XLI Options History — January 2012

In January 2012, XLI traded between $34.49 and $36.59. ATM implied volatility averaged 19.4%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.3% (HV 20d: 17.1%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.58.

Notable Days

2012-01-18: Highest Volume — 194,206 contracts
2012-01-12: Largest IV spike — 27.3% change
2012-01-13: Highest IV Rank — 21.1%
2012-01-13: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.70	$34.49	$36.59	$34.49	$36.22
Max Pain	$34.80	$34.00	$36.00	$34.00	$36.00
ATM IV	19.4%	16.4%	23.4%	22.0%	18.7%
Expected Move	5.8%	5.1%	6.7%	6.3%	5.4%
HV 20d	17.1%	11.6%	24.0%	24.0%	12.0%
HV 60d	26.1%	23.0%	28.6%	28.6%	23.0%
IV Rank	13.1%	7.0%	21.1%	18.8%	11.2%
IV Percentile	32.6%	9.1%	56.0%	52.8%	24.6%
Term Structure	1.9%	0.9%	3.5%	2.7%	2.8%
VWIV	22.5%	19.6%	26.2%	22.8%	21.9%
Skew 25d	6.0%	4.3%	7.4%	5.1%	4.5%
Skew 10d	13.4%	8.4%	19.7%	13.1%	14.2%
Call IV 25d	18.1%	16.3%	19.7%	19.4%	18.4%
Put IV 25d	24.1%	21.8%	26.5%	24.5%	22.9%
Bid-Ask Spread %	35.61	28.83	56.41	37.04	48.73
Gamma HHI	0.21	0.13	0.34	0.14	0.34
Net GEX	-15.9M	-61.6M	7.3M	-7.3M	-61.6M
Net DEX	-136.2M	-358.5M	148.4M	-48.6M	148.4M
Net VEX	-3.2M	-4.0M	-2.7M	-3.0M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.58	0.35	39.95	0.75	1.22
Total Volume	60,088.4	11,685	194,206	11,685	43,252
Total OI	1,045,663.15	804,257	1,331,752	969,016	999,090

Daily Data (20 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
2012-01-03	$34.49	$34.00	22.0%	6.3%	24.0%	18.8%	22.8%	5.1%	2.7%	-7.3M	-48.6M	-3.0M	0.75	37.04	6,667	5,018	309,530	659,486
2012-01-04	$34.65	$34.00	19.4%	5.6%	23.9%	13.3%	19.9%	4.3%	2.8%	-4.5M	-108.0M	-2.9M	0.37	36.40	22,990	8,457	308,879	660,958
2012-01-05	$34.63	$34.00	18.2%	5.2%	23.9%	10.8%	19.6%	4.6%	3.5%	-1.9M	-122.5M	-2.8M	0.91	35.95	32,704	29,810	317,969	660,526
2012-01-06	$34.69	$34.00	17.5%	6.2%	23.9%	9.3%	26.2%	7.0%	1.8%	-824.7K	-134.9M	-2.9M	2.86	34.63	6,298	18,039	328,760	685,692
2012-01-09	$34.84	$34.00	17.1%	6.1%	21.8%	8.6%	24.2%	6.3%	2.0%	1.1M	-186.7M	-2.8M	2.10	33.25	9,707	20,400	330,766	693,327
2012-01-10	$35.32	$34.00	17.8%	6.2%	20.4%	10.1%	22.7%	6.3%	1.6%	6.5M	-311.6M	-2.7M	1.49	30.81	17,982	26,865	332,668	691,254
2012-01-11	$35.51	$34.00	16.4%	6.0%	18.3%	7.0%	24.4%	6.6%	1.4%	7.3M	-320.4M	-2.8M	7.44	30.72	17,970	133,696	336,266	713,728
2012-01-12	$35.78	$35.00	20.8%	6.0%	17.3%	16.3%	22.8%	6.6%	1.6%	-233.0K	-321.7M	-3.1M	2.54	37.91	24,086	61,260	346,708	825,082
2012-01-13	$35.50	$35.00	23.4%	6.7%	17.1%	21.1%	24.7%	7.1%	1.4%	2.1M	-317.8M	-3.0M	1.98	35.54	5,924	11,702	351,440	807,070
2012-01-17	$35.69	$35.00	21.6%	6.2%	17.1%	17.3%	23.8%	6.9%	1.5%	815.4K	-289.1M	-3.0M	6.37	28.83	4,969	31,633	352,615	816,280
2012-01-18	$35.80	$35.00	21.4%	6.1%	17.0%	16.9%	23.8%	7.4%	1.4%	-1.5M	-342.8M	-3.0M	2.49	39.18	55,694	138,512	354,974	837,456
2012-01-19	$36.37	$35.00	20.2%	5.8%	16.4%	14.5%	25.1%	6.8%	2.5%	-19.6M	-358.5M	-3.3M	0.35	56.41	27,500	9,667	364,130	953,266
2012-01-20	$36.26	$35.00	19.7%	5.7%	13.0%	13.5%	20.3%	6.2%	2.4%	-14.6M	-354.4M	-3.3M	0.48	32.59	45,692	21,713	372,245	959,507
2012-01-23	$36.19	$35.00	18.8%	5.4%	13.1%	11.4%	19.9%	6.0%	2.3%	-32.5M	15.5M	-3.2M	1.03	31.58	23,427	24,024	193,901	610,356
2012-01-24	$36.16	$35.00	19.2%	5.5%	13.0%	12.3%	21.4%	6.3%	1.9%	-32.5M	38.8M	-3.3M	39.95	29.22	4,161	166,247	194,998	622,617
2012-01-25	$36.59	$35.00	17.8%	5.1%	13.2%	9.5%	21.7%	5.3%	1.0%	-37.1M	49.7M	-3.9M	10.41	33.08	3,585	37,316	197,084	755,246
2012-01-26	$36.50	$35.00	20.5%	5.9%	13.3%	15.0%	21.3%	5.4%	1.1%	-38.4M	50.9M	-3.9M	4.04	31.41	13,362	53,925	198,007	781,129
2012-01-27	$36.55	$36.00	17.9%	5.1%	11.6%	9.8%	20.9%	5.2%	1.5%	-41.0M	85.0M	-4.0M	2.27	34.35	4,936	11,189	204,772	793,665
2012-01-30	$36.33	$36.00	20.5%	5.9%	12.0%	15.1%	21.8%	5.3%	0.9%	-42.6M	104.3M	-4.0M	2.60	34.55	5,947	15,442	207,980	783,836
2012-01-31	$36.22	$36.00	18.7%	5.4%	12.0%	11.2%	21.9%	4.5%	2.8%	-61.6M	148.4M	-3.9M	1.22	48.73	19,459	23,793	210,559	788,531