XLI Options History — September 2012

In September 2012, XLI traded between $35.88 and $37.81. ATM implied volatility averaged 15.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.3% (HV 20d: 12.3%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.84.

Notable Days

2012-09-20: Highest Volume — 281,151 contracts
2012-09-24: Largest IV spike — 23.5% change
2012-09-05: Highest IV Rank — 23.2%
2012-09-05: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.93	$35.88	$37.81	$36.05	$36.53
Max Pain	$36.84	$36.00	$37.00	$36.00	$37.00
ATM IV	15.6%	11.3%	19.0%	18.9%	14.1%
Expected Move	4.4%	3.2%	5.5%	5.4%	4.0%
HV 20d	12.3%	7.9%	14.6%	8.6%	14.3%
HV 60d	16.0%	14.5%	16.8%	16.7%	14.5%
IV Rank	14.8%	4.2%	23.2%	23.0%	11.1%
IV Percentile	12.2%	0.8%	36.9%	36.1%	4.4%
Term Structure	1.7%	-0.3%	2.8%	-0.1%	0.2%
VWIV	16.1%	12.2%	18.9%	17.9%	17.1%
Skew 25d	3.7%	2.1%	5.0%	4.2%	3.5%
Skew 10d	8.0%	5.0%	11.9%	6.1%	7.1%
Call IV 25d	14.3%	10.3%	17.7%	16.9%	14.4%
Put IV 25d	17.9%	15.2%	21.4%	21.1%	17.9%
Bid-Ask Spread %	44.60	7.53	105.51	91.86	90.62
Gamma HHI	0.25	0.15	0.32	0.18	0.17
Net GEX	20.6M	-13.1M	55.5M	-9.8M	1.7M
Net DEX	-151.4M	-512.2M	122.1M	99.7M	20.5M
Net VEX	-3.0M	-3.3M	-2.8M	-3.2M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.14	7.70	0.29	1.31
Total Volume	48,832.737	9,049	281,151	39,816	33,542
Total OI	897,422.526	641,004	1,044,166	916,082	713,412

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
2012-09-04	$36.05	$36.00	18.9%	5.4%	8.6%	23.0%	17.9%	4.2%	-0.1%	-9.8M	99.7M	-3.2M	0.29	91.86	30,841	8,975	302,044	614,038
2012-09-05	$35.88	$36.00	19.0%	5.5%	7.9%	23.2%	18.9%	3.7%	-0.3%	-13.1M	122.1M	-3.3M	0.64	23.87	16,911	10,806	310,923	614,466
2012-09-06	$36.67	$36.00	16.5%	4.7%	11.3%	16.9%	17.4%	3.0%	0.2%	10.7M	-51.6M	-3.2M	0.63	26.44	11,764	7,409	310,320	616,411
2012-09-07	$37.00	$37.00	14.9%	4.4%	11.7%	13.1%	16.7%	4.2%	2.7%	18.7M	-177.6M	-3.2M	0.84	87.87	11,902	10,040	315,144	617,915
2012-09-10	$36.77	$37.00	17.1%	4.6%	11.9%	18.5%	18.7%	4.1%	2.7%	16.1M	-134.0M	-3.0M	5.20	31.94	2,739	14,256	315,298	618,953
2012-09-11	$36.91	$37.00	17.3%	4.6%	11.9%	19.1%	18.6%	4.6%	2.4%	20.9M	-168.8M	-3.0M	2.80	31.01	2,383	6,666	315,980	620,988
2012-09-12	$37.12	$37.00	16.5%	4.6%	12.0%	17.1%	15.7%	3.8%	2.3%	34.4M	-291.3M	-2.8M	0.15	33.73	135,343	19,856	315,878	620,935
2012-09-13	$37.52	$37.00	14.6%	4.2%	12.5%	12.4%	14.7%	3.0%	2.2%	41.7M	-372.2M	-3.0M	0.37	34.49	47,446	17,574	347,461	630,638
2012-09-14	$37.81	$37.00	15.0%	4.3%	12.3%	13.2%	16.0%	3.3%	2.3%	55.5M	-512.2M	-3.0M	0.62	93.90	27,539	17,174	376,285	639,138
2012-09-17	$37.58	$37.00	15.0%	4.3%	12.4%	13.3%	15.3%	2.9%	2.4%	51.3M	-402.2M	-3.0M	1.55	28.26	6,557	10,131	384,023	647,480
2012-09-18	$37.49	$37.00	15.4%	4.4%	12.4%	14.4%	15.7%	3.2%	2.4%	50.8M	-386.0M	-3.0M	4.76	28.45	2,768	13,187	385,460	654,003
2012-09-19	$37.67	$37.00	15.5%	4.4%	12.5%	14.5%	14.4%	5.0%	2.2%	50.0M	-405.7M	-2.9M	0.24	38.69	10,238	2,508	384,952	659,214
2012-09-20	$37.32	$37.00	14.7%	4.2%	12.8%	12.6%	14.3%	2.1%	2.8%	48.7M	-328.0M	-2.9M	0.14	28.06	246,244	34,907	381,095	661,025
2012-09-21	$36.84	$37.00	11.3%	3.2%	13.4%	4.2%	12.2%	4.8%	2.5%	-5.7M	42.2M	-3.0M	2.09	105.51	14,277	29,828	306,880	678,531
2012-09-24	$36.97	$37.00	14.0%	4.0%	13.4%	10.8%	13.5%	2.9%	1.7%	17.4M	-61.1M	-2.9M	0.89	21.64	11,894	10,644	268,959	372,045
2012-09-25	$36.48	$37.00	16.4%	4.7%	14.2%	16.8%	16.8%	3.8%	0.8%	6.4M	12.3M	-2.8M	2.68	14.47	14,728	39,485	272,866	379,741
2012-09-26	$36.32	$37.00	16.4%	4.7%	14.2%	16.7%	17.3%	3.7%	0.9%	-3.0M	79.8M	-2.9M	7.70	7.53	3,055	23,522	280,331	413,645
2012-09-27	$36.65	$37.00	13.6%	3.9%	14.6%	9.8%	14.7%	3.5%	1.5%	-1.6M	38.4M	-2.9M	2.11	29.10	6,651	14,032	280,168	424,383
2012-09-28	$36.53	$37.00	14.1%	4.0%	14.3%	11.1%	17.1%	3.5%	0.2%	1.7M	20.5M	-2.9M	1.31	90.62	14,492	19,050	283,978	429,434