XLI Options History — December 2014

In December 2014, XLI traded between $54.76 and $57.46. ATM implied volatility averaged 15.5%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.0% (HV 20d: 13.4%). Max pain ranged from $52.00 to $58.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 6.18.

Notable Days

  • 2014-12-17: Highest Volume — 53,858 contracts
  • 2014-12-10: Largest IV spike — 24.5% change
  • 2014-12-16: Highest IV Rank — 73.6%
  • 2014-12-16: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.47$54.76$57.46$56.23$56.57
Max Pain$55.05$52.00$58.00$52.00$57.00
ATM IV15.5%12.1%20.2%14.2%17.2%
Expected Move4.8%4.4%5.9%4.7%4.7%
HV 20d13.4%8.9%16.4%8.9%15.7%
HV 60d17.4%16.5%18.1%16.5%17.4%
IV Rank38.1%13.0%73.6%29.2%51.3%
IV Percentile73.0%26.2%97.2%67.9%90.9%
Term Structure0.3%-0.8%2.0%0.4%0.2%
VWIV19.7%14.8%24.1%19.8%18.1%
Skew 25d4.9%2.3%8.2%4.0%4.1%
Skew 10d10.7%6.5%16.9%7.1%11.0%
Call IV 25d13.7%10.4%18.4%12.5%14.4%
Put IV 25d18.6%14.5%23.7%16.5%18.5%
Bid-Ask Spread %30.1016.2952.0022.8124.56
Gamma HHI0.220.150.330.160.18
Net GEX-24.4M-52.8M-2.9M-2.9M-14.7M
Net DEX60.1M-122.9M326.9M-63.5M48.3M
Net VEX-973.7K-1.3M-745.7K-809.6K-877.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.180.3146.344.281.66
Total Volume21,648.3644,98453,85820,0485,473
Total OI315,214.727238,717387,408289,122255,402

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$56.23$52.0014.2%4.7%8.9%29.2%19.8%4.0%0.4%-2.9M-63.5M-809.6K4.2822.813,79716,25156,678232,444
2014-12-02$56.63$54.0013.1%4.4%9.1%20.5%19.9%4.3%0.8%-4.7M-76.3M-856.9K4.0020.002,4589,84257,915243,652
2014-12-03$57.46$54.0012.1%4.4%10.2%13.0%22.1%4.1%0.6%-3.4M-122.9M-828.8K2.7622.135,63715,56958,037243,603
2014-12-04$57.13$54.0013.1%4.5%10.4%20.7%16.4%4.1%-0.1%-5.4M-93.9M-910.8K46.3429.4487040,31960,551249,652
2014-12-05$57.16$54.0013.1%4.4%9.9%20.5%20.3%3.2%1.1%-27.6M-39.3M-1.0M4.8316.453,47016,76561,094286,622
2014-12-08$56.61$54.0014.5%4.6%10.6%30.9%21.9%2.3%0.1%-38.5M50.6M-1.1M4.8316.292,41311,65960,050291,394
2014-12-09$56.66$54.0014.4%4.6%10.5%30.0%21.8%4.9%-0.6%-39.4M64.4M-1.1M11.1221.232,38426,51960,390294,667
2014-12-10$55.55$54.0017.9%5.1%12.7%56.0%23.3%2.6%0.2%-36.8M179.6M-1.2M8.4826.243,09726,26860,652295,365
2014-12-11$55.75$54.0017.7%5.1%12.7%54.7%21.6%4.8%-0.2%-44.9M191.3M-1.2M4.3830.614,24018,58561,811307,968
2014-12-12$54.85$55.0019.9%5.6%13.9%70.7%22.8%3.3%2.0%-40.2M298.2M-1.3M4.1126.874,01016,49563,172308,700
2014-12-15$54.76$55.0018.6%5.6%13.9%61.5%19.1%6.9%-0.1%-40.8M326.9M-1.2M2.1525.834,91810,56564,363309,663
2014-12-16$54.78$55.0020.2%5.9%13.9%73.6%21.6%6.5%-0.8%-40.9M303.4M-1.2M4.2225.734,49518,95466,894311,930
2014-12-17$55.24$55.0018.4%5.6%13.9%59.6%24.1%7.1%-0.4%-52.8M307.1M-1.2M11.7528.334,22449,63467,596319,812
2014-12-18$56.54$55.0015.2%4.9%16.4%36.0%20.2%8.2%0.2%-36.9M10.0M-957.2K3.6333.735,45219,77467,537301,035
2014-12-19$56.58$55.0014.5%4.7%16.3%31.0%18.1%6.6%1.4%-44.4M54.7M-840.3K0.3352.005,5081,79146,937302,574
2014-12-22$57.06$0.0014.8%4.5%16.2%33.4%22.9%5.1%0.1%-12.6M-1.3M-885.7K2.2543.405,74312,94941,656197,061
2014-12-23$57.42$54.0013.9%4.5%16.4%26.8%15.6%4.9%0.0%-10.9M-32.4M-827.7K3.8042.394,61117,50042,197198,267
2014-12-24$57.40$58.0014.0%4.5%16.3%27.1%16.0%4.8%0.2%-10.3M-28.4M-824.0K3.7941.794,42516,75942,175202,756
2014-12-26$57.43$58.0014.3%4.4%16.3%29.4%16.9%6.9%-0.3%-8.5M-36.6M-787.5K2.3240.117,54917,48642,188202,783
2014-12-29$57.46$58.0014.3%4.5%16.0%29.9%15.8%5.1%0.6%-9.6M-25.0M-745.7K4.6835.544,01918,80344,523201,252
2014-12-30$57.15$57.0014.8%4.5%15.5%33.2%14.8%4.8%0.9%-9.9M6.6M-820.1K0.3136.803,8011,18344,675207,031
2014-12-31$56.57$57.0017.2%4.7%15.7%51.3%18.1%4.1%0.2%-14.7M48.3M-877.0K1.6624.562,0593,41447,533207,869