XLI Options History — August 2013

In August 2013, XLI traded between $44.04 and $46.02. ATM implied volatility averaged 14.0%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.9% (HV 20d: 11.1%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.36.

Notable Days

  • 2013-08-12: Highest Volume — 34,286 contracts
  • 2013-08-14: Largest IV spike — 35.4% change
  • 2013-08-30: Highest IV Rank — 70.4%
  • 2013-08-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.10$44.04$46.02$45.92$44.04
Max Pain$43.95$43.00$44.00$44.00$44.00
ATM IV14.0%10.1%17.4%12.8%17.4%
Expected Move4.3%3.3%5.0%3.7%5.0%
HV 20d11.1%9.5%13.9%12.1%12.2%
HV 60d14.9%14.5%15.5%14.9%15.0%
IV Rank43.6%12.4%70.4%34.5%70.4%
IV Percentile40.3%1.2%88.1%15.1%88.1%
Term Structure1.0%-0.4%2.6%1.2%0.1%
VWIV15.5%12.1%19.4%13.3%19.4%
Skew 25d4.0%1.9%5.5%2.3%5.5%
Skew 10d7.6%-2.7%11.4%4.2%11.4%
Call IV 25d13.3%11.0%15.1%12.4%15.1%
Put IV 25d17.3%12.9%20.6%14.8%20.6%
Bid-Ask Spread %63.9110.24102.4461.9292.03
Gamma HHI0.200.130.310.230.14
Net GEX15.7M-13.6M41.0M31.4M-13.6M
Net DEX-151.7M-352.4M94.8M-334.0M94.8M
Net VEX-1.9M-2.0M-1.8M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.2511.740.421.89
Total Volume11,544.0452,33634,2866,2946,218
Total OI405,037.818376,466439,312376,466439,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$45.92$44.0012.8%3.7%12.1%34.5%13.3%2.3%1.2%31.4M-334.0M-2.0M0.4261.924,4361,858180,689195,777
2013-08-02$46.02$44.0011.5%3.3%11.3%23.6%12.1%1.9%2.6%33.6M-352.4M-1.9M1.08102.445,2235,665182,699197,103
2013-08-05$45.82$43.0011.4%4.0%11.6%23.1%15.0%3.2%1.5%33.8M-318.1M-2.0M3.0773.721,6024,919185,177201,105
2013-08-06$45.50$44.0012.9%4.3%11.2%35.0%14.7%3.2%1.1%30.3M-272.0M-1.9M1.3978.281,0561,469184,795203,150
2013-08-07$45.43$44.0013.1%4.3%11.2%36.0%15.3%3.6%1.5%29.6M-239.1M-2.0M1.3172.351,0351,353184,854203,924
2013-08-08$45.64$44.0010.7%4.0%10.0%17.3%14.8%3.6%1.8%33.1M-286.3M-1.9M0.9474.941,2031,133185,118204,617
2013-08-09$45.49$44.0012.8%4.3%9.8%34.0%13.9%3.8%1.6%32.0M-260.1M-1.8M0.3092.004,5551,358185,395205,129
2013-08-12$45.57$44.0010.3%4.0%9.8%14.5%15.1%3.9%1.9%33.6M-269.6M-1.9M1.0172.6317,04317,243185,461205,613
2013-08-13$45.75$44.0010.1%3.9%9.5%12.4%13.5%3.5%2.0%41.0M-304.9M-1.9M0.2510.2416,2434,095195,166220,564
2013-08-14$45.42$44.0013.6%4.3%10.0%40.5%14.1%3.8%1.5%33.5M-252.5M-2.0M0.6249.625,9043,660206,181223,595
2013-08-15$44.81$44.0015.4%4.4%10.7%54.9%15.9%4.3%1.5%8.1M-129.0M-2.0M1.2246.313,5024,258192,947223,470
2013-08-16$44.94$44.0015.2%4.4%9.8%53.3%16.4%4.1%1.6%7.2M-145.4M-1.8M1.4893.436,85110,166194,378228,288
2013-08-19$44.74$44.0015.0%4.3%9.9%51.1%17.2%4.7%0.5%9.7M-83.0M-1.9M4.5435.153,22714,663173,328210,010
2013-08-20$44.82$44.0014.6%4.2%9.9%48.3%17.7%4.2%0.3%7.8M-70.9M-1.9M9.5861.861,50514,417175,635215,903
2013-08-21$44.40$44.0016.7%4.8%10.3%64.5%16.1%4.5%-0.4%239.3K-12.5M-1.9M1.4374.827,81611,191176,294226,435
2013-08-22$45.12$44.0014.9%4.3%11.9%50.4%16.6%4.7%0.2%11.4M-105.9M-2.0M0.5396.973,3311,753175,921229,657
2013-08-23$45.13$44.0014.2%4.1%11.8%45.5%15.0%4.3%0.7%12.5M-125.0M-1.8M3.1683.464,54714,372175,611230,936
2013-08-26$45.03$44.0014.9%4.3%11.8%50.6%14.6%4.4%0.3%4.9M-67.6M-1.9M1.6341.632,1733,533176,459242,764
2013-08-27$44.10$44.0017.1%4.9%13.9%67.9%17.0%5.1%-0.1%-9.9M64.3M-1.9M11.7437.711,97923,231176,415245,500
2013-08-28$44.17$44.0016.6%4.8%13.8%63.8%16.0%4.9%0.3%-13.1M71.7M-1.9M2.8038.681,3833,879177,412253,905
2013-08-29$44.29$44.0017.2%4.9%12.2%68.4%17.4%4.5%-0.2%-12.5M60.5M-2.0M1.6015.783,4345,487178,088256,052
2013-08-30$44.04$44.0017.4%5.0%12.2%70.4%19.4%5.5%0.1%-13.6M94.8M-2.0M1.8992.032,1554,063180,086259,226