XLI Options History — May 2013

In May 2013, XLI traded between $40.91 and $44.40. ATM implied volatility averaged 13.8%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.2% (HV 20d: 14.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.97.

Notable Days

2013-05-17: Highest Volume — 60,051 contracts
2013-05-13: Largest IV spike — 17.8% change
2013-05-31: Highest IV Rank — 44.1%
2013-05-31: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.28	$40.91	$44.40	$40.91	$43.48
Max Pain	$41.50	$41.00	$42.00	$41.00	$42.00
ATM IV	13.8%	11.7%	17.4%	15.2%	17.4%
Expected Move	4.1%	3.7%	5.0%	4.4%	5.0%
HV 20d	14.0%	11.1%	17.6%	15.9%	12.3%
HV 60d	13.6%	12.7%	14.3%	13.3%	12.9%
IV Rank	26.2%	15.8%	44.1%	33.3%	44.1%
IV Percentile	28.1%	5.2%	75.8%	38.5%	75.8%
Term Structure	0.8%	-1.0%	2.6%	0.4%	-1.0%
VWIV	15.5%	13.0%	18.8%	17.4%	18.8%
Skew 25d	3.2%	2.4%	4.2%	4.2%	4.0%
Skew 10d	6.5%	1.7%	10.5%	10.5%	7.0%
Call IV 25d	13.3%	12.2%	14.9%	13.9%	14.9%
Put IV 25d	16.5%	15.1%	18.9%	18.0%	18.9%
Bid-Ask Spread %	66.79	13.01	103.44	20.93	89.72
Gamma HHI	0.19	0.11	0.28	0.17	0.13
Net GEX	7.1M	-20.7M	16.8M	-17.8M	5.4M
Net DEX	-238.8M	-491.1M	115.6M	115.6M	-130.9M
Net VEX	-2.0M	-2.6M	-1.6M	-2.0M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.97	0.29	14.72	14.72	6.28
Total Volume	24,610.364	4,957	60,051	50,665	11,125
Total OI	472,850.682	384,365	561,185	384,365	487,629

Daily Data (22 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
2013-05-01	$40.91	$41.00	15.2%	4.4%	15.9%	33.3%	17.4%	4.2%	0.4%	-17.8M	115.6M	-2.0M	14.72	20.93	3,223	47,442	125,666	258,699
2013-05-02	$41.41	$41.00	14.4%	4.1%	16.4%	29.6%	16.3%	3.6%	1.0%	-20.7M	42.0M	-2.0M	0.88	24.27	17,820	15,664	127,407	298,895
2013-05-03	$42.13	$41.00	13.0%	3.7%	17.4%	22.4%	13.0%	3.1%	1.2%	-4.8M	-106.1M	-1.9M	0.47	103.44	26,378	12,426	139,180	306,459
2013-05-06	$42.38	$41.00	13.3%	4.1%	17.3%	24.0%	13.9%	3.3%	1.2%	3.5M	-176.9M	-1.8M	0.58	19.20	12,228	7,040	147,761	309,758
2013-05-07	$42.79	$41.00	11.8%	4.0%	17.6%	16.4%	14.5%	3.6%	1.2%	9.5M	-256.2M	-1.8M	0.76	28.68	12,783	9,743	151,131	307,973
2013-05-08	$43.05	$41.00	11.7%	4.0%	17.1%	15.8%	15.8%	3.4%	1.4%	13.7M	-315.8M	-1.7M	2.38	72.19	2,171	5,169	159,665	311,464
2013-05-09	$43.01	$41.00	12.1%	4.1%	17.2%	17.9%	14.3%	2.9%	1.4%	15.5M	-334.9M	-1.6M	2.29	86.65	3,063	7,005	160,531	312,286
2013-05-10	$43.19	$41.00	11.8%	4.1%	17.0%	16.4%	14.8%	2.9%	1.5%	13.1M	-340.9M	-1.7M	2.28	91.72	5,545	12,658	162,342	317,053
2013-05-13	$43.02	$41.00	13.9%	4.2%	13.0%	26.8%	15.3%	3.0%	1.4%	14.8M	-316.1M	-1.8M	0.55	87.01	3,196	1,761	166,649	327,838
2013-05-14	$43.55	$41.00	11.8%	4.0%	13.1%	16.2%	15.1%	2.7%	1.5%	12.7M	-402.4M	-1.6M	0.29	85.60	10,856	3,186	164,474	328,859
2013-05-15	$43.73	$41.00	11.9%	3.9%	11.2%	17.1%	14.5%	2.6%	1.8%	13.0M	-426.5M	-1.6M	0.29	88.78	43,537	12,586	174,458	330,250
2013-05-16	$43.51	$42.00	13.6%	3.9%	11.1%	25.4%	15.0%	2.5%	2.1%	16.3M	-421.6M	-2.0M	0.34	86.70	34,372	11,616	200,421	338,554
2013-05-17	$44.16	$42.00	13.5%	3.9%	11.8%	24.6%	15.4%	2.5%	2.6%	16.8M	-491.1M	-2.0M	1.20	94.94	27,250	32,801	212,335	348,850
2013-05-20	$44.30	$42.00	14.0%	4.0%	11.7%	27.2%	14.2%	2.5%	0.2%	14.1M	-298.1M	-2.1M	2.48	90.25	7,373	18,281	169,817	268,500
2013-05-21	$44.40	$42.00	14.5%	4.2%	11.7%	29.8%	14.3%	2.4%	-0.1%	12.4M	-289.9M	-2.2M	1.79	93.34	2,793	5,013	173,946	281,652
2013-05-22	$43.97	$42.00	14.5%	4.2%	12.5%	29.8%	16.2%	2.9%	0.4%	10.2M	-246.2M	-2.2M	1.77	82.91	15,745	27,933	174,928	285,768
2013-05-23	$43.85	$42.00	14.6%	4.2%	12.7%	30.3%	16.4%	3.3%	0.3%	5.0M	-164.8M	-2.4M	0.62	87.70	15,951	9,945	171,175	290,310
2013-05-24	$43.71	$42.00	14.5%	4.1%	12.7%	29.8%	17.0%	3.5%	0.4%	5.8M	-167.2M	-2.6M	0.79	86.31	4,346	3,447	184,355	286,735
2013-05-28	$43.94	$42.00	15.2%	4.3%	12.7%	33.2%	16.1%	3.6%	-0.1%	6.7M	-187.5M	-2.5M	1.23	15.98	5,510	6,763	187,330	287,560
2013-05-29	$43.68	$42.00	15.2%	4.3%	13.0%	33.2%	16.4%	3.6%	-0.1%	4.9M	-151.0M	-2.5M	0.80	20.14	8,916	7,106	189,045	290,790
2013-05-30	$43.95	$42.00	15.3%	4.4%	11.7%	33.9%	16.0%	3.6%	-0.4%	5.3M	-186.4M	-2.5M	0.61	13.01	5,989	3,673	191,393	292,824
2013-05-31	$43.48	$42.00	17.4%	5.0%	12.3%	44.1%	18.8%	4.0%	-1.0%	5.4M	-130.9M	-2.5M	6.28	89.72	1,529	9,596	192,618	295,011