XLI Options History — January 2014

In January 2014, XLI traded between $49.76 and $52.21. ATM implied volatility averaged 13.8%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.1% (HV 20d: 12.7%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2014-01-24: Highest Volume — 29,007 contracts
  • 2014-01-10: Largest IV spike — 40.3% change
  • 2014-01-10: Highest IV Rank — 64.4%
  • 2014-01-31: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.25$49.76$52.21$51.53$50.07
Max Pain$47.57$45.00$48.00$45.00$48.00
ATM IV13.8%11.6%17.3%13.6%17.3%
Expected Move5.3%5.1%5.6%5.3%5.6%
HV 20d12.7%10.0%16.9%12.3%16.3%
HV 60d11.0%9.8%13.0%11.4%13.0%
IV Rank39.1%22.7%64.4%37.3%64.3%
IV Percentile43.7%6.0%89.7%44.8%89.3%
Term Structure0.1%-2.6%1.6%0.1%-0.1%
VWIV20.8%17.5%29.8%19.0%29.8%
Skew 25d3.4%-3.9%5.3%3.2%5.2%
Skew 10d8.1%4.9%12.4%5.2%12.4%
Call IV 25d12.5%10.2%18.3%12.3%15.1%
Put IV 25d16.0%13.8%20.3%15.5%20.3%
Bid-Ask Spread %18.178.3495.5510.9810.90
Gamma HHI0.150.110.200.140.12
Net GEX6.7M-938.5K12.6M12.6M-22.2K
Net DEX-140.4M-291.9M59.4M-231.4M16.5M
Net VEX-1.6M-1.7M-1.4M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.097.343.093.11
Total Volume11,539.1432,37029,00720,91720,625
Total OI287,732.762186,570363,065318,223228,665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$51.53$45.0013.6%5.3%12.3%37.3%19.0%3.2%0.1%12.6M-231.4M-1.4M3.0910.985,11915,798121,166197,057
2014-01-03$51.66$45.0013.1%5.3%12.1%33.8%22.8%2.8%0.1%10.5M-244.5M-1.5M0.6011.211,640991121,405210,896
2014-01-06$51.37$45.0013.2%5.4%12.4%34.9%20.5%2.9%0.5%10.2M-198.9M-1.4M5.5511.342,43913,543119,799208,487
2014-01-07$51.69$48.0013.0%5.2%11.8%32.9%0.0%3.0%-0.4%9.4M-219.2M-1.6M3.5310.571,9376,834120,757221,127
2014-01-08$51.60$48.0013.0%5.3%11.8%32.9%18.4%3.0%-0.5%9.8M-205.2M-1.7M1.4713.571,5942,346122,061226,948
2014-01-09$51.85$48.0012.3%5.3%11.8%28.0%20.9%3.0%0.0%11.6M-241.7M-1.6M0.9010.521,2451,125122,848228,198
2014-01-10$51.93$48.0017.3%5.3%10.0%64.4%0.0%-3.9%-2.6%11.9M-277.6M-1.5M1.9295.554,1087,872123,477228,980
2014-01-13$51.30$48.0013.3%5.4%11.3%35.3%18.9%3.0%0.5%9.2M-155.9M-1.7M4.298.342,2989,860121,559232,401
2014-01-14$51.84$48.0012.0%5.2%11.7%26.1%0.0%3.1%0.2%9.5M-246.6M-1.6M5.4313.941,0685,801122,284235,323
2014-01-15$52.21$48.0012.3%5.2%11.6%27.9%18.0%3.2%0.2%7.3M-291.9M-1.6M0.158.4912,9561,882122,006235,998
2014-01-16$52.01$48.0012.3%5.2%11.7%28.4%18.4%3.2%0.1%7.2M-270.3M-1.6M0.3213.693,4081,076123,020237,239
2014-01-17$51.82$48.0011.7%5.1%10.0%23.4%23.1%4.6%0.0%6.4M-239.3M-1.6M0.099.4211,320994125,215237,850
2014-01-21$51.90$48.0011.7%5.2%10.0%23.5%23.1%3.6%1.6%10.3M-116.8M-1.6M0.8216.064,1533,40493,95292,618
2014-01-22$52.03$48.0011.6%5.2%10.0%22.7%17.5%3.5%1.5%10.3M-130.1M-1.6M7.3414.861,2769,36995,33294,712
2014-01-23$51.41$48.0013.3%5.3%10.9%35.5%18.6%4.3%-0.3%6.8M-66.4M-1.6M0.8413.964,8164,04596,256102,623
2014-01-24$49.76$48.0016.1%5.4%15.7%55.6%21.3%5.3%-0.0%-842.7K59.4M-1.5M0.6211.3817,87011,13797,598103,176
2014-01-27$49.86$48.0016.0%5.3%15.5%55.3%21.1%5.1%0.3%-433.2K46.2M-1.6M0.7529.097,5745,714102,203107,256
2014-01-28$50.40$48.0015.0%5.5%16.1%47.6%19.2%4.3%0.8%279.1K10.8M-1.7M0.7114.046,7674,813104,835110,724
2014-01-29$49.79$48.0016.4%5.5%16.6%58.1%0.0%5.2%0.0%-938.5K44.7M-1.7M1.3642.438,24811,227107,231111,755
2014-01-30$50.28$48.0015.8%5.4%16.9%53.6%22.5%4.5%-0.1%-77.5K9.4M-1.7M1.5511.241,5822,448111,107116,244
2014-01-31$50.07$48.0017.3%5.6%16.3%64.3%29.8%5.2%-0.1%-22.2K16.5M-1.7M3.1110.905,01815,607112,111116,554