XLI Options History — February 2014

In February 2014, XLI traded between $48.64 and $52.14. ATM implied volatility averaged 15.4%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.9% (HV 20d: 19.3%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2014-02-07: Highest Volume — 30,432 contracts
2014-02-07: Largest IV drop — 12.9% change
2014-02-03: Highest IV Rank — 88.3%
2014-02-03: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.78	$48.64	$52.14	$48.64	$52.14
Max Pain	$48.00	$48.00	$48.00	$48.00	$48.00
ATM IV	15.4%	13.6%	20.5%	20.5%	13.8%
Expected Move	5.3%	5.1%	5.7%	5.7%	5.2%
HV 20d	19.3%	15.7%	21.2%	18.9%	15.7%
HV 60d	14.7%	14.1%	14.9%	14.3%	14.9%
IV Rank	51.1%	37.6%	88.3%	88.3%	39.3%
IV Percentile	66.8%	40.5%	98.8%	98.8%	45.2%
Term Structure	-0.1%	-1.4%	1.3%	-1.4%	0.1%
VWIV	20.0%	15.8%	23.7%	20.8%	18.0%
Skew 25d	4.2%	3.4%	6.3%	6.3%	3.5%
Skew 10d	9.3%	6.7%	13.1%	13.1%	8.3%
Call IV 25d	13.6%	12.1%	17.7%	17.7%	12.3%
Put IV 25d	17.9%	15.6%	24.0%	24.0%	15.8%
Bid-Ask Spread %	10.27	6.20	29.18	15.73	10.57
Gamma HHI	0.12	0.10	0.15	0.11	0.14
Net GEX	-1.2M	-7.8M	5.1M	-4.1M	5.1M
Net DEX	-56.0M	-166.6M	113.7M	113.7M	-166.6M
Net VEX	-1.8M	-2.0M	-1.6M	-1.6M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.21	3.45	1.53	1.26
Total Volume	11,740.368	4,147	30,432	17,797	4,508
Total OI	267,654.105	224,901	289,295	224,901	267,950

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
2014-02-03	$48.64	$48.00	20.5%	5.7%	18.9%	88.3%	20.8%	6.3%	-1.4%	-4.1M	113.7M	-1.6M	1.53	15.73	7,032	10,765	109,720	115,181
2014-02-04	$48.95	$48.00	18.2%	5.5%	19.2%	71.2%	18.9%	5.2%	0.0%	-4.4M	97.5M	-1.7M	0.30	29.18	17,253	5,110	113,353	122,276
2014-02-05	$48.93	$48.00	19.3%	5.6%	18.9%	79.4%	19.7%	5.6%	-0.4%	-81.1K	90.2M	-1.7M	2.28	10.20	7,168	16,359	120,558	125,202
2014-02-06	$49.54	$48.00	17.4%	5.5%	19.7%	65.2%	23.7%	4.5%	-0.9%	-257.0K	23.1M	-1.7M	2.70	8.37	5,155	13,900	124,397	139,821
2014-02-07	$50.49	$48.00	15.1%	5.4%	20.9%	48.8%	15.8%	4.3%	-0.0%	3.5M	-76.0M	-1.8M	1.25	6.51	13,510	16,922	126,239	153,005
2014-02-10	$50.15	$48.00	16.1%	5.4%	21.0%	56.2%	19.7%	4.2%	0.2%	-7.8M	20.0M	-2.0M	1.24	10.08	3,041	3,776	120,549	152,886
2014-02-11	$50.71	$48.00	15.1%	5.2%	21.1%	48.5%	22.7%	4.2%	-0.4%	-5.4M	-38.9M	-1.9M	0.89	7.62	6,315	5,616	121,100	153,477
2014-02-12	$51.00	$48.00	14.4%	5.3%	20.8%	43.7%	17.7%	3.5%	0.5%	-1.8M	-78.7M	-2.0M	1.93	8.70	5,091	9,842	125,833	156,922
2014-02-13	$51.04	$48.00	14.3%	5.3%	20.6%	42.5%	23.5%	3.6%	0.7%	-4.4M	-68.5M	-2.0M	2.18	7.49	1,950	4,245	126,602	160,011
2014-02-14	$51.37	$48.00	13.7%	5.2%	20.7%	38.4%	17.9%	3.4%	1.3%	3.1M	-116.8M	-2.0M	0.99	7.58	4,095	4,059	126,774	161,447
2014-02-18	$51.30	$48.00	14.7%	5.2%	20.7%	45.5%	18.4%	3.7%	-0.5%	3.3M	-109.4M	-2.0M	1.49	9.66	3,008	4,480	126,712	160,669
2014-02-19	$50.85	$48.00	15.0%	5.2%	20.9%	47.7%	23.5%	3.9%	-0.1%	-5.6M	-57.4M	-1.9M	0.66	15.41	3,435	2,251	128,240	161,055
2014-02-20	$51.33	$48.00	15.0%	5.2%	21.2%	47.8%	17.5%	4.4%	-0.6%	885.8K	-107.2M	-1.9M	0.38	7.77	3,055	1,166	127,507	155,302
2014-02-21	$51.39	$48.00	14.5%	5.2%	20.8%	44.1%	20.3%	4.1%	-0.6%	-1.5M	-126.8M	-1.8M	0.32	8.63	7,226	2,325	128,179	155,423
2014-02-24	$51.74	$48.00	14.1%	5.1%	16.9%	41.0%	18.9%	4.1%	0.1%	-21.5K	-118.1M	-1.8M	0.21	12.41	4,625	967	106,556	144,214
2014-02-25	$51.61	$48.00	14.3%	5.2%	17.0%	42.5%	0.0%	3.8%	0.2%	-2.3M	-105.4M	-1.8M	3.45	6.28	2,030	7,005	107,942	144,700
2014-02-26	$51.66	$48.00	14.4%	5.1%	16.7%	43.3%	23.2%	4.0%	0.1%	-2.5M	-106.0M	-1.8M	0.77	6.20	2,340	1,807	108,878	147,997
2014-02-27	$51.94	$48.00	13.6%	5.2%	15.9%	37.6%	0.0%	3.9%	0.1%	1.6M	-133.2M	-1.8M	1.00	6.80	5,808	5,827	110,185	148,566
2014-02-28	$52.14	$48.00	13.8%	5.2%	15.7%	39.3%	18.0%	3.5%	0.1%	5.1M	-166.6M	-1.8M	1.26	10.57	1,993	2,515	114,109	153,841