XLI Options History — March 2015

In March 2015, XLI traded between $55.39 and $57.99. ATM implied volatility averaged 14.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.2% (HV 20d: 12.0%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 7.71.

Notable Days

  • 2015-03-09: Highest Volume — 89,994 contracts
  • 2015-03-06: Largest IV spike — 14.0% change
  • 2015-03-27: Highest IV Rank — 39.7%
  • 2015-03-11: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.60$55.39$57.99$57.99$55.88
Max Pain$56.59$56.00$57.00$57.00$57.00
ATM IV14.1%12.3%15.7%12.6%15.1%
Expected Move4.1%3.6%4.5%3.6%4.2%
HV 20d12.0%9.1%14.5%12.5%14.5%
HV 60d14.8%14.1%15.3%15.2%14.8%
IV Rank28.4%14.9%39.7%16.9%35.5%
IV Percentile57.6%27.8%78.2%30.6%72.2%
Term Structure0.2%-0.8%2.1%0.1%0.3%
VWIV14.9%12.7%18.0%13.4%13.0%
Skew 25d4.3%2.4%5.3%4.9%4.6%
Skew 10d8.4%3.7%12.5%5.7%9.2%
Call IV 25d12.5%10.7%14.0%11.1%13.1%
Put IV 25d16.8%15.0%19.1%16.0%17.7%
Bid-Ask Spread %15.1410.0124.5610.0117.08
Gamma HHI0.270.120.570.330.14
Net GEX-34.8M-105.0M9.2M-19.2M-30.9M
Net DEX101.3M-27.4M242.5M-27.4M185.1M
Net VEX-981.4K-1.2M-626.6K-948.6K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.710.3773.932.172.90
Total Volume18,546.8642,36689,99416,16215,829
Total OI227,359.227121,884272,636255,382172,936

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$57.99$57.0012.6%3.6%12.5%16.9%13.4%4.9%0.1%-19.2M-27.4M-948.6K2.1710.015,09911,06358,819196,563
2015-03-03$57.64$57.0013.6%3.9%11.0%24.3%14.9%4.7%-0.0%-24.3M32.5M-1.1M2.5310.374,45911,29959,001201,641
2015-03-04$57.20$57.0013.7%4.1%10.6%24.9%15.3%3.9%0.1%-36.7M88.2M-1.1M2.1510.245,48011,78859,096201,382
2015-03-05$57.26$57.0012.3%3.9%9.1%14.9%17.0%3.6%-0.1%-36.9M95.8M-1.1M2.3724.565,50913,02960,394203,307
2015-03-06$56.44$57.0014.0%4.3%10.1%27.6%16.3%5.1%0.4%-67.0M180.5M-1.1M3.7213.446,00322,31260,627205,245
2015-03-09$56.94$56.0013.5%4.0%10.1%23.9%18.0%5.0%0.0%-57.9M73.8M-924.4K73.9310.631,20188,79360,099212,537
2015-03-10$56.45$56.0013.9%4.2%10.5%26.6%14.8%2.4%-0.5%-25.0M55.4M-626.6K18.5719.2497518,10260,190194,166
2015-03-11$55.88$56.0015.5%4.5%11.1%38.2%16.4%4.6%-0.0%-77.0M242.5M-1.0M4.8010.059834,72260,439192,221
2015-03-12$56.38$56.0014.5%4.4%11.4%31.3%15.5%5.1%0.8%-59.1M137.1M-972.0K0.9114.115,6925,20260,813193,211
2015-03-13$56.06$56.0014.9%4.4%11.6%34.3%14.8%3.8%0.7%-105.0M189.9M-971.0K3.2514.563,14510,22263,835193,592
2015-03-16$56.88$56.0014.5%4.2%12.3%31.1%14.9%4.3%0.4%-48.5M26.7M-767.2K1.6716.751,6122,68661,616187,433
2015-03-17$56.78$56.0014.6%4.2%12.1%31.8%13.9%4.3%0.1%-54.2M37.2M-777.8K0.3714.768,4113,13561,877188,128
2015-03-18$57.24$56.0013.9%4.0%12.5%26.3%14.2%4.0%0.5%-12.4M-4.4M-821.2K2.1318.521,7843,79267,871189,975
2015-03-19$57.07$56.0013.5%3.8%12.4%23.2%13.4%3.3%-0.2%3.9M-19.0M-757.7K0.9019.048,7947,89368,624192,251
2015-03-20$57.10$57.0013.2%3.6%12.3%21.4%12.7%4.6%2.1%9.2M-2.4M-805.3K0.9522.647,7627,38466,565197,177
2015-03-23$56.64$57.0013.3%3.9%12.2%22.2%14.0%4.9%0.9%-5.7M48.1M-837.9K7.2316.654,49632,49636,73185,153
2015-03-24$56.54$57.0013.6%3.8%12.1%24.5%14.9%4.5%-0.2%-14.3M115.4M-1.1M8.4512.671,0779,09640,820116,544
2015-03-25$55.50$57.0015.5%4.3%13.5%38.1%14.7%5.3%0.0%-22.1M188.8M-1.2M18.5213.2188516,39041,639119,198
2015-03-26$55.39$57.0015.5%4.4%13.5%38.7%15.5%4.2%-0.8%-29.4M227.9M-1.2M3.6911.033,65313,47742,211127,609
2015-03-27$55.55$57.0015.7%4.3%13.5%39.7%16.3%3.8%0.4%-29.4M215.0M-1.2M5.5917.863592,00742,398129,182
2015-03-30$56.36$57.0014.2%3.9%14.4%29.1%14.9%3.4%-0.0%-24.4M140.8M-1.1M2.7415.665,33714,59839,758129,029
2015-03-31$55.88$57.0015.1%4.2%14.5%35.5%13.0%4.6%0.3%-30.9M185.1M-1.1M2.9017.084,05811,77141,900131,036