XLI Options History — August 2011

In August 2011, XLI traded between $29.26 and $34.46. ATM implied volatility averaged 37.9%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.3% (HV 20d: 42.2%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.63.

Notable Days

2011-08-03: Highest Volume — 217,371 contracts
2011-08-08: Largest IV spike — 55.6% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.20	$29.26	$34.46	$34.46	$32.40
Max Pain	$35.39	$34.00	$36.00	$36.00	$34.00
ATM IV	37.9%	26.2%	61.1%	28.2%	34.4%
Expected Move	10.4%	7.5%	13.1%	8.1%	9.9%
HV 20d	42.2%	18.7%	54.1%	18.7%	53.2%
HV 60d	29.1%	18.1%	34.1%	18.1%	34.1%
IV Rank	63.7%	40.1%	100.0%	90.9%	44.5%
IV Percentile	97.5%	94.0%	100.0%	96.0%	94.4%
Term Structure	-4.1%	-8.4%	-0.5%	-2.7%	-2.4%
VWIV	36.0%	24.5%	46.7%	27.1%	33.6%
Skew 25d	10.3%	-3.9%	15.6%	5.8%	8.7%
Skew 10d	20.0%	4.8%	28.7%	11.3%	15.7%
Call IV 25d	31.8%	23.1%	41.8%	24.7%	30.1%
Put IV 25d	42.1%	28.2%	52.7%	30.5%	38.8%
Bid-Ask Spread %	33.16	7.34	79.11	30.95	23.60
Gamma HHI	0.13	0.10	0.17	0.14	0.12
Net GEX	-26.8M	-51.2M	-19.1M	-42.8M	-19.6M
Net DEX	1.19B	661.6M	1.65B	818.3M	661.6M
Net VEX	-4.5M	-5.0M	-4.0M	-4.4M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.28	5.88	2.34	0.49
Total Volume	79,139.957	11,315	217,371	102,375	80,478
Total OI	1,263,653.043	975,894	1,486,159	975,894	1,264,667

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
2011-08-01	$34.46	$36.00	28.2%	8.1%	18.7%	90.9%	27.1%	5.8%	-2.7%	-42.8M	818.3M	-4.4M	2.34	30.95	30,651	71,724	315,582	660,312
2011-08-02	$33.31	$36.00	28.9%	8.3%	20.4%	94.8%	26.7%	6.2%	-2.7%	-45.8M	1.10B	-4.1M	5.88	27.77	16,057	94,442	334,957	686,591
2011-08-03	$33.36	$36.00	26.2%	7.5%	20.3%	79.0%	24.5%	5.1%	-0.5%	-51.2M	1.10B	-4.4M	2.72	29.24	58,371	159,000	338,192	735,283
2011-08-04	$31.68	$36.00	33.9%	9.7%	24.9%	100.0%	28.7%	-3.9%	-1.0%	-36.8M	1.19B	-4.3M	0.94	79.11	94,893	89,353	378,040	737,202
2011-08-05	$31.73	$36.00	39.3%	9.5%	25.2%	100.0%	32.0%	9.3%	-3.7%	-31.6M	1.29B	-4.7M	0.86	36.16	66,530	57,489	437,345	771,771
2011-08-08	$29.26	$36.00	61.1%	13.1%	36.0%	100.0%	43.3%	10.9%	-4.2%	-20.8M	1.49B	-4.1M	0.51	51.23	105,372	53,371	486,603	785,440
2011-08-09	$30.51	$36.00	43.3%	11.0%	40.7%	63.1%	39.5%	14.3%	-4.4%	-25.0M	1.41B	-4.4M	1.29	56.50	58,306	75,302	508,834	810,622
2011-08-10	$29.52	$36.00	48.1%	12.0%	41.4%	73.1%	42.8%	15.6%	-6.3%	-20.3M	1.46B	-4.3M	0.87	41.08	24,009	20,854	550,050	817,178
2011-08-11	$30.65	$36.00	39.5%	11.3%	44.8%	55.1%	45.0%	13.6%	-6.3%	-22.6M	1.32B	-4.8M	2.25	34.64	20,146	45,403	540,161	819,545
2011-08-12	$31.45	$36.00	38.0%	10.9%	46.3%	52.1%	38.9%	10.9%	-5.5%	-24.9M	1.25B	-5.0M	3.45	25.37	18,124	62,442	546,916	825,508
2011-08-15	$31.86	$36.00	32.3%	9.3%	46.8%	40.1%	32.9%	9.1%	-7.0%	-28.9M	1.27B	-4.8M	1.22	69.62	17,583	21,397	551,373	859,767
2011-08-16	$31.42	$36.00	34.6%	9.9%	46.3%	44.9%	32.0%	9.3%	-4.0%	-29.5M	1.32B	-4.8M	1.65	28.05	17,405	28,698	556,338	863,721
2011-08-17	$31.35	$36.00	32.6%	9.4%	46.2%	40.9%	31.1%	9.1%	-3.0%	-30.3M	1.36B	-4.6M	1.67	21.73	12,251	20,502	560,872	854,731
2011-08-18	$29.59	$36.00	41.9%	12.0%	48.6%	60.1%	46.7%	14.8%	-7.6%	-25.7M	1.59B	-4.0M	1.24	23.06	52,533	65,286	566,655	857,925
2011-08-19	$29.45	$36.00	44.8%	12.9%	48.7%	66.3%	43.4%	15.0%	-8.4%	-23.4M	1.65B	-4.1M	1.04	34.10	36,619	38,108	599,667	886,492
2011-08-22	$29.27	$36.00	44.2%	12.7%	48.6%	64.9%	38.9%	14.6%	-5.0%	-19.1M	1.25B	-4.0M	0.28	22.42	51,481	14,375	408,372	747,565
2011-08-23	$30.25	$34.00	38.5%	11.0%	50.9%	53.1%	37.4%	12.7%	-3.6%	-19.5M	1.15B	-4.4M	1.55	21.27	4,438	6,877	452,526	753,107
2011-08-24	$30.88	$34.00	35.9%	10.3%	51.4%	47.7%	34.5%	11.5%	-2.5%	-19.3M	1.02B	-4.6M	2.17	7.34	8,574	18,583	453,135	752,408
2011-08-25	$30.28	$34.00	42.1%	12.1%	51.6%	60.5%	39.7%	13.9%	-5.0%	-19.2M	1.10B	-4.5M	1.17	22.30	17,666	20,672	458,752	767,327
2011-08-26	$30.93	$34.00	35.7%	10.2%	52.5%	47.3%	39.8%	12.0%	-2.4%	-20.3M	1.01B	-4.7M	2.16	22.04	6,823	14,729	466,934	776,220
2011-08-29	$31.91	$34.00	33.3%	9.5%	54.1%	42.2%	34.5%	9.8%	-2.5%	-19.6M	807.9M	-4.9M	1.23	21.97	12,275	15,070	471,350	780,450
2011-08-30	$32.19	$34.00	34.1%	9.8%	53.1%	44.0%	35.2%	9.1%	-3.0%	-19.4M	774.3M	-4.9M	0.55	33.05	10,298	5,659	477,941	789,593
2011-08-31	$32.40	$34.00	34.4%	9.9%	53.2%	44.5%	33.6%	8.7%	-2.4%	-19.6M	661.6M	-5.0M	0.49	23.60	53,974	26,504	476,960	787,707