XLI Options History — December 2013

In December 2013, XLI traded between $49.56 and $52.26. ATM implied volatility averaged 13.0%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.4% (HV 20d: 10.6%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2013-12-19: Highest Volume — 74,597 contracts
  • 2013-12-06: Largest IV drop — 14.8% change
  • 2013-12-17: Highest IV Rank — 44.5%
  • 2013-12-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.69$49.56$52.26$50.19$52.26
Max Pain$46.71$45.00$49.00$45.00$45.00
ATM IV13.0%11.4%14.5%13.6%13.1%
Expected Move5.4%5.2%5.6%5.5%5.3%
HV 20d10.6%8.7%12.2%9.1%11.5%
HV 60d11.5%11.0%11.9%11.7%11.0%
IV Rank33.2%21.6%44.5%37.8%33.6%
IV Percentile30.5%3.6%64.3%41.3%33.7%
Term Structure0.7%-0.5%3.8%-0.0%0.4%
VWIV18.8%16.8%23.0%18.6%19.4%
Skew 25d3.5%1.2%4.7%3.6%3.1%
Skew 10d7.9%5.9%10.0%7.9%6.0%
Call IV 25d11.8%9.9%13.4%12.3%11.6%
Put IV 25d15.3%13.1%17.3%15.8%14.7%
Bid-Ask Spread %13.904.07100.884.0711.79
Gamma HHI0.180.130.220.190.19
Net GEX32.8M12.9M46.6M39.2M12.9M
Net DEX-461.7M-793.6M-266.3M-540.2M-298.7M
Net VEX-1.5M-1.8M-1.2M-1.8M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.129.430.521.19
Total Volume16,806.815,24474,59713,93412,525
Total OI436,593305,550514,433471,305309,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$50.19$45.0013.6%5.5%9.1%37.8%18.6%3.6%-0.0%39.2M-540.2M-1.8M0.524.079,1714,763211,953259,352
2013-12-03$49.76$49.0013.3%5.6%9.6%35.5%19.4%3.7%0.3%40.5M-462.2M-1.8M1.5215.553,7235,674217,620262,659
2013-12-04$49.56$49.0014.0%5.4%9.7%40.7%18.9%4.0%-0.5%41.9M-409.9M-1.8M1.437.283,0974,443219,063264,513
2013-12-05$49.62$49.0014.1%5.5%9.7%41.5%0.0%4.7%-0.5%40.6M-419.9M-1.8M1.065.042,9793,166220,056266,111
2013-12-06$50.28$49.0012.0%5.5%9.7%26.2%17.3%3.4%1.3%44.6M-582.3M-1.6M0.199.0811,9242,266221,057268,085
2013-12-09$50.43$49.0012.4%5.5%8.7%28.7%20.1%3.5%1.4%46.6M-621.0M-1.5M2.475.434,0019,900220,515265,102
2013-12-10$50.36$49.0012.6%5.4%8.7%30.5%16.8%3.5%1.4%41.0M-585.9M-1.5M1.616.802,6474,266218,232268,905
2013-12-11$49.60$49.0014.3%5.4%10.4%42.4%0.0%3.9%-0.3%37.8M-409.7M-1.6M0.326.1627,8858,797219,722270,998
2013-12-12$49.66$49.0014.3%5.5%10.3%42.9%0.0%3.6%-0.4%38.7M-419.6M-1.5M1.627.056,57510,638222,688270,980
2013-12-13$49.77$49.0013.8%5.4%10.2%38.7%17.3%4.0%0.1%42.9M-449.9M-1.5M2.697.382,1475,776227,208277,345
2013-12-16$50.24$45.0014.5%5.4%10.7%44.4%0.0%4.1%1.3%44.1M-560.8M-1.5M0.827.504,7383,895222,770273,137
2013-12-17$50.14$45.0014.5%5.5%10.7%44.5%18.8%3.9%1.2%44.9M-548.0M-1.5M3.1311.132,0156,317225,769275,691
2013-12-18$51.07$45.0012.5%5.4%12.2%29.4%0.0%3.7%2.2%38.3M-758.3M-1.3M0.8811.6221,96319,436226,424277,733
2013-12-19$51.09$45.0012.5%5.4%12.0%29.4%19.7%3.5%0.2%31.8M-793.6M-1.3M0.1211.0566,6717,926231,378283,055
2013-12-20$51.23$45.0012.0%5.4%11.8%25.7%0.0%3.9%0.2%13.7M-266.3M-1.3M0.2315.4418,5564,320118,829288,011
2013-12-23$51.46$45.0011.8%5.3%11.5%24.5%18.5%3.6%1.6%21.9M-273.3M-1.5M0.9712.364,1784,062122,341187,164
2013-12-24$51.70$45.0011.7%5.2%11.5%23.9%0.0%2.9%0.5%19.6M-319.7M-1.4M1.7511.772,7244,773124,457189,604
2013-12-26$52.03$45.0011.4%5.2%11.6%21.6%23.0%2.9%0.5%15.8M-340.7M-1.4M0.4212.053,6951,549125,177190,814
2013-12-27$52.00$45.0012.0%5.3%11.6%26.1%17.0%1.2%3.8%16.6M-358.1M-1.2M9.43100.881,54514,567127,384191,837
2013-12-30$51.95$45.0012.3%5.3%11.6%28.3%18.8%3.0%0.5%15.3M-276.7M-1.4M6.4012.541,84511,805116,260189,290
2013-12-31$52.26$45.0013.1%5.3%11.5%33.6%19.4%3.1%0.4%12.9M-298.7M-1.4M1.1911.795,7226,803117,226191,938