XLI Options History — May 2015

In May 2015, XLI traded between $55.55 and $57.22. ATM implied volatility averaged 13.3%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.0% (HV 20d: 11.3%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.12.

Notable Days

  • 2015-05-26: Highest Volume — 37,577 contracts
  • 2015-05-08: Largest IV drop — 16.4% change
  • 2015-05-06: Highest IV Rank — 35.5%
  • 2015-05-04: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.55$55.55$57.22$56.30$55.91
Max Pain$56.30$56.00$57.00$56.00$57.00
ATM IV13.3%11.9%15.1%13.1%13.3%
Expected Move3.9%3.4%4.5%3.6%4.0%
HV 20d11.3%9.9%12.6%11.8%11.3%
HV 60d12.1%11.9%12.3%12.0%12.2%
IV Rank21.9%11.9%35.5%20.9%22.1%
IV Percentile42.8%17.1%72.2%42.1%43.7%
Term Structure0.3%-0.6%1.9%0.5%-0.1%
VWIV14.8%12.3%16.9%15.7%16.3%
Skew 25d4.2%3.3%5.6%3.6%4.4%
Skew 10d7.4%5.1%9.2%8.3%7.0%
Call IV 25d11.5%10.6%13.6%11.1%11.8%
Put IV 25d15.6%14.1%17.9%14.8%16.2%
Bid-Ask Spread %12.487.3222.519.5512.50
Gamma HHI0.170.120.230.160.22
Net GEX-17.8M-38.9M15.9M-30.2M-16.7M
Net DEX49.3M-91.5M200.8M108.2M111.1M
Net VEX-1.0M-1.1M-942.7K-942.7K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.120.0310.770.816.47
Total Volume20,399.21,33337,57717,02432,171
Total OI200,160.15168,883227,334168,883215,914

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$56.30$56.0013.1%3.6%11.8%20.9%15.7%3.6%0.5%-30.2M108.2M-942.7K0.819.559,3997,62543,294125,589
2015-05-04$56.42$56.0013.2%4.5%11.6%21.5%15.9%4.2%0.1%-29.1M106.6M-961.8K5.8612.881,4628,57142,508127,018
2015-05-05$55.68$56.0014.7%4.4%12.5%32.2%16.4%3.9%0.5%-35.8M183.9M-1.0M2.6012.853,1538,18843,450131,959
2015-05-06$55.55$56.0015.1%4.3%12.6%35.5%16.9%5.1%0.3%-38.5M200.8M-986.1K4.2110.074,26217,96144,492132,582
2015-05-07$55.92$56.0014.7%4.5%12.5%32.7%16.6%3.9%0.1%-38.9M174.5M-1.1M2.6611.536,53817,39545,734142,314
2015-05-08$56.55$56.0012.3%3.7%12.1%14.8%13.2%3.5%1.0%-34.8M94.8M-1.0M0.6622.512,6971,76946,806145,316
2015-05-11$56.47$56.0013.2%4.3%11.5%21.6%12.3%4.9%1.9%-35.7M98.7M-1.0M0.0311.457,96420147,591145,404
2015-05-12$56.52$56.0013.4%4.2%11.5%23.1%14.4%3.9%0.2%-32.2M80.7M-1.0M1.1011.8312,62413,89454,552145,339
2015-05-13$56.59$56.0013.3%4.0%11.5%22.4%16.0%4.2%0.6%-28.7M51.1M-1.0M1.4012.459,90913,83860,490145,550
2015-05-14$57.13$56.0013.1%3.9%12.0%20.4%13.7%5.1%0.1%-2.8M-34.0M-1.0M0.5510.7922,32512,27763,584146,210
2015-05-15$57.11$56.0012.7%3.8%10.8%17.4%13.3%3.9%0.7%15.9M-91.5M-1.1M1.517.3213,32420,07280,034147,300
2015-05-18$57.21$56.0012.8%3.7%9.9%18.8%13.3%4.8%0.7%8.8M-54.1M-1.1M0.5619.281,20967176,658123,852
2015-05-19$57.22$56.0012.8%3.7%9.9%18.5%13.2%3.4%-0.4%1.1M-68.7M-1.1M1.0415.0965467977,637124,129
2015-05-20$56.88$56.0012.8%3.7%10.1%18.5%12.9%4.4%-0.2%-1.8M-25.4M-1.1M1.6717.5412,11020,20378,315124,536
2015-05-21$57.17$57.0012.7%3.6%10.2%17.6%13.1%3.5%0.9%2.0M-55.8M-1.1M2.7311.895,08313,88882,392131,850
2015-05-22$56.93$57.0011.9%3.4%10.2%11.9%13.4%3.4%-0.2%-31.0M-34.8M-1.1M5.3710.593,45918,58486,217132,233
2015-05-26$56.29$57.0013.5%4.0%11.0%23.7%15.9%5.6%-0.5%-12.5M66.6M-1.1M10.7710.413,19334,38481,164133,991
2015-05-27$56.67$57.0013.5%3.7%11.3%23.5%16.2%4.1%-0.6%-8.9M24.4M-1.1M8.529.223,29428,07482,206131,322
2015-05-28$56.39$57.0013.1%3.7%11.3%21.0%16.3%3.3%-0.5%-7.0M48.5M-1.0M3.859.903,06611,81483,251130,420
2015-05-29$55.91$57.0013.3%4.0%11.3%22.1%16.3%4.4%-0.1%-16.7M111.1M-1.0M6.4712.504,30627,86583,742132,172