XLI Options History — August 2015

In August 2015, XLI traded between $49.42 and $54.69. ATM implied volatility averaged 18.4%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.3% (HV 20d: 16.1%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 7.61.

Notable Days

  • 2015-08-20: Highest Volume — 204,497 contracts
  • 2015-08-24: Largest IV spike — 35.7% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.02$49.42$54.69$53.95$51.40
Max Pain$54.86$54.00$55.00$54.00$55.00
ATM IV18.4%12.7%33.4%13.0%23.1%
Expected Move5.4%3.6%10.0%3.6%7.0%
HV 20d16.1%12.7%21.9%14.3%21.9%
HV 60d13.2%11.5%16.3%11.8%16.2%
IV Rank43.8%15.1%100.0%17.2%54.4%
IV Percentile68.7%23.0%100.0%26.6%97.2%
Term Structure-0.1%-2.6%3.6%-0.9%0.5%
VWIV21.2%14.1%34.7%14.4%29.2%
Skew 25d6.4%3.5%12.4%4.1%9.7%
Skew 10d11.7%6.4%22.1%6.4%14.2%
Call IV 25d15.9%10.0%29.1%10.9%19.3%
Put IV 25d22.3%14.4%41.4%15.0%29.0%
Bid-Ask Spread %18.716.7440.3212.1131.55
Gamma HHI0.240.130.290.290.21
Net GEX-134.0M-205.9M-66.6M-140.1M-82.7M
Net DEX977.2M441.7M1.80B673.3M1.29B
Net VEX-2.7M-3.1M-1.8M-3.0M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.611.5355.8617.212.39
Total Volume62,185.8113,642204,49713,64235,419
Total OI513,321.095448,305622,025448,305451,551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$53.95$54.0013.0%3.6%14.3%17.2%14.4%4.1%-0.9%-140.1M673.3M-3.0M17.2112.1174912,89353,311394,994
2015-08-04$53.86$54.0012.7%3.6%14.0%15.1%16.1%4.1%-0.6%-149.5M711.9M-3.1M3.538.226,00221,15953,901404,612
2015-08-05$54.21$54.0013.3%3.7%12.9%19.6%14.5%3.6%-1.0%-141.3M598.1M-3.0M1.587.4411,41818,03555,030408,225
2015-08-06$54.01$55.0014.2%4.3%12.9%26.2%16.3%4.3%-0.5%-135.8M664.9M-3.1M1.7511.8414,47025,31761,710408,319
2015-08-07$53.70$55.0014.5%4.2%12.7%29.0%17.0%4.5%-0.5%-145.0M766.2M-3.1M3.229.5612,03938,72462,032408,403
2015-08-10$54.69$55.0012.8%3.8%13.9%15.8%15.2%3.5%0.1%-130.4M441.7M-2.7M8.1910.6811,22091,83761,112415,113
2015-08-11$54.08$55.0014.3%4.5%14.4%26.8%17.9%4.9%1.4%-154.7M677.8M-3.0M55.869.4768438,20863,604424,418
2015-08-12$54.07$55.0014.7%4.6%14.3%30.3%17.2%5.2%1.0%-165.0M730.8M-3.0M3.8811.7210,16139,44663,789447,063
2015-08-13$54.07$55.0014.4%4.5%14.2%28.0%19.2%6.5%1.0%-172.7M730.0M-3.0M2.446.748,94821,86164,565449,905
2015-08-14$54.36$55.0014.3%4.5%14.4%27.5%16.0%7.6%3.6%-153.9M622.9M-2.9M3.5516.368,35829,63365,310452,517
2015-08-17$54.62$55.0013.7%4.0%14.5%22.9%14.1%4.3%1.4%-147.5M515.1M-2.7M1.5316.6612,15818,59779,501444,470
2015-08-18$54.55$55.0014.4%4.2%14.0%28.3%16.1%4.9%0.5%-150.5M499.1M-2.7M7.4617.908,90566,40583,568439,738
2015-08-19$53.98$55.0016.7%4.8%14.4%45.6%18.5%6.0%-1.0%-205.9M766.0M-2.8M6.5817.615,51136,25083,974464,795
2015-08-20$52.98$55.0019.8%5.7%15.5%68.9%22.8%5.9%-1.1%-198.3M1.20B-2.8M11.7819.8016,007188,49087,853474,541
2015-08-21$51.55$55.0024.6%7.2%17.8%100.0%25.3%7.0%-2.5%-108.2M1.69B-3.1M4.7415.7315,89675,27492,463529,562
2015-08-24$50.17$55.0033.4%10.0%20.0%100.0%34.7%12.4%-2.6%-76.7M1.63B-2.7M5.9440.3213,90782,67374,125478,080
2015-08-25$49.42$55.0029.7%8.9%18.7%83.3%34.7%8.5%-1.3%-66.6M1.80B-2.4M6.1339.5719,140117,41478,687501,187
2015-08-26$50.43$55.0026.3%7.7%19.7%68.7%29.5%9.8%-0.5%-82.3M1.59B-1.8M7.0533.9611,54781,39087,448442,000
2015-08-27$51.58$55.0023.6%6.7%21.8%56.7%27.2%9.7%0.1%-109.0M1.46B-1.9M3.1428.4811,12934,92888,742446,324
2015-08-28$51.69$55.0023.2%6.9%21.9%54.9%28.4%7.8%-0.0%-97.2M1.46B-2.0M1.8027.1312,03821,66289,417443,784
2015-08-31$51.40$55.0023.1%7.0%21.9%54.4%29.2%9.7%0.5%-82.7M1.29B-1.8M2.3931.5510,44324,97678,529373,022