XLI Options History — May 2014

In May 2014, XLI traded between $52.51 and $54.09. ATM implied volatility averaged 12.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.9% (HV 20d: 11.6%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.59.

Notable Days

  • 2014-05-06: Highest Volume — 25,182 contracts
  • 2014-05-23: Largest IV drop — 13.0% change
  • 2014-05-06: Highest IV Rank — 29.9%
  • 2014-05-09: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.29$52.51$54.09$52.98$54.09
Max Pain$48.52$48.00$49.00$48.00$49.00
ATM IV12.5%11.2%13.7%12.8%11.7%
Expected Move5.0%4.8%5.6%5.0%4.9%
HV 20d11.6%9.8%14.2%14.2%11.1%
HV 60d12.4%11.9%12.8%12.8%12.4%
IV Rank19.9%9.9%29.9%22.8%13.5%
IV Percentile15.9%1.6%40.9%20.2%4.4%
Term Structure0.3%-0.6%1.6%0.3%-0.2%
VWIV17.5%10.9%22.4%15.3%18.2%
Skew 25d3.5%2.8%4.6%3.4%3.4%
Skew 10d8.2%6.0%10.2%7.6%8.7%
Call IV 25d11.1%10.3%11.9%11.4%10.4%
Put IV 25d14.7%13.7%15.8%14.8%13.8%
Bid-Ask Spread %25.8115.9485.9119.9621.28
Gamma HHI0.220.170.380.190.21
Net GEX-11.5M-35.4M28.3M-25.2M-4.9M
Net DEX-38.9M-152.9M92.1M11.9M-143.0M
Net VEX-1.9M-2.3M-1.5M-2.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.590.0429.782.276.08
Total Volume6,462.76276425,1825,1154,482
Total OI336,686.143307,366364,072362,011317,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$52.98$48.0012.8%5.0%14.2%22.8%0.0%3.4%0.3%-25.2M11.9M-2.3M2.2719.961,5663,549101,317260,694
2014-05-02$52.82$48.0012.4%5.0%14.2%19.8%0.0%3.6%-0.0%-24.0M21.9M-2.3M4.4515.941,3986,228101,612262,460
2014-05-05$52.93$48.0012.8%5.1%13.5%22.7%15.3%3.3%0.3%-28.4M41.9M-2.2M2.1518.196261,34794,709261,597
2014-05-06$52.54$48.0013.7%5.0%12.7%29.9%0.0%3.9%0.1%-35.4M92.1M-2.3M29.7819.9081824,36495,107262,383
2014-05-07$52.98$48.0013.2%5.0%13.0%25.7%0.0%3.5%0.2%-20.4M17.6M-2.1M0.7724.831,4861,14595,180253,187
2014-05-08$52.97$48.0013.2%5.0%12.5%25.9%18.3%3.4%0.1%-16.0M34.2M-2.2M0.2831.083,11787695,629253,886
2014-05-09$53.01$48.0012.4%5.6%10.5%19.4%0.0%3.0%0.6%6.1M-2.2M-2.0M0.6785.915,0533,40596,029253,944
2014-05-12$53.80$48.0011.8%4.9%10.3%14.4%10.9%3.1%0.8%-5.2M-110.8M-1.9M0.2120.085,6351,19993,912251,860
2014-05-13$53.89$48.0011.9%4.9%10.2%15.6%18.6%2.8%0.6%-414.2K-152.9M-1.8M0.0420.6210,76247997,453251,947
2014-05-14$53.49$48.0012.3%5.0%10.7%18.6%18.7%3.5%1.6%4.0M-104.7M-1.9M3.2028.601,0953,507105,038252,265
2014-05-15$53.01$49.0013.1%5.0%10.1%25.5%17.8%3.4%0.5%-375.4K-22.5M-2.0M1.0023.822,4672,464104,147250,621
2014-05-16$53.09$49.0012.6%5.0%9.8%21.1%18.5%3.5%0.5%28.3M-49.6M-1.9M0.3520.0610,0533,475104,774249,470
2014-05-19$53.30$49.0012.7%4.9%9.8%22.0%0.0%4.4%-0.6%-16.0M-32.9M-1.8M0.2621.072,32760488,018219,348
2014-05-20$52.51$49.0012.9%4.9%11.2%23.6%0.0%4.3%0.8%-24.1M34.7M-1.9M6.8324.371,0847,40689,469219,698
2014-05-21$53.11$49.0012.7%4.9%11.8%21.8%22.4%4.6%0.5%-18.8M-1.5M-1.9M6.7925.785873,98789,900221,910
2014-05-22$53.21$49.0012.9%4.8%11.7%23.8%0.0%3.9%-0.4%-21.8M-26.2M-1.8M0.1526.063,08645590,279225,459
2014-05-23$53.52$49.0011.2%4.8%11.4%9.9%16.4%3.6%1.3%-14.4M-74.1M-1.7M0.2023.994,32087289,981225,444
2014-05-27$53.82$49.0011.7%4.8%11.5%13.5%17.9%3.3%0.0%-9.9M-106.6M-1.6M0.4823.762,7171,31190,732223,567
2014-05-28$53.85$49.0011.8%4.9%11.5%14.3%16.6%3.3%0.1%-9.6M-110.5M-1.6M0.7424.3844032490,131224,627
2014-05-29$54.09$49.0011.8%4.9%11.2%14.8%18.2%3.2%0.1%-5.6M-134.6M-1.6M8.7122.245775,02590,193224,729
2014-05-30$54.09$49.0011.7%4.9%11.1%13.5%0.0%3.4%-0.2%-4.9M-143.0M-1.5M6.0821.286333,84990,369227,334