XLI Options History — June 2014

In June 2014, XLI traded between $54.03 and $55.59. ATM implied volatility averaged 11.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.4% (HV 20d: 10.1%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.39.

Notable Days

  • 2014-06-09: Highest Volume — 35,466 contracts
  • 2014-06-24: Largest IV spike — 9.7% change
  • 2014-06-16: Highest IV Rank — 20.2%
  • 2014-06-25: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.61$54.03$55.59$54.28$54.08
Max Pain$49.71$49.00$50.00$49.00$50.00
ATM IV11.5%10.3%12.5%11.3%11.9%
Expected Move4.9%4.7%5.1%4.9%4.8%
HV 20d10.1%8.5%11.4%11.1%9.2%
HV 60d12.0%11.5%12.5%12.3%11.5%
IV Rank12.3%2.2%20.2%10.5%15.8%
IV Percentile7.4%0.4%20.6%2.0%13.1%
Term Structure0.4%-0.6%2.0%0.1%0.1%
VWIV18.7%13.7%24.8%18.8%18.3%
Skew 25d3.4%2.3%5.0%3.0%3.8%
Skew 10d8.0%4.0%11.5%6.1%9.1%
Call IV 25d10.3%8.2%11.3%10.4%10.3%
Put IV 25d13.7%12.8%15.2%13.5%14.1%
Bid-Ask Spread %24.5718.6231.6924.9722.39
Gamma HHI0.230.160.360.200.19
Net GEX5.8M-1.9M15.5M298.1K1.3M
Net DEX-144.4M-299.3M396.3K-171.7M-11.6M
Net VEX-1.4M-1.6M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.138.932.168.93
Total Volume8,669.1431,41335,4664,33212,507
Total OI289,588.286165,043357,561312,874168,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$54.28$49.0011.3%4.9%11.1%10.5%0.0%3.0%0.1%298.1K-171.7M-1.4M2.1624.971,3692,96388,751224,123
2014-06-03$54.19$49.0012.1%5.0%11.1%17.2%18.8%2.8%-0.0%-627.7K-166.6M-1.4M1.4730.212,5843,79389,195226,060
2014-06-04$54.21$49.0012.3%5.0%10.6%19.0%20.3%3.1%-0.0%-1.1M-160.8M-1.4M0.5722.743,9692,27490,575229,336
2014-06-05$54.76$49.0011.5%4.8%10.8%12.4%17.6%2.8%-0.1%7.1M-215.4M-1.4M1.1731.692,2742,66194,057229,608
2014-06-06$55.37$49.0010.9%4.9%11.3%7.1%17.8%5.0%0.3%12.7M-268.6M-1.3M0.4323.529,7734,16093,653230,616
2014-06-09$55.59$49.0011.2%4.7%11.3%9.4%13.7%3.3%-0.6%15.5M-299.3M-1.3M0.6230.9921,90613,56098,497230,954
2014-06-10$55.46$50.0010.7%4.8%10.4%5.6%17.6%3.0%0.6%13.8M-276.9M-1.5M1.0425.461,7601,835106,913242,575
2014-06-11$55.05$50.0011.3%4.8%10.9%10.5%0.0%2.8%0.4%11.9M-238.9M-1.5M1.8223.362,4684,503107,341244,031
2014-06-12$54.42$50.0012.0%4.9%11.4%16.0%0.0%2.3%0.8%4.5M-157.9M-1.6M1.0423.763,1553,274108,315247,560
2014-06-13$54.50$50.0011.9%4.9%10.7%15.4%0.0%3.1%1.1%11.7M-179.1M-1.5M1.2026.29798955108,848248,713
2014-06-16$54.44$50.0012.5%4.9%10.8%20.2%19.8%4.1%-0.2%6.6M-157.4M-1.5M2.4622.304181,027106,463244,540
2014-06-17$54.59$50.0011.5%4.8%10.8%11.6%18.0%4.5%0.8%11.6M-181.0M-1.5M1.9625.89477936106,477244,563
2014-06-18$54.60$50.0011.2%4.9%8.9%9.7%23.0%3.6%2.0%13.7M-203.4M-1.4M5.2120.192,32112,099106,554245,047
2014-06-19$55.02$50.0010.5%4.8%8.5%3.5%16.6%3.3%0.4%14.0M-224.4M-1.4M0.1321.0223,5013,088106,485246,496
2014-06-20$55.02$50.0010.3%4.8%8.5%2.2%18.3%3.6%0.6%-944.3K-45.0M-1.4M0.8026.597,0815,69770,272246,147
2014-06-23$54.60$50.0011.1%4.8%9.0%8.5%17.7%3.8%0.3%2.6M-50.6M-1.4M6.4523.457444,79768,40096,643
2014-06-24$54.19$50.0012.1%4.8%9.3%17.3%0.0%3.5%0.3%5.4K-9.9M-1.4M2.2124.989652,13168,823100,268
2014-06-25$54.20$50.0012.0%5.1%9.3%15.9%24.8%3.5%0.3%-1.7M-7.5M-1.4M0.6427.751,53797969,170101,559
2014-06-26$54.03$50.0011.8%4.8%9.2%14.9%0.0%3.3%0.2%-1.9M396.3K-1.4M1.2019.831,7052,04569,619101,867
2014-06-27$54.17$50.0011.9%4.8%9.3%15.1%18.3%4.2%0.4%1.1M-6.7M-1.4M8.7818.628147,14970,670102,845
2014-06-30$54.08$50.0011.9%4.8%9.2%15.8%0.0%3.8%0.1%1.3M-11.6M-1.4M8.9322.391,26011,24769,46999,256