XLI Options History — February 2011

In February 2011, XLI traded between $36.45 and $38.04. ATM implied volatility averaged 17.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.0% (HV 20d: 13.2%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.39.

Notable Days

2011-02-22: Highest Volume — 91,995 contracts
2011-02-22: Largest IV spike — 19.0% change
2011-02-23: Highest IV Rank — 32.6%
2011-02-23: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.22	$36.45	$38.04	$36.75	$36.99
Max Pain	$34.26	$32.00	$36.00	$36.00	$35.00
ATM IV	17.2%	13.3%	23.4%	14.0%	20.1%
Expected Move	5.1%	4.0%	6.7%	4.0%	5.8%
HV 20d	13.2%	11.3%	16.5%	12.3%	14.7%
HV 60d	12.5%	11.3%	13.4%	13.4%	11.6%
IV Rank	13.2%	1.0%	32.6%	3.3%	22.3%
IV Percentile	23.8%	0.8%	67.5%	1.2%	44.0%
Term Structure	0.9%	-0.9%	2.8%	2.8%	0.0%
VWIV	19.4%	16.1%	24.3%	17.7%	20.5%
Skew 25d	4.8%	3.8%	6.1%	3.9%	5.5%
Skew 10d	10.3%	8.5%	12.5%	9.5%	11.0%
Call IV 25d	16.2%	13.4%	20.4%	13.4%	17.9%
Put IV 25d	21.0%	17.3%	26.5%	17.3%	23.5%
Bid-Ask Spread %	12.35	3.52	23.86	4.98	19.94
Gamma HHI	0.24	0.13	0.77	0.17	0.15
Net GEX	6.2M	-11.9M	85.6M	-7.4M	-6.7M
Net DEX	-227.4M	-398.8M	9.6M	-185.2M	-113.8M
Net VEX	-2.1M	-2.6M	-1.8M	-2.0M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.39	0.29	20.15	0.62	1.05
Total Volume	29,508.947	8,498	91,995	54,029	8,498
Total OI	548,542.737	489,184	604,033	489,184	590,646

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
2011-02-01	$36.75	$36.00	14.0%	4.0%	12.3%	3.3%	17.7%	3.9%	2.8%	-7.4M	-185.2M	-2.0M	0.62	4.98	33,393	20,636	151,888	337,296
2011-02-02	$36.69	$36.00	14.1%	4.0%	12.3%	3.6%	16.4%	3.9%	2.8%	-8.3M	-175.2M	-2.0M	1.28	6.83	7,937	10,140	165,600	346,125
2011-02-03	$36.67	$36.00	14.0%	4.0%	12.3%	3.4%	18.8%	3.8%	2.8%	-9.5M	-159.4M	-2.0M	2.18	5.94	6,325	13,803	157,581	346,841
2011-02-04	$36.80	$32.00	13.3%	4.8%	12.3%	1.0%	17.9%	4.6%	1.7%	-8.4M	-190.8M	-1.8M	20.15	4.99	2,748	55,385	158,113	351,594
2011-02-07	$37.19	$32.00	14.1%	4.9%	12.6%	3.5%	18.1%	4.5%	1.0%	-11.2M	-231.7M	-1.8M	1.78	3.78	3,779	6,727	158,831	391,417
2011-02-08	$37.37	$32.00	14.6%	4.9%	12.6%	5.2%	16.1%	4.1%	0.9%	2.1M	-266.7M	-1.8M	0.55	3.52	19,747	10,818	160,167	353,174
2011-02-09	$37.39	$32.00	15.0%	5.2%	12.6%	6.3%	18.3%	4.4%	0.2%	4.7M	-288.5M	-1.8M	1.42	4.79	5,573	7,941	175,960	356,512
2011-02-10	$37.55	$33.00	16.7%	4.8%	12.5%	11.6%	18.2%	4.4%	1.4%	10.3M	-304.7M	-1.9M	3.84	13.12	3,115	11,975	179,709	361,365
2011-02-11	$37.78	$34.00	17.0%	4.9%	12.5%	12.5%	18.4%	4.5%	1.0%	13.5M	-349.3M	-1.8M	1.89	11.38	12,008	22,678	179,624	368,972
2011-02-14	$37.81	$34.00	17.1%	4.9%	12.5%	13.0%	19.7%	4.9%	0.8%	15.9M	-346.7M	-2.0M	1.57	20.18	5,135	8,087	189,495	387,107
2011-02-15	$37.65	$34.00	17.3%	5.0%	12.6%	13.6%	19.1%	4.8%	0.5%	16.3M	-329.1M	-2.0M	0.29	6.82	12,856	3,742	192,827	390,152
2011-02-16	$37.85	$34.00	17.5%	5.0%	11.8%	14.3%	18.4%	4.9%	0.6%	21.9M	-363.7M	-1.9M	0.77	13.25	9,442	7,228	195,133	389,732
2011-02-17	$37.87	$35.00	17.5%	5.0%	11.4%	14.1%	22.0%	4.7%	0.6%	29.8M	-389.8M	-1.8M	4.54	22.54	2,483	11,278	199,101	397,337
2011-02-18	$38.04	$35.00	17.1%	4.9%	11.3%	13.0%	18.2%	4.9%	1.1%	85.6M	-398.8M	-2.0M	1.39	23.03	16,350	22,764	199,250	404,783
2011-02-22	$37.00	$35.00	20.4%	5.8%	15.4%	23.1%	21.7%	5.7%	0.2%	-1.8M	-140.0M	-2.2M	15.46	23.86	5,590	86,405	172,042	317,750
2011-02-23	$36.50	$36.00	23.4%	6.7%	16.3%	32.6%	24.3%	6.1%	-0.7%	-11.9M	9.6M	-2.5M	3.24	19.36	13,911	45,097	174,511	382,566
2011-02-24	$36.45	$35.00	23.4%	6.7%	16.1%	32.4%	21.7%	5.9%	-0.9%	-8.7M	-24.5M	-2.6M	1.25	19.11	10,350	12,974	181,558	384,182
2011-02-25	$36.83	$35.00	20.0%	5.7%	16.5%	21.9%	22.3%	5.9%	0.5%	-7.7M	-73.2M	-2.6M	1.07	7.26	11,458	12,294	183,200	390,171
2011-02-28	$36.99	$35.00	20.1%	5.8%	14.7%	22.3%	20.5%	5.5%	0.0%	-6.7M	-113.8M	-2.6M	1.05	19.94	4,155	4,343	192,213	398,433