XLI Options History — January 2015

In January 2015, XLI traded between $54.37 and $56.58. ATM implied volatility averaged 18.0%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.2% (HV 20d: 16.8%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.41.

Notable Days

  • 2015-01-22: Highest Volume — 33,117 contracts
  • 2015-01-05: Largest IV spike — 15.3% change
  • 2015-01-15: Highest IV Rank — 79.2%
  • 2015-01-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.30$54.37$56.58$56.58$54.57
Max Pain$56.75$56.00$57.00$57.00$56.50
ATM IV18.0%14.7%21.0%16.7%18.9%
Expected Move5.2%4.2%6.1%4.8%5.9%
HV 20d16.8%14.8%18.9%14.8%17.8%
HV 60d15.1%13.9%17.1%16.6%14.6%
IV Rank56.9%32.4%79.2%47.4%63.8%
IV Percentile89.7%68.3%98.4%89.3%92.5%
Term Structure-0.3%-1.8%0.8%-0.6%-0.5%
VWIV20.4%17.8%24.9%18.0%19.9%
Skew 25d6.2%2.7%9.5%5.3%6.0%
Skew 10d11.9%7.1%16.0%11.3%12.3%
Call IV 25d15.3%12.3%17.5%14.5%16.3%
Put IV 25d21.5%17.8%24.1%19.8%22.2%
Bid-Ask Spread %24.9119.6536.4823.2028.86
Gamma HHI0.190.110.330.210.33
Net GEX-13.2M-27.2M-1.2M-14.2M-27.2M
Net DEX128.1M7.4M248.9M41.3M181.4M
Net VEX-888.7K-1.0M-839.7K-843.3K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.339.724.071.45
Total Volume16,681.33,06033,11723,72426,280
Total OI213,855.6125,601304,922256,584157,625

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$56.58$57.0016.7%4.8%14.8%47.4%18.0%5.3%-0.6%-14.2M41.3M-843.3K4.0723.204,68119,04349,328207,256
2015-01-05$55.20$57.0019.3%5.5%17.0%66.4%20.8%6.9%-0.3%-15.5M154.3M-847.6K4.7623.181,6567,88349,565207,681
2015-01-06$54.51$57.0020.5%5.4%17.4%75.3%22.2%7.1%-1.4%-16.2M212.4M-839.7K1.6424.557,76012,70550,169208,453
2015-01-07$54.97$57.0018.4%5.2%17.6%60.1%18.9%6.4%-0.1%-11.7M166.1M-850.7K2.0924.082,4545,13256,570211,556
2015-01-08$56.00$57.0016.2%4.8%18.9%43.9%20.6%6.2%0.6%-13.0M72.1M-866.8K2.4220.956,26215,16055,712211,283
2015-01-09$55.47$57.0016.8%5.3%17.9%47.9%19.3%2.7%0.1%-18.1M120.9M-868.7K1.0024.378,2238,22658,313215,606
2015-01-12$55.11$57.0019.0%5.4%18.0%64.5%22.9%6.0%-0.0%-8.9M150.9M-853.3K3.3723.724,35014,63959,339215,245
2015-01-13$54.88$57.0018.9%5.3%17.1%63.7%22.7%5.1%0.2%-9.3M173.4M-877.7K2.3320.856,91216,08259,976221,494
2015-01-14$54.64$57.0019.1%5.4%17.1%65.5%24.3%7.3%0.0%-8.1M221.3M-904.3K2.0919.655,35811,18263,256229,837
2015-01-15$54.37$57.0021.0%6.1%17.2%79.2%24.9%6.6%0.7%-7.7M241.6M-933.1K1.9820.224,9279,77365,549235,599
2015-01-16$54.68$57.0019.4%5.2%17.0%66.9%19.4%7.3%-1.8%-1.2M248.9M-897.3K4.5427.461,9728,95365,753239,169
2015-01-20$55.12$57.0019.0%5.4%15.0%64.5%19.0%8.1%-0.2%-11.0M84.4M-887.7K0.3336.482,30475633,12292,479
2015-01-21$55.57$56.0017.0%4.9%15.3%49.8%18.0%6.6%0.4%-9.2M58.1M-864.6K0.7126.172,7171,93834,86592,948
2015-01-22$56.44$56.0014.7%4.2%16.1%32.4%19.8%7.0%-0.8%-6.3M7.4M-854.4K6.2129.534,59028,52736,51493,634
2015-01-23$56.01$56.5015.7%4.6%16.1%39.9%18.0%5.0%-1.2%-9.7M28.6M-861.8K6.8430.043,38523,15437,74093,093
2015-01-26$56.08$56.5015.3%4.4%16.1%37.0%17.8%5.3%0.1%-13.5M55.9M-883.6K6.5422.269135,97134,45297,500
2015-01-27$55.51$56.5017.0%4.8%16.4%49.8%19.4%5.5%-0.5%-17.5M95.4M-904.3K9.7223.288688,44134,981101,893
2015-01-28$54.88$56.5019.4%5.7%16.7%67.4%21.5%4.7%-1.7%-21.3M133.6M-945.2K5.0725.873,35416,99835,530109,398
2015-01-29$55.47$56.5017.3%4.9%17.3%51.8%19.8%9.5%0.8%-23.6M114.9M-962.2K0.9923.4510,1099,98836,637117,992
2015-01-30$54.57$56.5018.9%5.9%17.8%63.8%19.9%6.0%-0.5%-27.2M181.4M-1.0M1.4528.8610,70815,57234,905122,720