XLI Options History — April 2015

In April 2015, XLI traded between $55.36 and $56.99. ATM implied volatility averaged 14.0%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.9% (HV 20d: 13.2%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2015-04-10: Highest Volume — 25,442 contracts
  • 2015-04-13: Largest IV spike — 15.0% change
  • 2015-04-01: Highest IV Rank — 40.9%
  • 2015-04-02: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.18$55.36$56.99$55.36$55.60
Max Pain$56.05$56.00$57.00$57.00$56.00
ATM IV14.0%12.8%15.8%15.8%15.0%
Expected Move4.1%3.7%4.7%4.4%4.5%
HV 20d13.2%10.9%14.6%14.6%10.9%
HV 60d13.4%12.2%14.9%14.9%12.2%
IV Rank27.4%18.4%40.9%40.9%34.4%
IV Percentile54.8%34.1%79.4%79.4%71.0%
Term Structure0.2%-1.1%1.9%-0.9%0.6%
VWIV15.6%13.5%18.9%13.5%15.8%
Skew 25d4.5%3.0%7.3%5.0%3.3%
Skew 10d9.0%6.4%13.0%9.2%7.0%
Call IV 25d12.3%11.1%14.6%14.6%13.9%
Put IV 25d16.8%14.9%19.6%19.6%17.1%
Bid-Ask Spread %12.9710.0218.7917.7310.46
Gamma HHI0.160.140.190.140.17
Net GEX-28.9M-49.4M-14.6M-33.2M-26.9M
Net DEX131.1M57.1M243.1M234.6M149.3M
Net VEX-978.7K-1.2M-866.9K-1.1M-931.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.783.873.873.31
Total Volume15,894.66773525,44225,31425,105
Total OI171,597.286141,520198,866174,687156,662

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$55.36$57.0015.8%4.4%14.6%40.9%13.5%5.0%-0.9%-33.2M234.6M-1.1M3.8717.735,19420,12042,544132,143
2015-04-02$55.49$56.0015.4%4.7%14.6%37.5%16.3%5.6%0.5%-43.1M243.1M-1.2M3.6616.934,09114,97243,175142,155
2015-04-06$55.86$56.0015.0%4.3%14.1%34.6%18.4%6.1%-0.1%-44.6M206.2M-1.1M2.6016.184,33711,26441,189145,524
2015-04-07$55.77$56.0015.1%4.3%13.6%35.7%18.9%7.3%-0.5%-49.4M214.5M-1.1M2.6618.224,27411,35142,078148,559
2015-04-08$55.76$56.0014.4%4.2%13.3%30.2%17.1%4.0%0.2%-48.9M202.1M-1.1M1.3513.9331342242,388150,247
2015-04-09$56.19$56.0014.1%4.1%13.2%28.3%15.4%5.5%0.9%-42.0M163.0M-1.0M0.8618.7911,5949,99742,704150,562
2015-04-10$56.99$56.0013.2%3.9%13.7%21.3%15.2%3.4%0.0%-14.9M63.0M-1.0M1.1811.4411,66813,77450,491148,375
2015-04-13$56.42$56.0015.2%4.4%14.1%35.9%16.1%5.0%-0.8%-30.2M113.4M-1.0M0.7810.537,7656,07155,440131,700
2015-04-14$56.43$56.0014.8%4.3%13.0%33.1%15.7%4.5%-1.1%-34.2M114.0M-1.0M0.9010.026,5255,86155,470131,998
2015-04-15$56.57$56.0012.8%3.7%13.1%18.6%17.2%4.8%0.6%-31.1M93.9M-969.0K1.3711.285,6157,70355,878132,151
2015-04-16$56.51$56.0013.1%3.7%12.7%20.9%16.6%4.5%0.5%-40.0M118.7M-953.1K1.8610.365,68910,57755,842135,839
2015-04-17$55.76$56.0014.5%4.1%13.5%30.7%14.6%4.3%0.3%-17.1M224.4M-957.6K1.6111.989,38515,13056,463137,483
2015-04-20$56.47$56.0013.4%3.8%14.3%22.7%14.4%4.6%0.3%-14.6M69.0M-866.9K0.9912.114,7884,75741,488100,032
2015-04-21$56.39$56.0013.6%3.8%14.1%24.0%14.5%4.6%-0.0%-16.8M74.0M-886.7K0.8810.485,5684,92042,167100,799
2015-04-22$56.63$56.0013.2%3.8%14.1%21.3%14.7%4.0%0.0%-15.3M57.1M-871.5K1.9812.264,4918,87343,664102,087
2015-04-23$56.56$56.0013.0%3.7%12.3%19.6%15.7%4.0%0.2%-18.4M60.8M-886.0K1.1311.514,3404,91543,949103,576
2015-04-24$56.32$56.0012.8%3.8%12.4%18.4%14.1%4.1%0.1%-25.7M78.9M-887.5K2.1311.625,42811,54844,377104,028
2015-04-27$56.27$56.0013.4%3.9%12.4%22.8%15.1%3.9%0.1%-16.6M81.4M-892.0K1.5610.814,8547,55040,633104,634
2015-04-28$56.35$56.0013.0%3.7%11.3%20.1%14.1%3.0%1.9%-19.2M79.6M-870.9K2.2912.445,30112,16341,425107,427
2015-04-29$56.10$56.0013.7%4.1%11.0%24.9%14.9%3.4%0.2%-24.2M111.1M-939.1K2.5513.314,36611,12941,810114,387
2015-04-30$55.60$56.0015.0%4.5%10.9%34.4%15.8%3.3%0.6%-26.9M149.3M-931.0K3.3110.465,83119,27442,153114,509