XLI Options History — August 2014

In August 2014, XLI traded between $51.43 and $54.36. ATM implied volatility averaged 13.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.9% (HV 20d: 12.2%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.42.

Notable Days

  • 2014-08-12: Highest Volume — 36,728 contracts
  • 2014-08-05: Largest IV spike — 9.6% change
  • 2014-08-01: Highest IV Rank — 53.3%
  • 2014-08-06: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.08$51.43$54.36$51.67$54.02
Max Pain$56.00$55.00$57.00$57.00$55.00
ATM IV13.1%10.8%16.5%16.5%11.5%
Expected Move4.5%4.1%5.0%4.8%4.2%
HV 20d12.2%9.7%13.4%11.3%9.7%
HV 60d10.6%10.2%10.9%10.7%10.5%
IV Rank24.1%3.8%53.3%53.3%10.0%
IV Percentile37.5%1.6%88.9%88.9%8.7%
Term Structure0.4%-0.4%2.0%0.7%0.5%
VWIV15.3%10.2%18.4%13.9%14.7%
Skew 25d4.0%3.0%5.7%5.7%3.4%
Skew 10d8.5%5.1%10.7%9.0%7.9%
Call IV 25d11.6%9.2%14.1%14.1%10.5%
Put IV 25d15.5%13.2%19.8%19.8%13.9%
Bid-Ask Spread %34.4122.3352.5130.0736.02
Gamma HHI0.130.110.160.130.11
Net GEX-24.8M-32.8M-13.6M-17.1M-27.3M
Net DEX109.9M-82.7M313.9M302.4M45.5M
Net VEX-1.5M-1.7M-1.3M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.2512.824.510.58
Total Volume11,491.191,58436,72831,8706,361
Total OI277,585264,623294,910271,118283,057

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$51.67$57.0016.5%4.8%11.3%53.3%13.9%5.7%0.7%-17.1M302.4M-1.6M4.5130.075,78626,08491,217179,901
2014-08-04$51.96$57.0014.9%4.7%11.5%40.5%15.5%3.9%0.7%-30.1M285.5M-1.6M2.0624.902,8025,77281,188184,151
2014-08-05$51.65$57.0016.4%4.8%11.5%52.4%18.4%4.4%0.2%-30.3M303.8M-1.6M1.8329.497,54213,81282,922184,051
2014-08-06$51.45$57.0016.2%5.0%11.4%51.3%18.2%5.6%0.0%-28.7M313.9M-1.5M3.3024.762,6858,86188,794183,872
2014-08-07$51.43$57.0016.0%5.0%11.4%49.5%14.6%4.9%1.0%-29.0M295.0M-1.6M0.3429.635,2861,77790,183183,869
2014-08-08$52.19$56.0015.5%4.8%12.7%45.5%16.7%4.2%-0.2%-25.2M229.2M-1.6M4.8532.992,61012,64993,478184,375
2014-08-11$52.40$56.0014.1%4.8%12.6%33.1%17.1%4.5%2.0%-26.8M173.9M-1.5M5.0328.953,30416,62289,011179,678
2014-08-12$52.26$56.0013.4%4.7%12.5%28.1%16.5%4.5%1.5%-26.8M188.8M-1.6M4.8730.666,25530,47390,894186,332
2014-08-13$52.77$56.0012.7%4.5%13.0%22.1%16.8%3.2%0.4%-30.2M144.1M-1.7M0.5729.931,8401,04996,768198,142
2014-08-14$53.00$56.0012.2%4.4%12.1%15.7%0.0%3.9%0.5%-32.8M99.1M-1.6M2.0522.331,1302,31292,532193,684
2014-08-15$52.85$56.0012.2%4.3%11.7%16.2%15.1%3.5%0.3%-32.6M111.1M-1.5M1.0436.794,4634,62392,664194,396
2014-08-18$53.69$56.0011.6%4.1%13.1%10.7%14.8%4.0%0.0%-15.7M9.2K-1.4M0.5633.926,2533,51685,986178,637
2014-08-19$53.82$56.0010.8%4.1%13.1%3.8%0.0%4.2%0.5%-13.6M-38.2M-1.3M12.8240.081,17415,05587,000179,234
2014-08-20$54.27$56.0011.1%4.2%13.4%6.8%14.9%3.9%0.2%-15.3M-82.7M-1.4M1.9234.694,9499,48887,246193,374
2014-08-21$54.34$56.0011.3%4.3%13.3%8.3%10.2%3.1%0.1%-22.6M-57.4M-1.5M6.1842.086233,84988,840197,413
2014-08-22$54.15$56.0011.7%4.2%13.3%11.5%17.0%3.4%-0.3%-23.3M-51.8M-1.4M7.2452.511,3519,77889,146201,109
2014-08-25$54.36$55.0011.5%4.2%13.2%10.0%14.4%3.0%0.1%-21.6M-5.9M-1.4M3.1550.259593,01777,404201,095
2014-08-26$54.18$55.0012.3%4.1%12.3%16.8%0.0%3.2%-0.4%-25.5M7.4M-1.5M4.7236.683631,71277,680200,266
2014-08-27$54.15$55.0011.7%4.2%12.3%11.8%11.6%3.5%0.4%-22.9M16.7M-1.4M0.2537.991,26432077,820201,510
2014-08-28$54.07$55.0011.3%4.2%9.9%8.5%0.0%3.5%0.5%-24.1M28.3M-1.4M3.9637.897152,83178,670201,696
2014-08-29$54.02$55.0011.5%4.2%9.7%10.0%14.7%3.4%0.5%-27.3M45.5M-1.4M0.5836.024,0192,34279,048204,009