15.3%38.5%13.7%2.4%2.3%35.2M-421.2M-2.1M0.52101.5216,5738,661209,089237,762
2013-07-22$45.44$44.0013.5%3.9%15.1%39.6%13.4%2.4%1.5%21.1M-271.6M-1.9M1.0397.613,3373,437168,947172,703
2013-07-23$45.41$44.0013.5%3.9%13.0%39.2%12.4%2.4%1.5%21.8M-273.6M-2.0M0.1099.0546,5224,723169,770175,558
2013-07-24$45.16$44.0013.5%3.9%13.2%39.9%13.1%2.4%1.9%26.1M-242.5M-2.2M0.97101.402,3482,272187,516178,199
2013-07-25$45.03$44.0013.4%3.8%13.2%38.4%14.0%2.5%1.8%21.1M-212.0M-2.1M2.8296.269,27526,138178,460179,119
2013-07-26$44.93$44.0013.0%3.7%13.1%35.3%12.1%2.8%2.0%18.8M-196.7M-2.1M0.62102.692,6791,658178,859200,205
2013-07-29$44.81$44.0013.1%3.7%12.7%36.3%13.0%2.8%1.9%19.1M-177.2M-2.1M4.41100.158433,720180,063190,671
2013-07-30$45.01$44.0013.6%3.9%12.3%40.0%13.0%2.7%1.6%21.6M-201.0M-2.1M0.89100.683,4233,052180,084193,056
2013-07-31$45.16$44.0014.1%4.1%11.1%44.6%13.4%2.8%1.0%23.5M-222.3M-2.1M0.86103.471,3051,127180,929195,330