XLI Options History — June 2015

In June 2015, XLI traded between $54.11 and $56.46. ATM implied volatility averaged 13.3%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.0% (HV 20d: 10.3%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.43.

Notable Days

  • 2015-06-29: Highest Volume — 75,877 contracts
  • 2015-06-29: Largest IV spike — 23.3% change
  • 2015-06-29: Highest IV Rank — 50.4%
  • 2015-06-29: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.64$54.11$56.46$56.05$54.22
Max Pain$56.14$56.00$57.00$57.00$56.00
ATM IV13.3%11.8%17.3%13.7%16.8%
Expected Move3.9%3.3%5.3%4.0%5.0%
HV 20d10.3%9.3%11.7%10.3%11.7%
HV 60d11.4%10.6%12.3%12.3%11.1%
IV Rank21.8%10.8%50.4%24.9%46.1%
IV Percentile39.4%9.1%89.3%52.8%85.7%
Term Structure0.4%-0.6%2.3%0.0%-0.1%
VWIV14.8%12.1%17.6%14.7%17.6%
Skew 25d3.8%1.2%5.4%4.6%3.9%
Skew 10d8.1%4.0%13.5%8.9%13.5%
Call IV 25d12.3%10.0%16.0%12.2%15.8%
Put IV 25d16.1%12.8%21.4%16.8%19.6%
Bid-Ask Spread %15.657.9123.309.7416.65
Gamma HHI0.320.180.610.220.26
Net GEX-44.8M-135.0M-8.2M-17.3M-44.8M
Net DEX145.6M22.9M275.8M81.8M266.3M
Net VEX-1.0M-1.2M-778.8K-978.4K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.431.1014.372.426.46
Total Volume32,191.2276,11475,87717,88941,122
Total OI220,040.318101,764282,907217,172159,747

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$56.05$57.0013.7%4.0%10.3%24.9%14.7%4.6%0.0%-17.3M81.8M-978.4K2.429.745,22512,66482,926134,246
2015-06-02$56.17$57.0013.4%4.1%10.3%23.0%13.7%4.9%-0.3%-17.8M69.6M-1.0M1.2511.322,7153,39984,245137,484
2015-06-03$56.46$57.0013.1%3.8%9.3%20.5%12.1%3.7%0.3%-9.7M22.9M-1.0M1.107.918,8259,74584,858140,050
2015-06-04$55.76$56.0012.5%3.9%10.4%16.5%16.4%3.2%-0.2%-26.4M119.7M-969.1K6.1811.818,23650,89089,746140,145
2015-06-05$55.87$56.0013.5%3.8%10.1%23.4%14.6%3.4%-0.6%-65.2M171.5M-1.1M6.4610.964,15426,81690,636171,966
2015-06-08$55.47$56.0014.2%4.3%9.5%28.6%15.0%3.8%1.3%-54.5M227.1M-1.1M4.0712.103,90715,91189,665173,260
2015-06-09$55.46$56.0013.6%4.2%9.5%24.0%14.7%3.8%1.0%-62.5M236.7M-1.0M5.4913.515,28028,99290,783175,022
2015-06-10$56.02$56.0013.1%3.7%10.2%20.9%14.1%3.6%-0.4%-59.6M129.6M-1.0M3.3615.677,22724,25491,598184,426
2015-06-11$56.22$56.0011.8%3.7%10.3%10.8%14.2%2.8%1.2%-63.5M82.9M-980.5K3.3912.106,04720,50392,071190,836
2015-06-12$55.99$56.0012.4%3.7%9.7%15.8%15.0%4.3%0.9%-81.6M128.8M-946.8K3.9914.147,24528,88893,797186,890
2015-06-15$55.53$56.0013.4%3.8%10.0%22.5%15.8%3.8%0.7%-82.8M245.9M-937.7K2.7113.325,29014,32290,280184,145
2015-06-16$55.54$56.0013.3%3.8%10.0%22.1%15.1%3.7%0.1%-100.5M229.4M-873.2K2.8613.144,98714,26491,716184,340
2015-06-17$55.69$56.0012.5%3.6%10.1%15.9%14.9%3.6%1.6%-135.0M173.1M-781.1K3.5622.084,66816,62892,225186,500
2015-06-18$56.27$56.0012.4%3.5%10.7%15.7%14.6%4.2%0.6%-23.4M62.1M-778.8K4.8221.804,80523,13792,204186,400
2015-06-19$55.85$56.0012.5%3.5%10.8%16.2%14.3%4.5%0.3%-8.2M180.4M-913.0K5.3623.305,83331,25488,809192,549
2015-06-22$56.07$56.0012.2%3.4%10.9%13.9%13.8%3.9%-0.1%-12.4M50.6M-934.3K2.7817.999,72327,07224,84676,918
2015-06-23$55.93$56.0011.8%3.3%10.2%10.9%14.2%4.7%0.7%-14.2M58.2M-1.1M2.5521.909,59024,44131,61284,427
2015-06-24$55.44$56.0012.2%3.5%10.2%10.8%13.3%1.2%2.3%-16.2M84.1M-1.1M2.4719.2911,57828,62231,85484,399
2015-06-25$54.99$56.0013.5%3.9%10.5%20.7%14.7%3.0%0.1%-22.3M141.8M-1.2M5.1617.655,83430,07434,20297,170
2015-06-26$55.07$56.0014.1%4.2%10.1%25.3%15.9%4.6%-0.3%-27.9M165.7M-1.2M6.6716.464,97433,18935,029110,715
2015-06-29$54.11$56.0017.3%5.3%11.7%50.4%17.3%5.4%0.1%-39.3M275.8M-1.2M14.3721.414,93770,94034,317121,833
2015-06-30$54.22$56.0016.8%5.0%11.7%46.1%17.6%3.9%-0.1%-44.8M266.3M-1.2M6.4616.655,51135,61135,651124,096