XLI Options History — September 2014

In September 2014, XLI traded between $52.93 and $54.74. ATM implied volatility averaged 12.4%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.1% (HV 20d: 7.4%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2014-09-19: Highest Volume — 44,244 contracts
  • 2014-09-29: Largest IV spike — 13.5% change
  • 2014-09-30: Highest IV Rank — 41.4%
  • 2014-09-29: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.95$52.93$54.74$54.20$53.15
Max Pain$54.05$53.00$55.00$55.00$53.00
ATM IV12.4%10.8%14.9%11.9%14.9%
Expected Move4.3%4.0%4.6%4.3%4.6%
HV 20d7.4%4.5%9.6%9.6%8.4%
HV 60d10.0%9.7%10.4%10.3%10.2%
IV Rank18.7%3.8%41.4%13.7%41.4%
IV Percentile33.7%1.6%81.3%17.5%81.3%
Term Structure0.2%-0.8%3.3%0.2%-0.1%
VWIV16.6%11.2%22.3%17.4%11.2%
Skew 25d4.1%3.0%5.7%3.3%5.0%
Skew 10d8.4%6.2%10.9%6.6%10.2%
Call IV 25d10.8%6.9%12.7%10.6%12.5%
Put IV 25d14.9%12.6%17.5%13.9%17.5%
Bid-Ask Spread %35.1123.0359.6136.8626.44
Gamma HHI0.200.150.290.150.16
Net GEX-9.1M-26.1M2.7M-26.1M-13.1M
Net DEX18.3M-103.7M135.4M25.3M110.6M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0510.420.320.90
Total Volume12,574.9051,77844,24426,4143,055
Total OI273,604.619195,467313,560282,688229,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$54.20$55.0011.9%4.3%9.6%13.7%17.4%3.3%0.2%-26.1M25.3M-1.4M0.3236.8620,0546,36079,701202,987
2014-09-03$54.13$55.0012.1%4.3%9.2%15.2%20.6%3.3%-0.1%-7.0M-12.8M-1.4M3.0437.161,3844,21197,949208,329
2014-09-04$54.15$55.0012.0%4.2%9.0%14.7%0.0%3.9%-0.2%-8.6M-12.5M-1.4M1.1232.951,5791,76498,266209,138
2014-09-05$54.33$55.0010.8%4.2%8.9%3.8%0.0%3.5%0.9%-6.8M-25.1M-1.4M1.5024.432,1623,24498,260209,875
2014-09-08$54.28$55.0011.0%4.3%7.8%5.7%21.3%3.6%1.0%-3.3M-32.8M-1.4M0.9523.0391386597,513195,319
2014-09-09$54.11$55.0012.1%4.2%8.0%15.4%16.9%4.2%0.3%-4.7M-10.0M-1.3M0.0529.2637,4891,90597,525195,764
2014-09-10$54.15$55.0011.9%4.2%7.8%13.4%0.0%3.0%0.4%-9.3M-8.4M-1.4M1.8730.118711,627105,293196,738
2014-09-11$54.17$55.0012.2%4.3%7.2%16.0%16.4%4.2%-0.5%-8.2M-10.4M-1.4M1.8047.742,7294,916105,496197,274
2014-09-12$53.99$55.0012.0%4.2%7.3%14.1%20.2%5.7%3.3%-12.0M25.5M-1.4M1.1724.392,8153,293107,053199,831
2014-09-15$53.97$55.0012.7%4.3%7.2%20.1%12.9%4.4%-0.4%-11.2M15.7M-1.2M0.7230.351,7831,284105,534201,016
2014-09-16$54.27$55.0012.4%4.2%5.0%17.7%16.0%3.7%-0.8%-9.5M1.6M-1.3M1.3159.613,1574,129105,100201,065
2014-09-17$54.48$53.0012.3%4.3%5.1%16.6%15.4%4.5%-0.8%1.8M-55.0M-1.2M1.5829.955,7809,116106,643201,897
2014-09-18$54.74$53.0010.8%4.0%4.5%4.1%16.2%3.3%0.8%-674.1K-103.7M-1.3M0.2436.9618,6114,473106,389207,171
2014-09-19$54.45$53.0011.5%4.3%4.9%9.7%14.2%3.7%-0.1%-23.1M31.8M-1.3M0.1839.4637,5106,73488,580211,140
2014-09-22$53.85$53.0012.4%4.4%6.2%17.8%15.8%4.2%0.1%2.7M13.3M-1.3M1.6441.752,3153,80876,604118,863
2014-09-23$53.38$53.0013.5%4.6%6.7%28.6%15.5%4.5%-0.1%-1.9M50.7M-1.2M4.0439.692,62610,60177,910121,601
2014-09-24$53.51$53.0013.2%4.3%6.8%26.0%14.7%4.5%-0.4%-4.6M48.5M-1.3M10.4242.892,01621,00780,087127,644
2014-09-25$52.93$53.0014.2%4.5%7.7%35.2%17.1%4.7%0.2%-17.2M135.4M-1.3M3.3340.233,02510,08081,553143,063
2014-09-26$53.41$53.0012.9%4.5%8.5%23.5%22.3%4.7%0.4%-15.1M85.6M-1.3M1.5139.631,7032,56783,458144,444
2014-09-29$53.23$53.0014.6%4.6%8.5%39.3%14.2%4.2%0.2%-12.9M110.1M-1.3M2.8624.482,7217,79182,312141,574
2014-09-30$53.15$53.0014.9%4.6%8.4%41.4%11.2%5.0%-0.1%-13.1M110.6M-1.3M0.9026.441,6061,44984,151145,587