XLI Options History — November 2011

In November 2011, XLI traded between $31.16 and $33.89. ATM implied volatility averaged 31.9%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.5% (HV 20d: 30.4%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.42.

Notable Days

2011-11-01: Highest Volume — 91,797 contracts
2011-11-09: Largest IV spike — 33.9% change
2011-11-23: Highest IV Rank — 47.6%
2011-11-23: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.90	$31.16	$33.89	$32.68	$33.89
Max Pain	$32.38	$31.00	$33.00	$31.00	$33.00
ATM IV	31.9%	25.3%	35.9%	33.2%	27.4%
Expected Move	9.2%	7.8%	10.3%	9.5%	7.8%
HV 20d	30.4%	23.9%	33.2%	32.9%	31.0%
HV 60d	34.8%	32.9%	38.1%	38.1%	34.4%
IV Rank	39.4%	25.6%	47.6%	42.1%	29.9%
IV Percentile	79.7%	67.5%	87.7%	83.7%	67.5%
Term Structure	-1.0%	-5.8%	0.5%	-1.5%	-0.1%
VWIV	34.3%	30.5%	39.5%	36.7%	35.3%
Skew 25d	9.6%	5.6%	14.0%	5.6%	6.7%
Skew 10d	19.3%	11.6%	25.4%	11.6%	14.0%
Call IV 25d	27.7%	23.7%	32.0%	32.0%	25.5%
Put IV 25d	37.2%	32.3%	40.7%	37.6%	32.3%
Bid-Ask Spread %	31.54	19.11	50.30	50.30	24.07
Gamma HHI	0.12	0.10	0.16	0.10	0.13
Net GEX	-2.0M	-19.3M	10.0M	1.4M	1.1M
Net DEX	68.3M	-193.8M	518.4M	-19.4M	-89.5M
Net VEX	-4.1M	-4.6M	-3.6M	-4.3M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	0.26	10.02	4.83	7.55
Total Volume	33,419.667	5,240	91,797	91,797	62,463
Total OI	1,120,972.714	1,057,183	1,215,158	1,057,183	1,106,436

Daily Data (21 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
2011-11-01	$32.68	$31.00	33.2%	9.5%	32.9%	42.1%	36.7%	5.6%	-1.5%	1.4M	-19.4M	-4.3M	4.83	50.30	15,759	76,038	418,632	638,551
2011-11-02	$32.96	$32.00	33.4%	9.6%	32.0%	42.4%	34.5%	8.9%	-1.6%	-1.7M	30.3M	-4.6M	2.12	27.67	4,014	8,522	418,793	687,667
2011-11-03	$33.84	$32.00	29.0%	8.3%	32.4%	33.4%	30.5%	8.8%	0.5%	3.1M	-126.6M	-4.4M	0.30	32.86	24,482	7,323	415,136	682,703
2011-11-04	$33.38	$32.00	31.9%	8.9%	33.0%	39.4%	34.7%	10.2%	-0.4%	2.0M	-93.3M	-4.4M	0.67	26.24	15,501	10,434	408,849	685,499
2011-11-07	$33.36	$32.00	31.7%	9.0%	31.2%	38.9%	33.7%	9.9%	-1.1%	3.5M	-84.1M	-4.3M	1.26	39.60	7,629	9,595	417,574	694,663
2011-11-08	$33.71	$32.00	25.3%	8.0%	31.3%	25.6%	30.5%	9.9%	0.2%	7.9M	-193.8M	-4.3M	2.56	23.93	6,103	15,641	422,807	702,013
2011-11-09	$32.78	$32.00	33.8%	9.7%	33.0%	43.3%	35.2%	10.5%	-1.4%	-3.7M	133.4M	-4.4M	0.99	33.50	14,878	14,693	425,271	709,087
2011-11-10	$33.10	$32.00	33.0%	9.5%	32.9%	41.6%	35.9%	11.4%	-1.2%	-854.7K	38.5M	-4.4M	1.70	32.64	14,374	24,490	435,028	713,884
2011-11-11	$33.81	$32.00	29.6%	8.5%	33.2%	34.7%	37.6%	10.5%	0.0%	7.9M	-162.6M	-4.3M	5.81	34.48	5,296	30,787	439,485	720,252
2011-11-14	$33.75	$32.00	30.9%	8.9%	31.1%	37.3%	31.0%	10.5%	-0.8%	7.1M	-139.5M	-4.2M	0.47	33.27	24,824	11,751	437,992	720,726
2011-11-15	$33.77	$32.00	30.9%	8.8%	29.7%	37.2%	32.6%	9.9%	-0.4%	10.0M	-149.8M	-4.2M	0.40	33.76	17,185	6,827	445,052	723,960
2011-11-16	$33.39	$32.00	33.5%	9.6%	29.7%	42.7%	34.2%	10.3%	-1.0%	4.2M	-41.3M	-4.1M	0.49	29.20	17,816	8,672	447,063	723,932
2011-11-17	$32.87	$33.00	33.4%	9.6%	30.4%	42.5%	33.6%	10.1%	-0.9%	-3.6M	94.6M	-4.1M	0.26	28.99	62,755	16,043	452,262	730,553
2011-11-18	$32.85	$33.00	31.1%	8.9%	29.6%	37.8%	33.8%	9.8%	0.3%	-4.5M	42.0M	-4.1M	1.16	19.11	20,243	23,566	476,858	738,300
2011-11-21	$32.17	$33.00	34.6%	9.9%	29.6%	45.1%	34.4%	8.8%	-1.1%	-8.2M	273.4M	-4.0M	1.41	29.10	11,841	16,668	404,692	654,496
2011-11-22	$31.75	$33.00	32.8%	9.4%	29.0%	41.2%	33.1%	9.4%	-0.6%	-11.5M	350.3M	-3.9M	1.01	37.25	11,930	12,025	410,641	664,721
2011-11-23	$31.28	$33.00	35.9%	10.3%	29.1%	47.6%	39.5%	9.4%	-1.6%	-14.6M	477.3M	-3.7M	10.02	34.87	4,169	41,753	403,084	660,253
2011-11-25	$31.16	$33.00	32.6%	9.3%	23.9%	40.8%	32.3%	14.0%	-5.8%	-19.3M	518.4M	-3.7M	0.80	43.98	2,953	2,364	401,169	699,619
2011-11-28	$32.21	$33.00	33.6%	9.6%	27.4%	42.9%	33.9%	8.3%	-1.8%	-10.8M	285.6M	-3.7M	0.65	24.56	3,170	2,070	403,292	698,907
2011-11-29	$32.20	$33.00	32.7%	9.4%	26.1%	41.0%	37.3%	8.3%	-0.8%	-11.1M	290.4M	-3.6M	6.26	22.95	2,088	13,078	400,892	699,633
2011-11-30	$33.89	$33.00	27.4%	7.8%	31.0%	29.9%	35.3%	6.7%	-0.1%	1.1M	-89.5M	-3.6M	7.55	24.07	7,308	55,155	402,054	704,382