XLI Options History — September 2013

In September 2013, XLI traded between $44.32 and $47.76. ATM implied volatility averaged 15.3%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.7% (HV 20d: 13.6%). Max pain ranged from $44.00 to $50.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.10.

Notable Days

  • 2013-09-10: Highest Volume — 66,600 contracts
  • 2013-09-20: Largest IV spike — 72.9% change
  • 2013-09-20: Highest IV Rank — 100.0%
  • 2013-09-20: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.29$44.32$47.76$44.32$46.51
Max Pain$46.56$44.00$50.00$44.00$47.50
ATM IV15.3%12.8%22.1%17.7%16.6%
Expected Move4.4%3.7%6.2%5.1%4.8%
HV 20d13.6%12.1%14.7%12.5%12.4%
HV 60d13.6%12.4%14.8%14.7%12.4%
IV Rank52.2%34.0%100.0%72.6%59.6%
IV Percentile55.7%15.9%100.0%89.7%79.8%
Term Structure-0.2%-12.0%1.9%-0.5%-0.8%
VWIV15.3%11.3%20.6%20.6%16.1%
Skew 25d3.4%-5.7%5.7%4.8%4.3%
Skew 10d6.9%-7.9%11.5%10.4%8.3%
Call IV 25d14.1%8.7%23.8%15.0%14.9%
Put IV 25d17.5%14.4%22.0%19.7%19.2%
Bid-Ask Spread %56.923.77126.6243.1134.67
Gamma HHI0.180.120.270.150.12
Net GEX18.0M-14.0M63.2M-14.0M-9.9M
Net DEX-227.2M-635.6M57.9M57.9M-46.0M
Net VEX-1.9M-2.2M-1.7M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.1813.282.090.86
Total Volume26,505.254,44666,60020,96623,463
Total OI472,268.2348,704561,842442,220421,231

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$44.32$44.0017.7%5.1%12.5%72.6%20.6%4.8%-0.5%-14.0M57.9M-1.9M2.0943.116,78714,179179,547262,673
2013-09-04$44.76$44.0015.1%4.3%13.0%52.4%18.9%4.3%0.5%-5.0M-18.4M-1.9M1.0781.6110,60511,397185,037273,134
2013-09-05$44.88$0.0015.3%4.4%13.1%53.9%0.0%4.8%0.4%-8.3M-15.9M-1.9M1.955.091,5082,938195,698278,889
2013-09-06$44.84$0.0017.9%5.1%12.9%74.1%11.3%-1.8%-0.2%-2.1M-40.0M-1.9M0.90115.494,1973,786195,117280,796
2013-09-09$45.41$47.0016.1%4.6%13.7%59.9%16.5%4.5%-0.0%13.5M-139.3M-1.8M1.9655.074,6979,227196,567282,606
2013-09-10$46.08$47.0014.7%4.2%14.7%49.1%14.8%4.1%0.3%33.5M-285.3M-1.7M0.1812.9456,59810,002198,240288,390
2013-09-11$46.27$47.0014.2%4.1%14.7%45.2%15.9%3.6%-0.2%48.3M-350.0M-2.0M2.4213.884,37010,589232,148292,796
2013-09-12$46.08$0.0014.5%4.2%14.5%47.6%16.9%4.3%0.2%44.5M-326.1M-2.0M0.293.7716,0194,618233,389294,831
2013-09-13$46.21$50.0014.1%4.0%13.5%44.0%12.8%-5.7%0.5%52.1M-358.8M-1.8M0.45100.767,9343,549236,648298,153
2013-09-16$46.81$45.0013.9%4.0%14.1%42.5%14.2%4.3%1.5%61.9M-475.2M-1.9M0.3489.8120,4656,998235,335298,450
2013-09-17$46.97$45.0014.2%4.1%13.9%45.0%15.8%4.3%1.5%63.2M-528.2M-1.9M0.4787.4926,85112,655236,771300,664
2013-09-18$47.61$46.0013.2%3.8%14.4%37.6%16.1%3.7%1.9%54.2M-633.7M-1.8M0.6564.1136,36023,509231,634309,507
2013-09-19$47.76$46.0012.8%3.7%13.7%34.0%13.3%2.6%0.9%18.3M-635.6M-1.9M0.2491.4339,9329,712234,652327,190
2013-09-20$47.02$46.0022.1%6.2%14.4%100.0%13.0%5.7%-12.0%5.2M-132.1M-2.1M0.86126.627,4426,373151,458335,015
2013-09-23$46.81$48.0014.3%4.2%14.6%43.0%14.9%3.8%0.5%7.3M-146.0M-1.9M1.9647.213,0345,948141,689207,015
2013-09-24$46.98$48.0014.4%4.2%14.6%43.8%14.6%3.9%0.3%10.7M-172.7M-1.9M13.2820.594,64861,736143,510206,400
2013-09-25$46.77$47.0014.3%4.1%12.1%42.7%14.6%4.0%0.6%-3.8M-106.0M-2.1M5.1117.763,63318,577146,726257,761
2013-09-26$46.98$47.0014.2%4.1%12.1%42.4%14.9%3.8%0.1%-2.3M-127.3M-2.1M5.2240.342,85514,905149,096275,353
2013-09-27$46.68$47.0016.0%4.5%12.5%55.1%16.3%4.0%0.3%-6.9M-65.0M-2.2M1.6386.656,83511,174150,345280,903
2013-09-30$46.51$47.5016.6%4.8%12.4%59.6%16.1%4.3%-0.8%-9.9M-46.0M-2.1M0.8634.6712,59510,868151,069270,162