XLI Options History — February 2010

In February 2010, XLI traded between $26.90 and $28.88. ATM implied volatility averaged 21.6%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.2% (HV 20d: 21.4%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.88.

Notable Days

2010-02-19: Highest Volume — 40,709 contracts
2010-02-04: Largest IV spike — 29.0% change
2010-02-08: Highest IV Rank — 26.8%
2010-02-08: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.10	$26.90	$28.88	$27.79	$28.84
Max Pain	$27.74	$27.00	$29.00	$29.00	$28.00
ATM IV	21.6%	17.6%	26.1%	20.8%	17.6%
Expected Move	6.3%	5.1%	7.8%	6.0%	5.1%
HV 20d	21.4%	19.2%	23.7%	19.2%	21.0%
HV 60d	18.2%	17.7%	18.7%	17.9%	17.8%
IV Rank	17.8%	9.7%	26.8%	16.0%	9.7%
IV Percentile	18.8%	6.7%	40.1%	12.7%	6.7%
Term Structure	0.9%	-0.8%	2.6%	1.5%	1.1%
VWIV	23.2%	17.7%	30.1%	22.3%	17.7%
Skew 25d	5.5%	3.7%	7.5%	4.1%	4.6%
Skew 10d	11.1%	6.7%	14.1%	8.0%	9.7%
Call IV 25d	19.7%	16.1%	24.0%	19.6%	16.1%
Put IV 25d	25.3%	20.7%	31.4%	23.7%	20.7%
Bid-Ask Spread %	6.28	4.90	9.81	6.49	8.41
Gamma HHI	0.18	0.14	0.34	0.18	0.18
Net GEX	-183.9K	-4.5M	10.8M	-2.4M	2.1M
Net DEX	-31.9M	-131.1M	98.8M	8.6M	-121.8M
Net VEX	-2.5M	-2.6M	-2.1M	-2.1M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.25	5.71	5.46	0.25
Total Volume	15,261.737	5,551	40,709	7,178	6,150
Total OI	461,466.316	386,381	497,812	386,381	479,176

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
2010-02-01	$27.79	$29.00	20.8%	6.0%	19.2%	16.0%	22.3%	4.1%	1.5%	-2.4M	8.6M	-2.1M	5.46	6.49	1,112	6,066	175,262	211,119
2010-02-02	$28.32	$29.00	20.0%	5.7%	19.2%	14.4%	18.0%	3.8%	1.9%	-713.2K	-39.0M	-2.1M	0.39	5.65	17,958	7,007	175,572	216,402
2010-02-03	$28.15	$29.00	19.7%	5.6%	19.3%	13.9%	18.2%	3.7%	2.0%	958.0K	-40.9M	-2.2M	1.70	6.03	8,046	13,691	190,495	222,231
2010-02-04	$27.32	$29.00	25.4%	7.3%	21.9%	25.5%	25.3%	5.0%	0.7%	-2.3M	50.8M	-2.3M	0.71	6.18	19,483	13,854	195,161	230,603
2010-02-05	$27.20	$27.00	25.7%	7.8%	21.3%	26.0%	30.1%	7.5%	-0.4%	-3.3M	66.6M	-2.3M	5.71	9.81	3,781	21,582	205,473	238,813
2010-02-08	$26.90	$27.00	26.1%	7.8%	20.3%	26.8%	27.3%	7.4%	-0.8%	-4.5M	98.8M	-2.4M	0.59	5.90	7,648	4,544	205,670	249,494
2010-02-09	$27.42	$27.00	25.3%	7.6%	21.3%	25.3%	25.7%	7.2%	-0.6%	-3.3M	46.2M	-2.5M	1.39	5.74	9,114	12,652	213,334	252,735
2010-02-10	$27.38	$27.00	24.5%	7.6%	21.3%	23.7%	29.1%	6.7%	-0.5%	-3.7M	56.7M	-2.5M	1.30	4.90	6,751	8,744	215,501	259,421
2010-02-11	$27.79	$27.00	23.3%	6.7%	22.1%	21.2%	28.3%	6.6%	1.2%	-3.4M	4.7M	-2.6M	2.05	5.43	2,426	4,978	219,988	266,339
2010-02-12	$27.57	$27.00	23.0%	6.6%	22.2%	20.6%	24.8%	6.3%	1.3%	-4.5M	30.2M	-2.6M	2.45	7.50	1,608	3,943	220,911	267,408
2010-02-16	$28.22	$27.00	22.8%	6.5%	23.7%	20.1%	24.7%	6.3%	1.3%	-1.4M	-46.1M	-2.6M	1.60	6.94	6,162	9,880	221,293	266,951
2010-02-17	$28.46	$27.00	22.4%	6.4%	23.6%	19.4%	23.6%	6.0%	1.3%	1.1M	-72.5M	-2.6M	2.05	6.51	4,161	8,517	223,828	270,837
2010-02-18	$28.72	$27.00	19.5%	5.6%	23.3%	13.4%	22.8%	5.3%	2.6%	4.9M	-108.8M	-2.6M	3.17	5.51	1,694	5,365	220,426	277,386
2010-02-19	$28.86	$28.00	19.3%	5.5%	21.7%	13.0%	19.6%	4.8%	2.4%	10.8M	-131.1M	-2.5M	1.01	5.20	20,204	20,505	219,694	275,469
2010-02-22	$28.88	$28.00	19.2%	5.5%	20.8%	12.8%	20.0%	4.7%	0.3%	2.1M	-117.9M	-2.6M	0.79	6.53	4,282	3,366	206,141	257,894
2010-02-23	$28.51	$28.00	19.6%	5.6%	21.4%	13.6%	21.2%	5.3%	0.6%	1.4M	-88.5M	-2.6M	2.43	5.23	1,801	4,371	209,343	258,934
2010-02-24	$28.80	$28.00	18.8%	5.4%	21.5%	12.0%	20.6%	4.8%	0.5%	1.4M	-105.8M	-2.6M	0.97	5.73	4,877	4,741	209,308	261,957
2010-02-25	$28.73	$28.00	18.4%	5.3%	21.6%	11.1%	21.0%	5.2%	1.0%	1.2M	-96.4M	-2.6M	1.65	5.55	3,365	5,544	211,461	265,830
2010-02-26	$28.84	$28.00	17.6%	5.1%	21.0%	9.7%	17.7%	4.6%	1.1%	2.1M	-121.8M	-2.5M	0.25	8.41	4,914	1,236	211,923	267,253