XLI Options History — November 2013

In November 2013, XLI traded between $48.71 and $50.53. ATM implied volatility averaged 12.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.5% (HV 20d: 9.4%). Max pain ranged from $43.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2013-11-15: Highest Volume — 51,170 contracts
  • 2013-11-15: Largest IV spike — 49.3% change
  • 2013-11-15: Highest IV Rank — 69.8%
  • 2013-11-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.69$48.71$50.53$48.93$50.40
Max Pain$47.13$43.00$49.00$48.00$49.00
ATM IV12.9%12.1%18.0%14.8%12.8%
Expected Move4.9%3.5%5.6%3.5%5.5%
HV 20d9.4%7.8%12.7%12.7%9.0%
HV 60d12.5%11.7%13.2%13.0%11.7%
IV Rank32.7%26.3%69.8%46.3%31.4%
IV Percentile23.2%10.3%93.7%54.8%22.6%
Term Structure0.6%-9.5%6.6%6.6%-0.1%
VWIV17.7%11.6%23.3%12.5%23.3%
Skew 25d2.9%2.4%3.6%2.7%3.2%
Skew 10d6.1%-0.9%9.8%-0.9%7.2%
Call IV 25d11.5%10.8%12.8%11.4%11.6%
Put IV 25d14.4%13.6%15.5%14.1%14.8%
Bid-Ask Spread %21.703.78116.54116.543.78
Gamma HHI0.240.190.310.240.21
Net GEX36.8M30.5M45.9M30.5M35.8M
Net DEX-557.1M-655.1M-428.1M-520.3M-605.1M
Net VEX-1.7M-1.9M-1.5M-1.9M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.222.661.380.39
Total Volume13,4144,99851,17012,8099,667
Total OI464,382.5435,199480,218477,374477,488

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$48.93$48.0014.8%3.5%12.7%46.3%12.5%2.7%6.6%30.5M-520.3M-1.9M1.38116.545,3747,435206,636270,738
2013-11-04$49.15$48.5012.7%3.7%12.3%30.6%12.0%2.9%1.1%38.1M-519.7M-1.8M0.3936.444,8031,896197,345259,510
2013-11-05$49.08$48.5012.9%3.7%11.4%32.5%17.3%2.7%1.0%39.1M-507.2M-1.9M0.7136.915,5723,945199,487260,646
2013-11-06$49.24$48.5012.6%3.6%11.1%30.5%11.6%2.9%1.1%39.2M-533.9M-1.8M0.7027.187,3285,139199,629263,207
2013-11-07$48.71$48.5013.5%3.9%9.0%37.1%14.9%2.7%0.5%36.9M-428.1M-1.9M0.6241.1815,5289,646201,662266,081
2013-11-08$49.38$48.5012.3%3.5%9.8%28.3%12.4%2.7%1.7%38.0M-551.2M-1.8M0.22104.8815,8843,491206,313273,905
2013-11-11$49.34$0.0012.2%5.5%9.9%27.1%21.3%2.6%1.7%39.3M-543.1M-1.8M0.614.843,0991,899207,193266,961
2013-11-12$49.39$45.0012.3%5.6%8.8%27.7%17.5%2.7%1.8%39.3M-563.7M-1.8M1.165.752,3582,738209,563268,362
2013-11-13$49.65$45.0012.1%5.5%8.8%26.4%21.7%2.8%0.8%39.4M-604.5M-1.8M1.054.093,1183,287210,043268,914
2013-11-14$49.83$43.0012.1%5.5%8.4%26.3%0.0%2.9%1.0%39.6M-622.0M-1.7M1.305.294,2355,505206,135268,188
2013-11-15$50.01$43.0018.0%5.5%7.8%69.8%20.9%2.4%-9.5%45.9M-655.1M-1.6M0.335.3138,55012,620207,144271,127
2013-11-18$50.08$43.0012.6%5.5%7.8%30.0%19.6%3.1%0.5%37.3M-580.4M-1.6M2.104.715,13210,803195,141240,058
2013-11-19$49.73$43.0013.7%5.5%8.3%38.3%19.1%3.6%0.4%30.8M-501.4M-1.7M2.514.343,1767,984197,093248,957
2013-11-20$49.51$49.0012.4%5.5%8.6%29.1%0.0%3.4%0.5%36.1M-462.7M-1.8M1.124.723,9444,432198,576247,632
2013-11-21$49.91$49.0012.2%5.5%8.7%27.5%21.4%3.4%-0.2%35.2M-516.2M-1.8M1.053.982,5192,637199,698250,692
2013-11-22$50.35$49.0012.5%5.5%8.9%29.6%19.3%2.8%1.1%31.5M-608.5M-1.6M0.826.332,8362,334199,472252,769
2013-11-25$50.24$49.0012.6%5.5%9.0%30.5%18.4%2.8%0.5%35.0M-593.4M-1.5M0.586.4719,47211,270197,322250,485
2013-11-26$50.41$49.0012.3%5.5%9.0%27.7%0.0%2.9%1.0%35.3M-597.0M-1.7M2.665.043,5029,309209,475259,579
2013-11-27$50.53$49.0012.3%5.4%8.9%28.0%0.0%2.9%-0.2%34.5M-628.1M-1.7M0.426.134,0831,730210,765263,659
2013-11-29$50.40$49.0012.8%5.5%9.0%31.4%23.3%3.2%-0.1%35.8M-605.1M-1.7M0.393.786,9512,716212,791264,697