XLI Options History — August 2012

In August 2012, XLI traded between $35.40 and $37.19. ATM implied volatility averaged 16.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.1% (HV 20d: 14.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.34.

Notable Days

2012-08-29: Highest Volume — 175,258 contracts
2012-08-16: Largest IV spike — 72.7% change
2012-08-29: Highest IV Rank — 22.1%
2012-08-01: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.51	$35.40	$37.19	$35.59	$36.36
Max Pain	$35.61	$35.00	$36.00	$35.00	$36.00
ATM IV	16.0%	9.6%	19.4%	19.4%	17.7%
Expected Move	4.9%	4.4%	5.6%	5.6%	5.1%
HV 20d	14.9%	8.1%	18.8%	17.6%	8.1%
HV 60d	19.1%	16.6%	20.4%	19.9%	16.6%
IV Rank	12.4%	0.0%	22.1%	14.3%	19.9%
IV Percentile	13.0%	0.0%	33.3%	33.3%	26.2%
Term Structure	2.0%	0.2%	4.2%	0.5%	0.9%
VWIV	18.4%	15.3%	28.9%	20.9%	16.9%
Skew 25d	3.9%	2.6%	4.8%	4.3%	4.3%
Skew 10d	8.6%	6.0%	10.6%	8.1%	9.8%
Call IV 25d	15.7%	13.7%	18.7%	18.7%	15.1%
Put IV 25d	19.6%	17.3%	22.9%	22.9%	19.4%
Bid-Ask Spread %	33.81	18.79	90.61	27.04	72.82
Gamma HHI	0.21	0.13	0.40	0.13	0.21
Net GEX	6.5M	-27.1M	37.5M	-25.9M	397.1K
Net DEX	-119.9M	-422.7M	174.4M	146.7M	41.5M
Net VEX	-3.3M	-3.6M	-3.2M	-3.6M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.34	0.07	33.88	2.36	1.29
Total Volume	35,639.826	7,416	175,258	19,913	32,620
Total OI	915,316.696	838,124	1,018,149	839,057	900,262

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
2012-08-01	$35.59	$35.00	19.4%	5.6%	17.6%	14.3%	20.9%	4.3%	0.5%	-25.9M	146.7M	-3.6M	2.36	27.04	5,926	13,987	220,550	618,507
2012-08-02	$35.40	$35.00	19.1%	5.5%	17.7%	13.8%	18.6%	3.4%	1.6%	-27.1M	174.4M	-3.4M	1.59	24.91	22,111	35,118	222,715	622,781
2012-08-03	$36.22	$35.00	17.1%	4.9%	18.8%	9.6%	16.5%	2.6%	1.7%	-15.4M	-26.7M	-3.4M	0.07	35.33	59,130	4,432	231,553	641,236
2012-08-06	$36.17	$35.00	17.0%	5.5%	18.8%	9.3%	18.4%	4.5%	2.1%	-5.0M	-74.9M	-3.4M	0.19	21.14	24,907	4,801	272,185	639,720
2012-08-07	$36.53	$35.00	15.5%	5.1%	17.8%	6.3%	18.6%	4.1%	2.3%	4.3M	-185.6M	-3.4M	0.49	21.29	15,421	7,633	280,953	640,134
2012-08-08	$36.49	$35.00	15.9%	5.3%	17.5%	9.2%	18.9%	3.8%	2.4%	3.9M	-171.7M	-3.3M	2.14	18.79	5,675	12,145	286,480	644,305
2012-08-09	$36.51	$35.00	13.9%	4.9%	17.3%	3.8%	17.0%	3.5%	3.5%	7.4M	-218.6M	-3.2M	0.21	21.12	38,062	8,171	290,290	654,507
2012-08-10	$36.68	$35.00	13.0%	4.8%	16.4%	1.3%	17.5%	3.3%	3.1%	19.1M	-299.2M	-3.3M	0.40	47.15	5,311	2,105	321,928	659,528
2012-08-13	$36.60	$35.00	13.5%	4.9%	16.2%	2.8%	17.2%	3.5%	2.9%	20.6M	-260.6M	-3.3M	1.14	23.73	12,589	14,392	321,510	660,711
2012-08-14	$36.61	$36.00	11.2%	4.8%	16.2%	0.0%	17.6%	3.6%	3.1%	18.8M	-263.7M	-3.2M	0.69	25.28	8,236	5,647	321,964	668,544
2012-08-15	$36.59	$36.00	9.6%	4.7%	15.1%	0.0%	18.5%	3.6%	3.5%	24.0M	-270.8M	-3.2M	2.48	24.00	9,191	22,818	321,604	671,401
2012-08-16	$36.96	$36.00	16.5%	4.7%	15.4%	17.1%	17.3%	3.9%	3.8%	37.5M	-358.4M	-3.3M	0.69	24.85	27,214	18,645	324,879	683,009
2012-08-17	$37.19	$36.00	15.8%	4.5%	14.6%	15.4%	15.3%	3.9%	4.2%	28.0M	-422.7M	-3.2M	0.17	90.61	33,209	5,515	324,673	693,476
2012-08-20	$37.08	$36.00	15.5%	4.4%	14.5%	14.6%	16.5%	3.6%	1.4%	16.4M	-208.0M	-3.2M	1.16	24.91	12,075	14,055	274,188	563,936
2012-08-21	$37.02	$36.00	16.1%	4.6%	14.3%	16.0%	16.8%	4.1%	1.3%	13.2M	-173.5M	-3.2M	0.96	25.93	15,531	14,915	275,630	568,801
2012-08-22	$36.81	$36.00	16.1%	4.6%	14.5%	15.9%	17.0%	3.8%	1.5%	11.8M	-134.3M	-3.3M	0.93	25.54	15,281	14,272	282,483	575,492
2012-08-23	$36.54	$36.00	16.2%	4.6%	14.2%	16.3%	20.2%	4.8%	1.5%	5.7M	-36.1M	-3.5M	4.31	22.96	6,579	28,353	289,186	584,073
2012-08-24	$36.71	$36.00	15.9%	4.6%	11.5%	15.5%	18.2%	4.3%	1.5%	8.2M	-86.9M	-3.5M	16.14	69.66	904	14,587	292,679	603,144
2012-08-27	$36.61	$36.00	16.7%	4.8%	11.4%	17.5%	19.5%	4.4%	1.4%	5.2M	-42.7M	-3.5M	3.27	23.17	3,626	11,841	293,030	606,820
2012-08-28	$36.46	$36.00	18.3%	5.3%	11.4%	21.5%	19.0%	4.2%	0.6%	3.5M	4.8M	-3.4M	1.23	21.17	7,670	9,455	293,025	611,991
2012-08-29	$36.47	$36.00	18.6%	5.3%	11.1%	22.1%	28.9%	4.5%	0.2%	1.2M	18.1M	-3.4M	33.88	21.62	5,024	170,234	293,326	610,521
2012-08-30	$36.19	$36.00	18.5%	5.3%	11.3%	21.8%	19.2%	4.8%	1.3%	-6.5M	90.8M	-3.4M	1.01	64.68	10,109	10,194	294,743	599,811
2012-08-31	$36.36	$36.00	17.7%	5.1%	8.1%	19.9%	16.9%	4.3%	0.9%	397.1K	41.5M	-3.4M	1.29	72.82	14,218	18,402	298,518	601,744