XLI Options History — July 2015

In July 2015, XLI traded between $52.61 and $54.97. ATM implied volatility averaged 14.2%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.7% (HV 20d: 12.5%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 6.54.

Notable Days

  • 2015-07-23: Highest Volume — 315,734 contracts
  • 2015-07-13: Largest IV drop — 19.3% change
  • 2015-07-08: Highest IV Rank — 53.2%
  • 2015-07-02: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.18$52.61$54.97$54.31$54.22
Max Pain$54.34$54.00$56.00$56.00$54.00
ATM IV14.2%11.9%17.7%16.6%12.7%
Expected Move4.1%3.3%5.2%5.1%3.6%
HV 20d12.5%10.8%14.4%11.5%14.4%
HV 60d11.3%10.8%12.1%11.1%11.8%
IV Rank26.6%8.9%53.2%44.4%14.8%
IV Percentile48.0%9.5%89.7%84.9%21.8%
Term Structure-0.1%-1.3%0.9%-0.7%-1.0%
VWIV16.3%12.8%20.6%18.6%12.8%
Skew 25d4.7%3.5%6.8%3.7%3.8%
Skew 10d9.3%6.9%12.9%10.3%6.9%
Call IV 25d12.4%10.1%15.5%14.4%10.5%
Put IV 25d17.1%13.9%21.2%18.1%14.3%
Bid-Ask Spread %15.427.8723.7117.3116.87
Gamma HHI0.310.160.680.350.33
Net GEX-80.1M-172.0M-41.0M-65.0M-121.3M
Net DEX440.9M85.4M1.53B281.1M541.5M
Net VEX-2.1M-4.4M-1.2M-1.2M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.541.0447.836.867.62
Total Volume53,052.04512,024315,73448,20646,073
Total OI288,295.818167,928597,474167,928441,766

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$54.31$56.0016.6%5.1%11.5%44.4%18.6%3.7%-0.7%-65.0M281.1M-1.2M6.8617.316,13142,07535,988131,940
2015-07-02$54.32$55.5016.6%5.2%10.8%44.9%17.8%5.2%-0.6%-41.0M355.7M-1.3M2.5614.7315,16338,78637,448154,229
2015-07-06$53.98$55.0016.7%4.8%10.8%45.2%17.2%5.4%-0.1%-51.8M312.6M-1.3M3.3412.6911,64838,91946,344141,079
2015-07-07$54.43$55.0015.5%4.8%11.2%36.2%18.1%5.1%0.1%-49.5M250.2M-1.3M3.5919.5617,05861,16546,676143,083
2015-07-08$53.55$54.0017.7%5.0%12.4%53.2%20.2%5.9%0.1%-42.7M344.0M-1.4M2.9523.719,83628,99755,399151,874
2015-07-09$53.76$54.0016.8%4.8%11.8%46.3%18.4%5.8%-0.5%-43.2M306.8M-1.4M2.1522.7514,41330,92955,572147,964
2015-07-10$54.24$54.0016.2%4.6%12.3%41.8%20.6%6.8%0.0%-58.4M252.8M-1.5M6.3715.335,88437,45759,836161,704
2015-07-13$54.77$54.0013.1%3.9%12.9%17.8%16.6%3.7%0.5%-66.4M180.1M-1.4M3.0215.916,81120,53555,023166,507
2015-07-14$54.91$54.0013.0%3.7%12.7%17.5%18.6%5.2%-0.7%-67.5M137.4M-1.4M3.0513.524,46913,64260,028169,943
2015-07-15$54.70$54.0013.8%3.7%12.8%23.0%16.3%4.9%-1.3%-81.6M172.1M-1.4M4.3414.314,32818,79661,233171,278
2015-07-16$54.97$54.0012.0%3.5%12.9%9.9%14.5%3.9%0.8%-65.5M85.4M-1.4M12.0917.865,46066,01664,373171,755
2015-07-17$54.92$54.0012.0%3.4%12.2%9.5%14.5%4.0%0.5%-150.9M237.5M-1.8M6.4917.176,07739,46865,399224,276
2015-07-20$54.95$54.0011.9%3.5%12.0%8.9%12.8%3.9%0.1%-43.6M275.6M-2.1M2.4913.264,98912,44147,866182,059
2015-07-21$54.39$55.0012.6%3.6%12.3%14.2%13.3%4.6%-0.0%-48.8M361.4M-2.1M1.0413.865,8816,14348,964188,308
2015-07-22$54.06$54.0012.7%3.6%12.4%14.7%13.0%4.5%-0.1%-56.8M414.6M-2.0M4.5716.314,99222,80049,400189,266
2015-07-23$53.56$54.5014.1%4.1%12.4%25.9%15.3%4.9%-0.2%-65.1M511.3M-2.2M47.8316.516,466309,26849,593207,907
2015-07-24$52.92$54.5015.2%4.4%12.8%34.3%16.1%4.7%-0.7%-172.0M1.53B-4.4M2.5712.407,86120,22750,929546,545
2015-07-27$52.61$54.0016.0%4.6%12.8%40.2%15.7%4.8%0.0%-158.7M1.36B-3.8M5.3310.808,09843,19750,687476,084
2015-07-28$53.65$54.0013.6%4.0%13.6%21.4%16.6%3.5%0.9%-106.9M726.2M-3.1M2.669.678,82323,49552,083349,042
2015-07-29$54.34$54.0012.1%3.4%14.4%10.1%14.7%5.1%0.8%-100.8M520.8M-2.9M6.1416.876,90742,42656,744350,021
2015-07-30$54.30$54.0012.1%3.3%14.4%10.5%16.6%3.8%0.6%-104.7M541.3M-3.0M6.807.875,51437,48157,658368,635
2015-07-31$54.22$54.0012.7%3.6%14.4%14.8%12.8%3.8%-1.0%-121.3M541.5M-3.0M7.6216.875,34840,72557,967383,799