XLI Options History — April 2014

In April 2014, XLI traded between $50.90 and $53.23. ATM implied volatility averaged 14.2%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 14.1%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.79.

Notable Days

  • 2014-04-23: Highest Volume — 51,570 contracts
  • 2014-04-10: Largest IV spike — 17.4% change
  • 2014-04-11: Highest IV Rank — 62.7%
  • 2014-04-14: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.41$50.90$53.23$52.71$53.10
Max Pain$47.81$46.00$48.00$48.00$48.00
ATM IV14.2%12.7%17.6%13.1%13.0%
Expected Move5.1%4.9%5.5%5.1%5.0%
HV 20d14.1%12.0%15.2%12.0%14.3%
HV 60d15.1%12.8%16.2%15.0%12.8%
IV Rank34.8%22.2%62.7%25.0%24.3%
IV Percentile47.7%18.7%90.9%25.4%23.0%
Term Structure0.1%-0.6%1.3%0.3%0.3%
VWIV18.7%15.8%23.2%19.3%15.8%
Skew 25d3.9%3.1%5.7%3.7%3.1%
Skew 10d8.2%5.9%10.0%9.6%8.4%
Call IV 25d12.6%11.5%14.9%11.5%11.8%
Put IV 25d16.6%14.9%20.6%15.2%14.9%
Bid-Ask Spread %24.699.7382.9210.2434.44
Gamma HHI0.250.180.370.280.19
Net GEX-25.9M-51.6M-9.8M-24.2M-16.6M
Net DEX83.8M-45.2M355.8M26.3M-31.1M
Net VEX-2.5M-2.8M-2.2M-2.6M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0919.132.365.61
Total Volume14,998.8572,72451,57013,85425,215
Total OI361,725322,371395,324353,174341,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$52.71$48.0013.1%5.1%12.0%25.0%19.3%3.7%0.3%-24.2M26.3M-2.6M2.3610.244,1219,73394,555258,619
2014-04-02$53.00$48.0013.1%5.1%12.2%25.0%19.4%3.3%-0.0%-22.2M-8.8M-2.6M1.2610.212,1382,70097,793267,394
2014-04-03$53.15$48.0013.2%5.1%12.0%25.8%18.3%3.1%0.0%-21.5M-22.0M-2.6M0.329.732,05966599,184269,068
2014-04-04$52.54$48.0014.0%5.0%12.6%32.9%16.7%3.8%-0.1%-42.2M59.4M-2.6M1.2224.917,0918,681100,195269,125
2014-04-07$51.79$48.0015.2%5.2%13.5%42.7%17.2%4.4%-0.1%-32.8M189.9M-2.7M1.8216.694,8528,847101,377268,894
2014-04-08$51.82$48.0014.7%5.1%13.3%38.4%19.2%4.1%-0.1%-32.8M198.0M-2.7M0.2527.616,5131,621103,355270,815
2014-04-09$52.41$48.0013.8%5.2%13.9%31.5%0.0%3.8%0.8%-21.8M73.3M-2.6M1.2418.142,7333,391104,055270,785
2014-04-10$51.50$48.0016.3%5.4%14.4%51.5%17.9%4.8%0.6%-38.3M240.5M-2.7M3.7418.026,73525,160106,022273,414
2014-04-11$50.90$48.0017.6%4.9%14.9%62.7%16.3%5.7%-0.6%-48.1M355.8M-2.8M3.4582.924,68316,163109,491285,833
2014-04-14$51.19$48.0016.8%5.5%14.3%56.1%19.1%4.5%0.1%-51.6M323.2M-2.7M0.9522.126,0025,714107,509286,950
2014-04-15$51.55$48.0015.5%5.3%14.4%45.0%15.8%4.3%1.0%-38.4M224.9M-2.5M1.9822.122,9445,819106,539281,479
2014-04-16$52.34$48.0014.8%5.2%15.0%39.4%17.9%3.7%-0.6%-12.5M81.3M-2.4M1.1518.813,7084,260106,908277,034
2014-04-17$52.74$48.0012.7%5.1%15.2%22.2%0.0%4.1%1.3%-16.4M5.5M-2.4M0.3846.9714,1865,435109,430280,278
2014-04-21$52.90$48.0013.2%5.1%15.2%26.4%0.0%3.5%-0.3%-13.7M-16.3M-2.2M0.0930.805,00846490,076232,295
2014-04-22$52.93$48.0013.4%5.1%15.1%27.7%19.5%3.7%-0.3%-11.8M-4.5M-2.3M0.6116.433,3422,04292,970232,453
2014-04-23$53.23$48.0013.3%5.1%14.9%26.9%23.2%3.3%-0.1%-9.8M-45.2M-2.3M19.1323.762,56249,00895,228233,749
2014-04-24$53.03$48.0013.5%5.1%14.4%28.2%22.3%3.5%-0.3%-17.0M-23.2M-2.2M0.4327.294,0191,71597,335246,456
2014-04-25$52.55$46.0014.3%5.1%14.9%35.2%20.8%3.9%0.0%-26.2M38.1M-2.3M1.0218.375,7045,837100,209247,730
2014-04-28$52.54$46.0014.0%5.1%14.7%32.8%15.8%3.8%0.3%-24.9M59.4M-2.3M10.0219.403,67636,83296,250244,173
2014-04-29$52.64$48.0013.9%5.1%14.3%32.1%0.0%3.8%0.5%-21.6M35.8M-2.3M1.5619.411,4032,19598,853240,652
2014-04-30$53.10$48.0013.0%5.0%14.3%24.3%0.0%3.1%0.3%-16.6M-31.1M-2.2M5.6134.443,81421,40199,483242,212