XLI Options History — October 2014

In October 2014, XLI traded between $49.54 and $55.22. ATM implied volatility averaged 17.6%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.6% (HV 20d: 20.1%). Max pain ranged from $52.00 to $53.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.74.

Notable Days

  • 2014-10-23: Highest Volume — 128,445 contracts
  • 2014-10-09: Largest IV spike — 22.5% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.31$49.54$55.22$52.15$55.22
Max Pain$52.17$52.00$53.00$53.00$52.00
ATM IV17.6%14.3%23.8%16.5%14.4%
Expected Move5.1%4.5%6.2%5.0%4.7%
HV 20d20.1%10.5%25.9%10.6%24.7%
HV 60d14.4%10.8%16.6%10.8%16.6%
IV Rank59.3%29.3%100.0%56.5%30.6%
IV Percentile89.7%71.0%100.0%92.5%73.4%
Term Structure-0.1%-0.7%0.8%-0.1%0.4%
VWIV20.7%17.5%25.4%20.0%24.5%
Skew 25d5.8%3.2%13.0%5.7%3.2%
Skew 10d11.3%7.0%20.1%10.5%7.0%
Call IV 25d15.2%12.7%20.1%14.0%13.2%
Put IV 25d21.0%16.4%32.3%19.7%16.4%
Bid-Ask Spread %30.9021.1443.2231.1123.04
Gamma HHI0.150.110.430.130.16
Net GEX-21.8M-66.8M689.8K-17.5M-10.1M
Net DEX170.1M-66.4M456.8M198.1M-66.4M
Net VEX-1.4M-1.9M-1.1M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.740.4813.200.941.58
Total Volume34,094.132,650128,44526,32829,575
Total OI279,030.609204,519346,288231,553325,959

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$52.15$53.0016.5%5.0%10.6%56.5%20.0%5.7%-0.1%-17.5M198.1M-1.3M0.9431.1113,58912,73985,404146,149
2014-10-02$52.09$53.0016.0%4.9%10.5%51.4%17.5%5.1%0.1%-25.4M231.2M-1.3M0.6021.147,0604,20879,881154,513
2014-10-03$52.80$53.0014.5%4.6%11.8%37.7%19.3%4.6%0.6%-18.5M150.1M-1.3M2.0723.741,3702,84085,063154,753
2014-10-06$52.64$53.0015.5%4.6%11.8%47.4%22.1%4.4%-0.3%-19.9M147.3M-1.2M1.8823.369211,72982,209148,089
2014-10-07$51.38$52.0016.8%5.2%14.3%58.9%18.8%5.0%-0.6%-21.4M262.4M-1.1M13.2031.702,93238,71382,626149,405
2014-10-08$52.30$52.0015.4%4.5%16.0%46.3%18.4%4.8%0.8%-34.2M213.2M-1.3M2.1626.318,65118,70383,532166,341
2014-10-09$51.17$52.0018.9%4.9%17.5%82.0%18.2%5.9%-0.5%-28.2M311.6M-1.2M10.5530.045,37056,66785,623166,284
2014-10-10$50.16$52.0021.0%5.4%18.5%100.0%17.8%7.0%-0.4%-31.4M456.8M-1.3M2.6739.953,2148,57086,163192,522
2014-10-13$49.54$52.0022.1%5.5%18.7%100.0%20.2%3.9%-0.6%-27.6M448.9M-1.2M2.5241.295,22913,15184,195183,248
2014-10-14$50.77$52.0020.5%5.4%21.1%86.1%19.0%8.0%-0.3%-39.2M365.2M-1.3M2.0033.736,78913,58588,635185,625
2014-10-15$50.17$52.0021.8%6.0%21.1%97.2%19.5%13.0%-0.2%-30.8M394.7M-1.3M5.9437.809,28955,13191,050179,571
2014-10-16$50.48$52.0023.8%6.2%21.2%100.0%22.9%11.3%-0.0%-30.7M366.5M-1.3M5.2032.473,50818,23187,229186,755
2014-10-17$51.49$52.0020.6%5.6%22.8%76.5%18.9%6.9%0.3%-66.8M225.4M-1.3M3.5627.233,96114,08489,112183,751
2014-10-20$51.62$52.0019.0%5.4%22.7%64.6%20.0%6.3%-0.7%-14.3M108.7M-1.2M1.0124.7256,70257,35762,986141,533
2014-10-21$52.70$52.0016.8%5.2%23.9%48.0%19.6%6.5%0.2%-451.4K-5.4M-1.8M0.7329.417,4365,461113,897193,192
2014-10-22$52.06$52.0018.2%5.2%24.2%58.7%23.1%5.6%-0.1%-5.8M50.9M-1.8M6.0932.637,27744,346117,245199,299
2014-10-23$53.20$52.0016.5%5.2%25.2%45.7%23.3%4.0%-0.3%689.8K-66.1M-1.9M1.1843.2258,83869,607117,480228,808
2014-10-24$53.70$52.0015.9%4.9%25.3%41.5%21.8%4.7%-0.5%-17.0M64.7M-1.8M4.5831.077,48834,30670,262265,355
2014-10-27$53.70$52.0015.9%5.0%25.2%41.4%19.1%4.1%0.3%-17.2M49.6M-1.8M0.4831.922,9791,44367,480245,627
2014-10-28$54.64$52.0014.3%4.7%25.9%29.3%22.1%4.2%0.7%-11.6M3.5M-1.7M11.1937.591,61718,09267,698245,645
2014-10-29$54.44$52.0014.8%4.9%24.9%33.1%25.4%3.9%-0.4%-14.8M8.9M-1.6M3.0331.226,92320,97768,638252,761
2014-10-30$54.66$52.0014.6%4.6%24.8%31.7%25.0%4.8%-0.7%-18.6M-7.1M-1.6M2.7726.046,23417,27368,918257,193
2014-10-31$55.22$52.0014.4%4.7%24.7%30.6%24.5%3.2%0.4%-10.1M-66.4M-1.5M1.5823.0411,44418,13169,681256,278