XLI Options History — October 2013

In October 2013, XLI traded between $45.34 and $48.76. ATM implied volatility averaged 15.6%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.7% (HV 20d: 13.9%). Max pain ranged from $44.00 to $48.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.73.

Notable Days

2013-10-16: Highest Volume — 106,229 contracts
2013-10-28: Largest IV drop — 33.4% change
2013-10-08: Highest IV Rank — 94.1%
2013-10-11: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.25	$45.34	$48.76	$46.80	$48.62
Max Pain	$46.89	$44.00	$48.50	$48.00	$48.50
ATM IV	15.6%	10.8%	21.3%	15.6%	12.9%
Expected Move	4.5%	2.8%	6.4%	4.5%	3.7%
HV 20d	13.9%	12.3%	15.6%	12.4%	12.7%
HV 60d	13.0%	12.1%	13.5%	12.4%	13.0%
IV Rank	52.2%	16.8%	94.1%	52.3%	32.6%
IV Percentile	55.2%	2.0%	99.6%	65.1%	19.4%
Term Structure	-0.1%	-5.1%	1.5%	0.3%	0.6%
VWIV	15.8%	12.4%	22.3%	15.7%	13.0%
Skew 25d	4.1%	0.6%	6.5%	4.1%	2.9%
Skew 10d	7.7%	-1.8%	13.2%	7.9%	5.4%
Call IV 25d	13.8%	8.6%	19.8%	14.1%	11.5%
Put IV 25d	17.9%	12.1%	25.2%	18.3%	14.4%
Bid-Ask Spread %	64.55	8.19	142.98	83.69	36.00
Gamma HHI	0.15	0.10	0.23	0.12	0.20
Net GEX	11.6M	-32.7M	44.4M	-6.5M	38.0M
Net DEX	-215.4M	-499.0M	173.3M	-105.4M	-464.5M
Net VEX	-2.2M	-2.5M	-1.9M	-2.2M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.17	7.50	0.51	1.69
Total Volume	24,730.87	5,303	106,229	15,486	6,284
Total OI	482,166.348	446,271	574,027	449,554	474,287

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
2013-10-01	$46.80	$48.00	15.6%	4.5%	12.4%	52.3%	15.7%	4.1%	0.3%	-6.5M	-105.4M	-2.2M	0.51	83.69	10,263	5,223	165,529	284,025
2013-10-02	$46.48	$48.00	16.8%	4.8%	12.5%	60.8%	16.6%	4.7%	0.4%	-10.0M	-41.1M	-2.3M	0.63	46.07	7,402	4,685	171,339	286,203
2013-10-03	$45.96	$47.50	18.0%	5.2%	13.3%	70.0%	18.0%	5.1%	-0.6%	-19.6M	66.3M	-2.3M	2.85	31.85	13,036	37,089	174,899	288,312
2013-10-04	$46.24	$47.00	17.2%	4.9%	13.4%	64.1%	17.7%	5.1%	0.1%	-13.6M	-7.3M	-2.3M	4.49	89.30	1,964	8,824	174,273	305,031
2013-10-07	$45.95	$47.00	19.6%	5.6%	13.0%	81.7%	21.6%	6.1%	-1.1%	-17.0M	34.5M	-2.3M	2.22	38.40	11,536	25,566	164,448	289,847
2013-10-08	$45.49	$46.00	21.3%	6.1%	12.4%	94.1%	22.3%	6.5%	-1.0%	-28.6M	137.9M	-2.5M	1.69	18.72	4,711	7,975	173,372	312,468
2013-10-09	$45.34	$46.00	20.8%	6.0%	12.3%	90.1%	21.3%	6.0%	-0.8%	-32.7M	173.3M	-2.4M	2.05	26.75	4,999	10,234	171,538	315,035
2013-10-10	$46.52	$0.00	17.1%	5.0%	15.5%	63.6%	19.9%	5.2%	-1.3%	-6.8M	-66.3M	-2.4M	1.38	8.19	5,877	8,131	173,817	315,050
2013-10-11	$46.85	$44.00	20.4%	6.4%	15.6%	87.8%	16.2%	2.8%	-5.1%	5.5M	-164.6M	-2.2M	0.42	142.98	15,757	6,690	176,399	315,911
2013-10-14	$46.98	$46.00	16.1%	4.6%	15.0%	55.7%	15.9%	5.0%	0.5%	5.8M	-172.1M	-2.2M	2.33	90.15	8,562	19,948	178,070	312,967
2013-10-15	$46.53	$46.00	17.5%	4.9%	15.3%	66.4%	17.4%	5.5%	0.1%	-8.9M	-74.6M	-2.2M	7.50	87.69	4,693	35,200	184,145	323,228
2013-10-16	$46.71	$46.00	15.0%	4.3%	14.5%	48.2%	16.9%	5.0%	0.7%	1.1M	-114.5M	-2.2M	0.94	91.34	54,720	51,509	186,134	331,210
2013-10-17	$47.18	$46.00	13.7%	3.9%	15.0%	38.1%	14.8%	4.3%	0.4%	30.2M	-250.3M	-2.1M	1.15	80.41	21,298	24,422	194,231	352,776
2013-10-18	$47.72	$46.00	12.2%	3.4%	14.4%	26.9%	12.4%	2.5%	0.8%	44.4M	-394.2M	-2.1M	0.36	96.64	22,348	8,080	203,687	370,340
2013-10-21	$47.81	$45.50	12.3%	3.6%	14.3%	28.1%	13.6%	2.7%	1.1%	28.7M	-333.2M	-2.1M	1.20	33.24	5,043	6,071	184,055	268,008
2013-10-22	$48.10	$47.00	13.1%	3.8%	14.4%	34.1%	12.9%	2.8%	1.1%	30.3M	-388.4M	-2.1M	0.56	41.91	12,340	6,861	188,048	273,156
2013-10-23	$48.13	$47.50	13.1%	3.8%	14.2%	34.1%	12.4%	2.7%	1.2%	33.3M	-384.7M	-2.1M	0.60	45.15	13,563	8,154	193,908	278,894
2013-10-24	$48.49	$47.50	12.7%	3.6%	14.4%	30.8%	13.4%	5.6%	-0.3%	44.2M	-499.0M	-2.0M	1.89	81.64	1,834	3,469	205,451	285,511
2013-10-25	$48.76	$47.50	16.2%	4.7%	14.1%	56.5%	12.6%	3.3%	-1.2%	34.6M	-494.6M	-1.9M	0.29	103.26	13,725	3,938	193,144	282,067
2013-10-28	$48.69	$48.00	10.8%	2.8%	14.0%	16.8%	13.2%	0.6%	1.5%	36.0M	-450.6M	-2.0M	0.17	108.39	12,269	2,040	194,443	251,828
2013-10-29	$48.74	$48.00	13.0%	3.7%	13.9%	33.4%	13.0%	3.0%	0.6%	39.9M	-490.5M	-2.0M	1.19	36.76	9,421	11,197	202,095	253,437
2013-10-30	$48.61	$48.50	13.2%	3.8%	13.7%	34.9%	12.9%	2.7%	0.8%	39.0M	-469.3M	-2.0M	3.74	66.09	2,502	9,357	204,978	262,232
2013-10-31	$48.62	$48.50	12.9%	3.7%	12.7%	32.6%	13.0%	2.9%	0.6%	38.0M	-464.5M	-2.0M	1.69	36.00	2,335	3,949	205,896	268,391