XLI Options History — February 2008

In February 2008, XLI traded between $36.17 and $37.85. ATM implied volatility averaged 23.0%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.5% (HV 20d: 21.4%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 8.64.

Notable Days

2008-02-01: Highest Volume — 10,375 contracts
2008-02-05: Largest IV spike — 24.3% change
2008-02-05: Highest IV Rank — 100.0%
2008-02-06: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.98	$36.17	$37.85	$37.85	$36.25
Max Pain	$37.95	$37.00	$38.00	$37.00	$38.00
ATM IV	23.0%	19.0%	30.3%	20.2%	23.8%
Expected Move	6.5%	5.4%	7.8%	5.8%	6.8%
HV 20d	21.4%	17.9%	25.4%	24.9%	20.6%
HV 60d	21.5%	20.3%	22.5%	22.5%	21.0%
IV Rank	65.5%	46.8%	100.0%	54.2%	69.1%
IV Percentile	78.1%	53.6%	100.0%	68.7%	84.5%
Term Structure	0.9%	-1.4%	3.4%	2.7%	0.3%
VWIV	22.1%	14.4%	27.1%	20.1%	23.2%
Skew 25d	6.6%	4.4%	9.2%	5.5%	4.4%
Skew 10d	12.2%	3.2%	20.9%	3.2%	10.2%
Call IV 25d	19.3%	12.3%	22.6%	20.0%	21.6%
Put IV 25d	25.9%	20.0%	29.9%	25.5%	26.0%
Bid-Ask Spread %	29.59	18.57	47.52	31.03	30.37
Gamma HHI	0.32	0.23	0.43	0.25	0.43
Net GEX	-3.0M	-5.2M	423.3K	-76.6K	-4.5M
Net DEX	56.6M	22.7M	98.1M	22.7M	65.8M
Net VEX	-1.0M	-1.1M	-960.8K	-1.0M	-977.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.64	0.12	43.03	0.49	14.26
Total Volume	1,413.7	48	10,375	10,375	519
Total OI	148,406.7	132,256	160,769	147,293	140,548

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-02-01	$37.85	$37.00	20.2%	5.8%	24.9%	54.2%	20.1%	5.5%	2.7%	-76.6K	22.7M	-1.0M	0.49	31.03	6,960	3,415	62,233	85,060
2008-02-04	$37.44	$38.00	24.4%	7.1%	24.1%	74.7%	23.1%	6.3%	0.0%	-883.9K	37.0M	-1.1M	0.31	25.95	416	127	65,278	88,362
2008-02-05	$36.49	$38.00	30.3%	7.6%	25.4%	100.0%	24.0%	6.3%	-1.4%	-3.2M	73.7M	-1.0M	8.52	37.29	58	494	65,398	88,480
2008-02-06	$36.43	$38.00	28.0%	7.8%	24.1%	88.8%	27.1%	7.2%	-0.8%	-3.9M	82.8M	-1.0M	2.53	25.79	532	1,345	65,417	88,716
2008-02-07	$36.44	$38.00	26.5%	7.3%	24.1%	81.9%	25.7%	6.8%	0.5%	-4.4M	86.4M	-1.0M	30.90	34.58	20	618	65,468	89,112
2008-02-08	$36.17	$38.00	24.3%	7.3%	23.6%	71.6%	24.0%	8.0%	0.9%	-5.1M	98.1M	-982.9K	0.89	36.41	814	722	65,488	89,631
2008-02-11	$36.53	$38.00	24.1%	6.6%	23.2%	70.6%	25.1%	6.4%	1.2%	-5.2M	85.7M	-986.1K	0.12	20.70	2,803	330	65,548	89,326
2008-02-12	$36.90	$38.00	24.3%	6.8%	23.0%	71.5%	23.7%	6.3%	-0.3%	-3.2M	68.1M	-999.5K	1.16	20.17	195	227	68,321	89,538
2008-02-13	$37.56	$38.00	19.4%	6.0%	22.4%	48.7%	23.9%	8.9%	2.8%	423.3K	29.0M	-1.0M	1.97	47.52	574	1,128	71,117	89,652
2008-02-14	$37.00	$38.00	23.0%	6.6%	22.7%	65.5%	25.3%	6.4%	0.7%	-2.3M	54.0M	-1.0M	2.37	28.76	181	429	69,288	90,436
2008-02-15	$36.77	$38.00	21.9%	6.3%	20.3%	60.4%	26.3%	7.9%	2.2%	383.6K	67.6M	-965.5K	29.33	18.57	48	1,408	69,330	90,439
2008-02-19	$36.95	$38.00	22.5%	6.5%	20.2%	63.2%	20.7%	7.3%	1.7%	-4.1M	67.4M	-960.8K	0.66	35.27	239	158	51,763	80,493
2008-02-20	$37.07	$38.00	22.0%	6.3%	20.2%	60.7%	21.9%	5.8%	0.8%	-3.5M	52.4M	-1.0M	0.33	20.32	1,128	371	58,859	80,541
2008-02-21	$36.78	$38.00	22.7%	6.5%	18.5%	63.9%	18.5%	7.1%	-0.2%	-3.8M	66.7M	-1.0M	2.56	35.60	48	123	59,719	80,719
2008-02-22	$37.15	$38.00	21.3%	6.1%	18.7%	57.3%	17.6%	6.8%	-0.9%	-4.4M	54.7M	-1.0M	2.76	33.78	112	309	59,767	80,788
2008-02-25	$37.44	$38.00	20.3%	5.8%	18.7%	52.7%	18.9%	9.2%	3.4%	-2.9M	31.0M	-1.0M	21.27	38.43	26	553	59,824	80,858
2008-02-26	$37.47	$38.00	19.8%	5.7%	18.1%	50.7%	20.0%	4.6%	2.3%	-2.7M	22.7M	-1.0M	6.92	29.62	60	415	59,850	81,080
2008-02-27	$37.54	$38.00	19.0%	5.4%	17.9%	46.8%	14.4%	5.3%	1.8%	-3.0M	30.2M	-1.0M	43.03	20.30	30	1,291	59,985	81,151
2008-02-28	$37.27	$38.00	21.4%	6.1%	18.1%	58.2%	19.2%	5.8%	0.3%	-3.3M	35.6M	-1.0M	2.43	21.36	14	34	59,897	80,654
2008-02-29	$36.25	$38.00	23.8%	6.8%	20.6%	69.1%	23.2%	4.4%	0.3%	-4.5M	65.8M	-977.6K	14.26	30.37	34	485	59,894	80,654