XLI Options History — November 2014

In November 2014, XLI traded between $55.12 and $57.53. ATM implied volatility averaged 13.3%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.8% (HV 20d: 14.1%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.95.

Notable Days

2014-11-12: Highest Volume — 55,620 contracts
2014-11-20: Largest IV drop — 9.0% change
2014-11-04: Highest IV Rank — 36.9%
2014-11-04: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.41	$55.12	$57.53	$55.12	$56.91
Max Pain	$52.00	$52.00	$52.00	$52.00	$52.00
ATM IV	13.3%	11.4%	15.3%	15.0%	11.4%
Expected Move	4.5%	4.0%	4.8%	4.8%	4.3%
HV 20d	14.1%	7.1%	24.6%	24.6%	8.1%
HV 60d	16.2%	16.0%	16.4%	16.4%	16.3%
IV Rank	21.9%	8.2%	36.9%	34.7%	8.2%
IV Percentile	49.2%	8.3%	82.9%	81.3%	8.3%
Term Structure	0.1%	-8.7%	1.5%	0.8%	-8.7%
VWIV	19.2%	15.3%	23.3%	20.0%	15.3%
Skew 25d	4.0%	2.8%	6.1%	2.8%	3.6%
Skew 10d	8.4%	5.3%	10.9%	6.4%	9.7%
Call IV 25d	11.9%	7.9%	14.1%	14.1%	7.9%
Put IV 25d	15.9%	11.4%	17.7%	16.9%	11.4%
Bid-Ask Spread %	30.07	22.07	38.69	28.72	26.05
Gamma HHI	0.14	0.12	0.18	0.15	0.18
Net GEX	-4.4M	-12.4M	2.4M	-12.2M	-1.4M
Net DEX	-111.1M	-163.5M	-33.6M	-34.4M	-127.9M
Net VEX	-1.0M	-1.4M	-686.5K	-1.4M	-686.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.95	0.16	9.93	2.80	2.03
Total Volume	18,596.737	2,830	55,620	20,078	5,079
Total OI	308,213.789	278,094	319,515	314,164	292,015

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
2014-11-03	$55.12	$52.00	15.0%	4.8%	24.6%	34.7%	20.0%	2.8%	0.8%	-12.2M	-34.4M	-1.4M	2.80	28.72	5,287	14,791	63,780	250,384
2014-11-04	$55.13	$52.00	15.3%	4.8%	22.6%	36.9%	20.3%	4.3%	0.0%	-12.4M	-33.6M	-1.4M	3.11	27.50	5,711	17,755	64,135	250,930
2014-11-05	$55.48	$52.00	14.5%	4.8%	22.0%	30.8%	19.3%	3.3%	0.8%	-8.3M	-78.0M	-1.3M	3.48	31.28	5,635	19,626	64,790	252,416
2014-11-06	$56.04	$52.00	13.3%	4.6%	20.1%	22.0%	19.7%	4.7%	0.6%	-6.7M	-105.8M	-1.2M	1.79	28.94	9,315	16,639	64,888	254,627
2014-11-07	$56.08	$52.00	13.7%	4.6%	17.9%	25.1%	18.2%	3.7%	0.4%	-7.9M	-100.2M	-1.2M	2.75	31.23	5,876	16,184	62,700	255,023
2014-11-10	$56.35	$52.00	12.9%	4.6%	16.6%	19.3%	18.3%	3.8%	1.3%	-5.3M	-107.8M	-1.2M	1.60	34.26	10,653	17,001	61,458	253,356
2014-11-11	$56.29	$52.00	13.1%	4.5%	15.4%	20.4%	18.4%	4.5%	1.5%	-2.4M	-123.0M	-1.0M	2.34	38.69	5,667	13,286	59,906	247,403
2014-11-12	$56.41	$52.00	13.4%	4.5%	14.1%	22.7%	21.7%	4.2%	1.4%	-1.9M	-132.2M	-1.1M	9.93	38.29	5,090	50,530	63,126	254,981
2014-11-13	$56.22	$52.00	13.4%	4.6%	14.4%	22.9%	21.2%	2.8%	1.2%	-3.9M	-107.1M	-1.1M	2.05	34.88	8,857	18,170	62,983	255,395
2014-11-14	$56.31	$52.00	13.4%	4.5%	13.4%	23.0%	23.3%	4.1%	0.8%	-2.0M	-111.8M	-1.1M	5.72	32.77	734	4,200	62,228	253,516
2014-11-17	$56.21	$52.00	14.2%	4.6%	13.6%	28.5%	19.8%	4.6%	0.1%	-5.5M	-99.4M	-1.1M	3.65	31.75	4,240	15,485	60,852	248,938
2014-11-18	$56.67	$52.00	13.1%	4.2%	12.3%	21.0%	18.9%	6.1%	1.4%	-5.3M	-126.8M	-1.0M	5.09	22.07	3,656	18,591	61,457	251,652
2014-11-19	$56.48	$52.00	14.2%	4.6%	11.1%	29.2%	19.2%	4.1%	-0.9%	-5.8M	-117.3M	-990.8K	0.16	23.17	2,717	427	61,049	256,141
2014-11-20	$56.60	$52.00	13.0%	4.3%	8.9%	19.7%	17.8%	4.3%	0.8%	-6.6M	-104.0M	-1.0M	2.20	25.28	4,190	9,213	59,609	251,566
2014-11-21	$57.16	$52.00	12.7%	4.3%	9.0%	17.9%	20.0%	4.2%	-0.6%	-1.4M	-163.5M	-788.9K	2.01	23.23	4,298	8,623	59,854	251,644
2014-11-24	$57.33	$52.00	11.9%	4.3%	8.9%	11.7%	17.6%	3.0%	-0.1%	889.9K	-138.7M	-771.5K	0.18	35.33	2,395	435	53,241	224,853
2014-11-25	$57.53	$52.00	11.9%	4.0%	7.2%	11.9%	19.5%	3.8%	0.0%	2.4M	-150.9M	-776.3K	2.08	29.79	4,663	9,716	54,929	225,197
2014-11-26	$57.39	$52.00	11.6%	4.3%	7.1%	9.5%	15.5%	3.9%	0.5%	1.7M	-149.3M	-744.5K	3.12	28.17	2,088	6,515	55,909	229,131
2014-11-28	$56.91	$52.00	11.4%	4.3%	8.1%	8.2%	15.3%	3.6%	-8.7%	-1.4M	-127.9M	-686.5K	2.03	26.05	1,677	3,402	57,419	234,596