XLI Options History — October 2015

In October 2015, XLI traded between $49.46 and $54.63. ATM implied volatility averaged 16.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 4.3% (HV 20d: 21.1%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 4.53.

Notable Days

  • 2015-10-09: Highest Volume — 174,434 contracts
  • 2015-10-05: Largest IV drop — 15.2% change
  • 2015-10-02: Highest IV Rank — 52.3%
  • 2015-10-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.97$49.46$54.63$49.46$54.38
Max Pain$52.27$50.00$54.00$51.00$54.00
ATM IV16.8%14.7%22.9%22.3%14.7%
Expected Move4.8%4.3%6.7%6.7%4.5%
HV 20d21.1%18.1%23.5%21.1%18.1%
HV 60d21.2%19.8%21.6%19.8%21.6%
IV Rank24.5%14.7%52.3%49.5%14.7%
IV Percentile69.4%52.0%94.8%94.4%52.0%
Term Structure-0.1%-1.1%1.5%-1.0%0.5%
VWIV19.4%16.1%23.8%23.8%18.4%
Skew 25d4.4%2.1%7.1%7.1%4.3%
Skew 10d9.6%7.6%13.4%8.1%10.1%
Call IV 25d14.6%12.9%19.5%19.5%12.9%
Put IV 25d19.0%16.3%26.6%26.6%17.2%
Bid-Ask Spread %16.7811.3127.9915.8511.33
Gamma HHI0.210.120.670.240.13
Net GEX-11.2M-39.4M117.3M-25.7M-39.4M
Net DEX110.1M-85.7M344.3M344.3M93.3M
Net VEX-1.5M-1.7M-1.2M-1.2M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.530.2614.491.532.99
Total Volume42,883.68210,332174,43434,31031,999
Total OI312,288.909207,484467,190207,484340,022

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$49.46$51.0022.3%6.7%21.1%49.5%23.8%7.1%-1.0%-25.7M344.3M-1.2M1.5315.8513,57320,73761,296146,188
2015-10-02$50.29$51.0022.9%5.7%20.8%52.3%22.0%4.5%0.4%-27.6M295.6M-1.4M1.9018.077,85214,90267,614156,571
2015-10-05$51.86$50.0019.4%5.7%23.5%36.5%21.3%2.8%-0.2%-20.3M145.6M-1.4M9.3927.679949,33868,155156,600
2015-10-06$51.82$50.0018.0%5.1%23.1%29.7%20.9%4.6%0.0%-19.9M141.0M-1.4M3.0717.546,10318,74768,742163,552
2015-10-07$52.39$50.0017.2%5.2%22.4%26.3%18.6%4.5%0.3%-15.6M98.9M-1.4M8.1416.553,57929,14070,432164,204
2015-10-08$53.21$50.0016.6%4.9%22.7%23.6%20.4%2.1%-0.9%-9.0M27.1M-1.4M14.4916.164,40863,87871,309167,866
2015-10-09$53.37$51.0016.4%5.0%22.7%22.5%20.3%4.5%0.1%-13.4M46.5M-1.5M0.2615.74138,49335,94172,962200,814
2015-10-12$53.37$51.0015.7%4.7%22.7%19.4%19.2%4.6%1.5%117.3M-85.7M-1.7M3.1313.5214,41645,075201,685206,296
2015-10-13$52.84$52.0016.7%4.8%23.0%23.8%21.5%5.4%-0.3%46.2M54.4M-1.7M5.0311.318,62043,351207,444224,236
2015-10-14$52.23$53.0019.2%5.2%22.6%35.1%20.1%5.2%-1.1%-12.7M181.2M-1.7M4.5615.748,82140,210207,107232,855
2015-10-15$52.82$53.0016.4%4.5%22.8%22.4%19.8%3.2%-0.5%-20.2M141.3M-1.6M3.8312.6610,64340,752207,268241,536
2015-10-16$52.55$53.0015.6%4.5%22.7%18.8%16.1%5.3%0.1%-30.4M176.5M-1.7M3.2314.117,71324,902210,042257,148
2015-10-19$52.56$53.0015.4%4.4%20.5%18.1%16.7%4.5%-0.6%-33.4M204.2M-1.6M4.0514.106,24925,32175,272204,060
2015-10-20$52.92$53.0015.4%4.4%20.5%18.0%17.6%4.3%-0.0%-28.1M166.6M-1.6M4.5720.945,21423,84876,604208,937
2015-10-21$52.92$53.0016.1%4.6%18.8%21.4%18.3%5.5%-0.6%-25.3M161.6M-1.7M5.6219.665,52731,04777,137211,464
2015-10-22$54.45$53.0015.5%4.5%20.4%18.7%17.8%4.1%-0.0%-8.7M12.8M-1.6M4.9327.997,18435,39778,335223,350
2015-10-23$54.63$53.5014.9%4.3%20.4%15.7%19.3%4.1%-0.5%-2.4M-22.3M-1.6M1.6815.9411,13018,72080,351229,231
2015-10-26$54.57$53.5015.2%4.4%18.7%17.1%19.1%4.7%-0.1%-9.6M16.9M-1.6M4.6015.504,81622,15376,200221,025
2015-10-27$53.95$54.0015.5%4.7%19.6%18.5%20.2%5.1%0.4%-24.4M101.4M-1.6M3.4913.584,70116,38576,554230,568
2015-10-28$54.37$54.0015.7%4.5%19.2%19.6%17.3%2.4%-0.1%-20.0M48.0M-1.5M4.3021.577,23931,09576,640231,300
2015-10-29$54.33$54.0015.1%4.5%18.6%16.9%18.2%4.5%0.2%-23.7M73.5M-1.6M4.9013.687,32635,90280,041241,343
2015-10-30$54.38$54.0014.7%4.5%18.1%14.7%18.4%4.3%0.5%-39.4M93.3M-1.6M2.9911.338,01323,98680,107259,915