XLI Options History — January 2010

In January 2010, XLI traded between $27.38 and $29.57. ATM implied volatility averaged 18.3%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.9% (HV 20d: 15.4%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.61.

Notable Days

2010-01-07: Highest Volume — 35,286 contracts
2010-01-14: Largest IV spike — 33.9% change
2010-01-29: Highest IV Rank — 21.0%
2010-01-29: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.61	$27.38	$29.57	$28.32	$27.38
Max Pain	$28.68	$28.00	$29.00	$28.00	$29.00
ATM IV	18.3%	12.9%	23.2%	17.3%	23.2%
Expected Move	5.5%	4.6%	6.7%	5.5%	6.7%
HV 20d	15.4%	12.6%	18.8%	14.5%	18.8%
HV 60d	19.8%	18.0%	20.5%	20.3%	18.0%
IV Rank	9.1%	0.0%	21.0%	1.0%	21.0%
IV Percentile	7.4%	0.0%	21.8%	2.4%	21.8%
Term Structure	1.7%	0.9%	2.3%	1.9%	1.5%
VWIV	18.9%	16.1%	23.1%	18.8%	21.7%
Skew 25d	4.3%	3.1%	6.4%	4.6%	4.5%
Skew 10d	8.4%	6.4%	11.4%	9.6%	8.0%
Call IV 25d	17.3%	15.2%	20.7%	17.0%	20.7%
Put IV 25d	21.6%	18.4%	27.0%	21.6%	25.2%
Bid-Ask Spread %	6.39	4.78	9.47	6.75	7.90
Gamma HHI	0.29	0.17	0.64	0.25	0.17
Net GEX	6.6M	-2.9M	35.7M	5.2M	-2.9M
Net DEX	-140.4M	-300.7M	44.1M	-163.5M	44.1M
Net VEX	-1.8M	-2.2M	-1.4M	-1.4M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.23	5.62	0.86	0.96
Total Volume	15,127.368	2,741	35,286	8,345	2,741
Total OI	402,899.474	330,382	466,001	405,592	385,101

Daily Data (19 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
2010-01-04	$28.32	$28.00	17.3%	5.5%	14.5%	1.0%	18.8%	4.6%	1.9%	5.2M	-163.5M	-1.4M	0.86	6.75	4,477	3,868	183,106	222,486
2010-01-05	$28.42	$28.00	16.6%	5.4%	13.6%	0.0%	19.2%	4.3%	1.8%	6.3M	-175.1M	-1.4M	0.91	5.58	3,754	3,423	185,214	221,748
2010-01-06	$28.48	$28.00	16.2%	5.3%	13.5%	0.0%	17.5%	4.1%	1.9%	7.3M	-187.4M	-1.4M	1.28	5.80	4,706	6,033	187,295	222,390
2010-01-07	$28.79	$28.00	14.9%	4.8%	12.6%	0.0%	16.7%	3.8%	2.0%	9.8M	-221.7M	-1.4M	2.01	5.55	11,724	23,562	189,452	226,341
2010-01-08	$29.25	$28.00	14.3%	4.8%	13.5%	0.0%	16.1%	3.2%	2.0%	11.7M	-257.0M	-1.6M	0.23	4.79	12,226	2,771	189,557	242,736
2010-01-11	$29.57	$28.00	16.7%	4.6%	13.8%	5.1%	16.6%	3.1%	2.2%	14.0M	-300.7M	-1.6M	0.82	5.55	10,557	8,639	195,232	243,458
2010-01-12	$29.33	$29.00	15.9%	5.1%	14.0%	3.4%	18.1%	3.3%	2.1%	14.0M	-265.1M	-1.6M	4.21	9.47	2,038	8,588	199,193	250,876
2010-01-13	$29.45	$29.00	12.9%	5.1%	13.4%	0.0%	18.4%	4.1%	2.1%	13.8M	-281.4M	-1.7M	5.62	6.98	2,075	11,662	204,081	255,714
2010-01-14	$29.45	$29.00	17.3%	5.0%	13.3%	8.9%	17.0%	3.3%	2.3%	12.5M	-269.3M	-1.7M	2.08	7.53	2,206	4,583	200,011	264,616
2010-01-15	$29.07	$29.00	17.1%	4.9%	14.2%	8.6%	18.8%	4.0%	2.2%	35.7M	-229.9M	-1.7M	1.19	5.31	15,312	18,249	198,709	267,292
2010-01-19	$29.39	$29.00	17.2%	4.9%	13.8%	8.8%	16.1%	3.4%	2.2%	3.2M	-151.5M	-1.9M	0.47	4.78	15,617	7,305	155,209	175,173
2010-01-20	$28.94	$29.00	17.7%	5.1%	14.9%	9.8%	17.9%	3.5%	2.0%	2.8M	-121.4M	-2.0M	1.16	5.81	10,236	11,842	164,713	180,476
2010-01-21	$28.27	$29.00	20.7%	5.9%	17.2%	15.9%	19.1%	5.1%	0.9%	518.9K	-60.3M	-2.1M	2.13	7.54	8,653	18,468	166,749	183,832
2010-01-22	$27.84	$29.00	22.8%	6.5%	18.1%	20.2%	23.1%	6.4%	0.9%	-1.2M	-10.0M	-2.1M	2.44	8.94	5,666	13,844	168,000	196,543
2010-01-25	$28.02	$29.00	22.1%	6.3%	18.2%	18.7%	21.7%	5.8%	1.2%	-1.6M	-16.0M	-2.2M	0.27	5.89	9,492	2,528	171,235	205,802
2010-01-26	$27.90	$29.00	21.9%	6.3%	18.2%	18.4%	20.0%	4.9%	1.1%	-1.4M	-10.8M	-2.2M	0.99	5.60	4,631	4,590	176,151	208,408
2010-01-27	$27.98	$29.00	21.3%	6.1%	18.2%	17.1%	22.1%	4.9%	1.3%	-1.3M	-12.3M	-2.1M	1.52	5.23	3,362	5,114	173,110	208,893
2010-01-28	$27.66	$29.00	21.0%	6.0%	18.6%	16.5%	21.2%	4.9%	1.5%	-2.3M	21.8M	-2.1M	1.46	6.32	1,171	1,707	175,554	210,634
2010-01-29	$27.38	$29.00	23.2%	6.7%	18.8%	21.0%	21.7%	4.5%	1.5%	-2.9M	44.1M	-2.1M	0.96	7.90	1,397	1,344	174,711	210,390