XLI Options History — March 2014

In March 2014, XLI traded between $51.34 and $53.04. ATM implied volatility averaged 14.4%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.6% (HV 20d: 11.8%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.19.

Notable Days

  • 2014-03-13: Highest Volume — 115,488 contracts
  • 2014-03-13: Largest IV spike — 12.4% change
  • 2014-03-14: Highest IV Rank — 61.1%
  • 2014-03-14: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.03$51.34$53.04$51.74$52.27
Max Pain$48.00$48.00$48.00$48.00$48.00
ATM IV14.4%13.2%17.4%15.8%13.2%
Expected Move5.2%5.0%5.4%5.2%5.2%
HV 20d11.8%9.7%15.9%15.9%12.8%
HV 60d14.9%14.7%15.1%14.9%15.0%
IV Rank38.9%26.0%61.1%53.6%26.0%
IV Percentile54.2%27.0%90.5%77.4%27.0%
Term Structure0.2%-1.2%0.9%0.2%0.2%
VWIV20.0%16.1%24.3%18.9%18.5%
Skew 25d4.1%3.0%5.3%4.9%3.7%
Skew 10d8.6%6.2%11.1%9.7%9.1%
Call IV 25d13.0%12.0%15.3%13.6%12.0%
Put IV 25d17.1%15.7%20.6%18.6%15.7%
Bid-Ask Spread %8.164.8019.706.476.38
Gamma HHI0.230.120.320.120.29
Net GEX-19.6M-45.8M12.6M994.1K-27.6M
Net DEX52.1M-225.7M310.4M-91.0M99.1M
Net VEX-2.5M-3.1M-1.8M-1.9M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.190.2315.400.600.74
Total Volume23,640.5713,700115,4887,9213,700
Total OI353,698.81256,101467,626256,101351,187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$51.74$48.0015.8%5.2%15.9%53.6%18.9%4.9%0.2%994.1K-91.0M-1.9M0.606.474,9612,960110,455145,646
2014-03-04$52.51$48.0013.9%5.0%11.8%39.9%23.4%3.8%-0.1%8.1M-178.4M-1.8M2.1510.732,8526,142113,129147,157
2014-03-05$52.53$48.0013.7%5.1%11.8%38.5%0.0%4.1%0.1%9.2M-190.4M-1.8M0.324.808,4182,690113,809151,917
2014-03-06$52.88$48.0013.3%5.0%11.8%35.2%16.1%3.8%0.3%12.6M-220.9M-1.8M1.397.7410,76614,931115,094153,401
2014-03-07$53.04$48.0013.6%5.1%11.3%37.5%20.1%3.6%0.3%8.7M-225.7M-1.9M1.545.676,0569,335117,941162,900
2014-03-10$52.77$48.0013.9%5.1%10.1%39.6%18.3%4.0%-0.2%4.5M-153.9M-1.9M0.8710.134,6834,056117,179167,172
2014-03-11$52.39$48.0014.4%5.2%10.2%40.4%19.7%4.2%0.5%1.6M-110.7M-1.9M8.667.103,51730,459120,035170,119
2014-03-12$52.29$48.0014.2%5.2%9.7%38.6%21.1%4.0%0.2%-16.4M-41.9M-2.0M15.4013.603,84559,225121,996195,113
2014-03-13$51.55$48.0016.0%5.3%11.0%48.9%23.0%5.0%-1.2%-26.6M135.1M-2.4M13.476.277,979107,509123,993244,484
2014-03-14$51.34$48.0017.4%5.4%11.2%61.1%0.0%5.3%0.2%-45.8M310.4M-3.1M3.535.6512,34843,561128,629326,842
2014-03-17$51.98$48.0015.3%5.2%11.8%43.3%0.0%4.4%0.4%-36.9M146.5M-3.0M2.974.903,65710,855135,590328,109
2014-03-18$52.26$48.0014.4%5.2%11.9%36.1%24.3%4.3%-0.1%-31.3M73.2M-2.9M2.867.722,5767,359135,792331,834
2014-03-19$51.73$48.0014.3%5.2%12.0%35.4%0.0%4.1%0.8%-41.5M169.8M-2.9M1.9312.227,11613,762135,832328,347
2014-03-20$51.82$48.0013.6%5.1%11.6%29.7%19.6%3.0%0.2%-41.4M147.7M-2.8M0.337.5418,3016,075135,165327,178
2014-03-21$51.64$48.0013.6%5.2%11.7%29.1%18.0%3.8%0.9%-37.9M261.5M-2.8M0.2310.9115,3293,505117,216327,795
2014-03-24$51.48$48.0014.8%5.3%11.5%39.2%0.0%4.2%0.2%-27.3M196.6M-2.8M3.246.915,65118,29889,387240,562
2014-03-25$51.95$48.0013.6%5.2%11.9%29.8%18.4%3.9%0.4%-27.8M143.6M-2.8M2.935.331,8525,41991,006252,142
2014-03-26$51.42$48.0014.7%5.3%12.5%38.3%17.9%4.0%-0.0%-32.5M217.6M-2.8M1.1819.703,1003,65192,821253,368
2014-03-27$51.35$48.0014.7%5.3%12.3%38.5%19.6%3.9%0.0%-34.4M233.8M-2.8M2.155.664,4919,63493,807254,512
2014-03-28$51.73$48.0014.6%5.2%12.5%37.9%23.8%3.9%0.1%-30.2M172.0M-2.8M0.525.983,8291,99996,506262,508
2014-03-31$52.27$48.0013.2%5.2%12.8%26.0%18.5%3.7%0.2%-27.6M99.1M-2.7M0.746.382,1291,57192,836258,351