XLI Options History — July 2014

In July 2014, XLI traded between $51.90 and $54.75. ATM implied volatility averaged 12.4%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.0% (HV 20d: 9.4%). Max pain ranged from $42.00 to $57.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.92.

Notable Days

  • 2014-07-31: Highest Volume — 30,768 contracts
  • 2014-07-17: Largest IV spike — 27.0% change
  • 2014-07-31: Highest IV Rank — 48.1%
  • 2014-07-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.95$51.90$54.75$54.43$51.90
Max Pain$51.38$42.00$57.00$50.00$57.00
ATM IV12.4%10.8%15.8%11.3%15.8%
Expected Move4.7%4.3%4.8%4.8%4.8%
HV 20d9.4%7.9%11.9%9.5%11.9%
HV 60d10.2%9.5%11.3%11.3%10.9%
IV Rank19.3%5.8%48.1%10.1%48.1%
IV Percentile26.3%2.4%84.9%4.8%84.9%
Term Structure-0.4%-9.9%1.5%0.7%-0.2%
VWIV17.7%14.8%23.5%17.2%22.6%
Skew 25d4.0%2.5%5.0%3.5%4.3%
Skew 10d8.9%6.6%11.2%9.3%8.2%
Call IV 25d10.7%8.8%13.6%10.3%13.6%
Put IV 25d14.8%13.4%17.9%13.7%17.9%
Bid-Ask Spread %28.2121.1948.7722.5829.34
Gamma HHI0.170.110.240.170.11
Net GEX-8.4M-31.8M5.4M286.8K-24.9M
Net DEX50.6M-47.1M298.7M-5.0M298.7M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.1616.010.581.86
Total Volume9,341.31891930,7682,51530,768
Total OI199,811.182181,787263,176181,787263,176

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$54.43$50.0011.3%4.8%9.5%10.1%17.2%3.5%0.7%286.8K-5.0M-1.5M0.5822.581,58992670,749111,038
2014-07-02$54.30$50.0011.3%4.8%9.5%10.0%15.7%3.4%0.0%-592.3K11.6M-1.4M0.1622.2979112871,353111,604
2014-07-03$54.75$50.0013.2%4.6%9.3%26.0%18.4%4.6%-9.9%3.4M-47.1M-1.4M0.1725.182,27238271,534111,706
2014-07-07$54.34$50.0011.0%4.8%8.7%7.8%16.4%3.1%1.5%1.2M-8.1M-1.4M0.6134.715,5333,35072,405111,103
2014-07-08$54.01$50.0012.2%4.8%8.7%17.4%0.0%3.7%-0.2%-4.8M36.9M-1.4M0.4121.193,9851,63572,396112,413
2014-07-09$54.08$50.0012.1%4.8%8.7%16.7%17.0%3.5%-0.3%-2.3M20.6M-1.4M0.9723.611,0501,02274,350113,409
2014-07-10$53.78$50.0012.3%4.8%8.6%18.5%0.0%4.1%-0.3%-6.4M51.3M-1.4M0.3024.081,71151774,736114,073
2014-07-11$54.06$50.0012.0%4.8%7.9%16.4%18.2%4.2%-0.6%-2.6M22.1M-1.4M2.9723.247412,20275,484114,291
2014-07-14$54.35$50.0011.9%4.8%8.1%15.6%0.0%4.5%-0.8%-1.2M6.9M-1.4M4.2225.891,2485,26174,613114,435
2014-07-15$54.41$50.0012.1%4.8%8.1%16.8%19.2%4.3%-0.3%-741.7K5.8M-1.4M0.8121.671,2371,00175,373117,630
2014-07-16$54.64$50.0010.8%4.7%8.2%5.8%0.0%4.1%1.3%5.4M-20.4M-1.4M0.2323.441,50034375,978118,490
2014-07-17$53.80$50.0013.7%4.8%9.9%29.8%15.4%4.6%-0.2%-7.8M46.4M-1.4M6.1325.192,76216,93376,348117,967
2014-07-18$54.24$50.0011.9%4.8%10.0%15.2%0.0%5.0%0.8%-12.4M40.2M-1.5M7.3423.991,0007,33777,943133,831
2014-07-21$54.19$0.0012.4%4.4%10.0%19.4%23.5%4.0%0.1%-10.4M32.8M-1.5M0.7231.8977856165,100126,843
2014-07-22$54.41$42.0011.4%4.4%9.7%11.5%15.1%4.2%0.0%-9.4M11.6M-1.5M0.5026.551,45472865,490127,238
2014-07-23$54.19$54.0012.0%4.4%9.5%16.6%0.0%3.6%0.0%-10.8M20.7M-1.5M2.4148.771,7464,21166,245127,854
2014-07-24$53.93$54.0011.9%4.4%9.6%15.3%15.3%4.6%0.2%-12.4M48.4M-1.4M0.8232.892,0811,71066,830131,960
2014-07-25$53.74$54.0012.9%4.5%9.6%23.4%0.0%4.1%-0.5%-12.3M60.0M-1.5M16.0129.9367410,79268,477133,230
2014-07-28$53.55$54.0013.0%4.3%9.6%24.8%14.8%4.1%-0.1%-15.8M96.7M-1.5M11.4233.082,36526,99767,080142,001
2014-07-29$52.85$57.0013.6%4.6%10.6%29.7%20.5%2.5%0.2%-31.8M203.2M-1.5M0.9936.0613,46213,36268,416162,308
2014-07-30$52.87$57.0013.6%4.5%10.3%29.5%17.0%4.8%-0.4%-28.1M180.2M-1.6M4.6434.994,84922,51580,375167,971
2014-07-31$51.90$57.0015.8%4.8%11.9%48.1%22.6%4.3%-0.2%-24.9M298.7M-1.6M1.8629.3410,74420,02483,816179,360