XLI Options History — October 2008

In October 2008, XLI traded between $21.24 and $30.07. ATM implied volatility averaged 65.2%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 7.8% (HV 20d: 57.4%). Max pain ranged from $25.00 to $33.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.52.

Notable Days

2008-10-16: Highest Volume — 21,476 contracts
2008-10-13: Largest IV drop — 38.5% change
2008-10-01: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.88	$21.24	$30.07	$30.07	$25.18
Max Pain	$28.09	$25.00	$33.00	$33.00	$25.00
ATM IV	65.2%	45.9%	102.5%	53.1%	52.7%
Expected Move	17.2%	13.2%	21.4%	15.2%	15.1%
HV 20d	57.4%	34.0%	80.4%	34.0%	80.4%
HV 60d	42.0%	30.3%	52.5%	30.3%	52.5%
IV Rank	70.1%	36.2%	100.0%	100.0%	43.9%
IV Percentile	97.6%	92.1%	100.0%	100.0%	92.1%
Term Structure	-7.6%	-40.1%	2.0%	-9.3%	-0.8%
VWIV	56.1%	41.5%	69.9%	52.8%	52.5%
Skew 25d	14.9%	-3.4%	29.1%	15.3%	17.9%
Skew 10d	22.2%	-37.1%	54.9%	19.2%	40.6%
Call IV 25d	49.3%	32.2%	60.5%	40.9%	45.2%
Put IV 25d	64.2%	46.9%	89.2%	56.2%	63.1%
Bid-Ask Spread %	56.30	24.19	131.78	64.60	35.52
Gamma HHI	0.20	0.12	0.31	0.18	0.13
Net GEX	-1.8M	-7.0M	1.1M	-4.9M	1.1M
Net DEX	214.1M	87.5M	346.9M	175.8M	87.5M
Net VEX	-599.4K	-946.3K	-356.3K	-946.3K	-596.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.37	8.65	0.89	0.58
Total Volume	7,294.696	676	21,476	3,210	762
Total OI	293,354.261	244,409	369,397	284,081	261,707

Daily Data (23 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
2008-10-01	$30.07	$33.00	53.1%	15.2%	34.0%	100.0%	52.8%	15.3%	-9.3%	-4.9M	175.8M	-946.3K	0.89	64.60	1,697	1,513	126,328	157,753
2008-10-02	$28.27	$33.00	57.4%	16.4%	38.0%	100.0%	54.5%	5.6%	-10.7%	-5.4M	234.2M	-796.9K	7.97	103.36	1,872	14,924	127,732	158,250
2008-10-03	$27.82	$33.00	53.4%	15.3%	37.9%	91.2%	52.9%	12.6%	-8.2%	-7.0M	277.3M	-748.8K	8.65	32.34	600	5,189	129,063	168,089
2008-10-06	$27.09	$31.00	67.6%	14.7%	37.1%	100.0%	50.5%	10.9%	-5.6%	-6.3M	298.7M	-637.6K	0.78	39.65	5,415	4,240	129,252	166,444
2008-10-07	$26.19	$30.00	63.2%	21.0%	37.4%	91.9%	41.5%	5.3%	-40.1%	-5.5M	324.5M	-581.4K	0.58	89.66	11,417	6,678	133,085	169,498
2008-10-08	$25.79	$30.00	75.1%	16.6%	36.9%	100.0%	60.0%	12.9%	-6.6%	-4.7M	298.1M	-649.8K	0.72	77.68	4,614	3,345	138,874	171,925
2008-10-09	$24.32	$29.00	84.4%	18.9%	37.7%	100.0%	61.1%	9.4%	-8.3%	-2.7M	307.8M	-661.8K	0.37	92.60	1,855	683	162,261	173,853
2008-10-10	$23.54	$29.00	102.5%	21.0%	37.7%	100.0%	61.4%	-3.4%	-14.3%	-1.8M	285.6M	-574.7K	1.34	116.13	4,718	6,343	163,635	171,829
2008-10-13	$26.06	$29.00	63.1%	16.9%	56.0%	55.6%	53.8%	9.6%	-8.9%	-4.6M	276.9M	-832.7K	0.89	131.78	4,093	3,632	167,425	175,723
2008-10-14	$26.05	$29.00	74.4%	15.2%	55.9%	68.4%	54.4%	13.4%	-3.0%	-5.0M	308.0M	-724.0K	1.14	44.65	3,832	4,374	168,955	177,899
2008-10-15	$23.60	$28.00	82.8%	17.2%	63.6%	77.8%	58.1%	13.9%	-4.8%	-242.5K	346.9M	-509.6K	1.00	29.55	2,043	2,051	171,369	180,233
2008-10-16	$24.08	$28.00	62.7%	18.0%	63.5%	55.2%	64.0%	17.2%	-6.1%	19.1K	339.5M	-536.1K	0.87	35.04	11,481	9,995	172,837	179,856
2008-10-17	$23.56	$27.00	61.0%	17.5%	62.0%	53.2%	57.4%	18.3%	-5.7%	314.2K	330.6M	-556.5K	0.76	43.96	2,824	2,159	182,386	187,011
2008-10-20	$24.73	$27.00	45.9%	13.2%	66.1%	36.2%	46.1%	22.2%	2.0%	826.9K	100.8M	-558.8K	0.72	63.25	2,281	1,638	156,787	87,622
2008-10-21	$24.51	$26.00	46.2%	13.2%	66.0%	36.5%	49.0%	13.4%	-0.6%	809.1K	111.3M	-525.8K	1.14	41.35	2,629	2,997	158,784	88,051
2008-10-22	$23.38	$26.00	59.3%	17.0%	67.0%	51.3%	57.6%	16.8%	-3.9%	552.2K	120.7M	-508.3K	1.88	54.78	4,202	7,888	161,065	90,621
2008-10-23	$23.44	$26.00	60.1%	17.2%	66.8%	52.2%	55.4%	17.7%	-4.9%	463.8K	122.9M	-504.8K	0.79	37.05	378	298	162,236	93,598
2008-10-24	$22.09	$26.00	71.7%	20.6%	68.4%	65.3%	63.4%	22.0%	-8.9%	242.9K	132.7M	-416.0K	0.56	42.80	1,722	968	159,896	91,286
2008-10-27	$21.24	$26.00	74.6%	21.4%	68.6%	68.6%	69.9%	29.1%	-8.5%	125.0K	134.1M	-356.3K	1.63	29.02	1,860	3,036	160,944	90,458
2008-10-28	$23.42	$25.00	65.5%	18.8%	79.6%	58.3%	63.1%	22.7%	-8.8%	582.2K	111.1M	-487.0K	0.48	29.45	3,594	1,714	162,599	91,553
2008-10-29	$23.52	$25.00	61.4%	17.6%	79.7%	53.7%	57.2%	22.6%	-3.8%	682.8K	105.5M	-501.5K	0.70	36.42	3,718	2,593	165,280	92,891
2008-10-30	$24.37	$25.00	60.8%	17.4%	79.2%	53.0%	53.7%	17.9%	-5.5%	858.0K	93.0M	-575.8K	0.47	24.19	2,658	1,255	165,512	94,693
2008-10-31	$25.18	$25.00	52.7%	15.1%	80.4%	43.9%	52.5%	17.9%	-0.8%	1.1M	87.5M	-596.8K	0.58	35.52	481	281	166,866	94,841