XLI Options History — February 2013

In February 2013, XLI traded between $39.97 and $41.39. ATM implied volatility averaged 13.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.5% (HV 20d: 10.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 3.56.

Notable Days

2013-02-15: Highest Volume — 68,342 contracts
2013-02-25: Largest IV spike — 35.0% change
2013-02-25: Highest IV Rank — 44.9%
2013-02-25: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.67	$39.97	$41.39	$40.47	$40.99
Max Pain	$39.53	$39.00	$40.00	$39.00	$40.00
ATM IV	13.8%	12.1%	18.1%	12.5%	14.4%
Expected Move	4.0%	3.5%	5.2%	4.1%	4.1%
HV 20d	10.3%	7.7%	14.8%	9.5%	14.5%
HV 60d	14.0%	12.9%	15.4%	15.4%	14.6%
IV Rank	22.1%	13.0%	44.9%	15.1%	25.6%
IV Percentile	16.2%	3.6%	67.1%	5.2%	22.2%
Term Structure	1.0%	-1.9%	2.7%	1.9%	0.1%
VWIV	15.6%	12.4%	19.2%	16.1%	16.4%
Skew 25d	4.1%	3.3%	5.9%	4.1%	4.4%
Skew 10d	8.7%	6.9%	10.7%	10.4%	9.9%
Call IV 25d	12.4%	10.6%	15.4%	12.6%	13.2%
Put IV 25d	16.5%	13.9%	21.3%	16.7%	17.5%
Bid-Ask Spread %	32.08	11.91	84.95	84.95	28.77
Gamma HHI	0.21	0.17	0.29	0.20	0.22
Net GEX	-628.3K	-18.7M	7.4M	-179.2K	-701.2K
Net DEX	-114.6M	-235.3M	61.7M	-99.3M	-93.5M
Net VEX	-1.2M	-1.5M	-1.0M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.56	0.29	11.02	3.43	3.43
Total Volume	19,076.316	5,275	68,342	25,142	14,844
Total OI	390,550.947	337,765	439,344	380,348	381,533

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
2013-02-01	$40.47	$39.00	12.5%	4.1%	9.5%	15.1%	16.1%	4.1%	1.9%	-179.2K	-99.3M	-1.2M	3.43	84.95	5,678	19,464	96,789	283,559
2013-02-04	$40.13	$39.00	13.5%	4.3%	9.9%	20.8%	16.7%	4.5%	1.1%	-2.6M	-46.4M	-1.4M	1.61	19.75	3,929	6,334	100,118	293,970
2013-02-05	$40.48	$39.00	13.5%	4.2%	10.1%	20.5%	15.5%	4.0%	1.0%	1.8M	-113.0M	-1.2M	3.53	22.12	2,592	9,150	102,126	293,365
2013-02-06	$40.47	$39.00	13.3%	4.2%	9.4%	19.5%	14.5%	3.8%	1.2%	-1.8M	-105.8M	-1.2M	0.61	22.11	6,872	4,203	101,992	300,054
2013-02-07	$40.46	$39.00	14.9%	4.3%	9.0%	27.7%	14.0%	3.7%	1.2%	-351.2K	-117.0M	-1.3M	1.93	22.63	5,041	9,720	107,159	300,931
2013-02-08	$40.61	$39.00	12.9%	3.7%	9.0%	17.5%	15.4%	3.6%	2.3%	1.2M	-154.2M	-1.2M	5.32	35.05	1,842	9,807	109,636	307,795
2013-02-11	$40.60	$39.00	12.5%	3.6%	9.1%	15.4%	14.4%	4.0%	2.5%	2.4M	-156.8M	-1.1M	3.32	29.35	3,424	11,353	110,292	308,255
2013-02-12	$40.77	$39.00	12.7%	3.6%	9.1%	16.2%	13.2%	3.8%	2.2%	6.4M	-194.6M	-1.1M	1.13	30.19	2,476	2,799	112,436	308,543
2013-02-13	$40.98	$39.00	13.0%	3.7%	9.2%	17.7%	14.6%	3.7%	2.2%	7.4M	-233.8M	-1.0M	7.30	26.15	1,871	13,666	113,945	310,035
2013-02-14	$41.01	$40.00	12.6%	3.6%	8.9%	16.0%	14.5%	3.4%	2.2%	4.8M	-235.3M	-1.0M	2.99	25.89	3,962	11,852	114,094	317,544
2013-02-15	$41.05	$40.00	12.1%	3.5%	7.7%	13.0%	12.4%	3.9%	2.7%	1.1M	-215.1M	-1.1M	0.29	57.62	52,885	15,457	115,103	324,241
2013-02-19	$41.39	$40.00	12.5%	3.6%	8.1%	15.2%	13.7%	3.3%	0.5%	5.4M	-178.8M	-1.2M	7.49	11.91	2,500	18,731	103,199	234,566
2013-02-20	$40.82	$40.00	13.6%	3.9%	9.7%	20.9%	13.8%	4.1%	0.2%	-730.4K	-92.2M	-1.3M	3.54	25.81	1,858	6,586	104,506	238,381
2013-02-21	$40.45	$40.00	15.7%	4.5%	10.3%	32.0%	16.4%	4.4%	-1.0%	-4.8M	-37.4M	-1.4M	5.41	25.04	3,094	16,740	105,066	238,666
2013-02-22	$40.84	$40.00	13.4%	3.9%	10.5%	20.2%	18.7%	4.5%	0.4%	-1.4M	-86.9M	-1.3M	1.37	48.18	2,457	3,359	106,551	247,490
2013-02-25	$39.97	$40.00	18.1%	5.2%	13.1%	44.9%	19.2%	5.9%	-1.9%	-9.6M	13.7M	-1.4M	11.02	40.44	5,233	57,679	107,854	248,262
2013-02-26	$40.30	$40.00	16.9%	4.9%	13.5%	38.5%	18.3%	5.2%	-0.7%	-18.7M	61.7M	-1.5M	2.02	26.68	4,453	9,016	108,873	280,863
2013-02-27	$41.00	$40.00	14.2%	4.1%	14.8%	24.0%	18.3%	4.4%	0.3%	-1.6M	-93.1M	-1.4M	1.92	26.85	3,940	7,583	111,037	271,639
2013-02-28	$40.99	$40.00	14.4%	4.1%	14.5%	25.6%	16.4%	4.4%	0.1%	-701.2K	-93.5M	-1.3M	3.43	28.77	3,354	11,490	113,937	267,596