XLI Options History — February 2015

In February 2015, XLI traded between $55.38 and $58.16. ATM implied volatility averaged 15.1%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.2% (HV 20d: 15.4%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 13 of 18 days. Put/call ratio averaged 3.90.

Notable Days

2015-02-12: Highest Volume — 82,339 contracts
2015-02-03: Largest IV drop — 13.5% change
2015-02-02: Highest IV Rank — 57.2%
2015-02-02: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.93	$55.38	$58.16	$55.38	$57.54
Max Pain	$56.06	$56.00	$57.00	$56.00	$57.00
ATM IV	15.1%	12.6%	18.0%	18.0%	13.6%
Expected Move	4.5%	3.7%	5.1%	5.1%	3.8%
HV 20d	15.4%	12.8%	18.8%	18.8%	12.8%
HV 60d	15.3%	14.9%	15.4%	14.9%	15.3%
IV Rank	35.8%	17.1%	57.2%	57.2%	24.4%
IV Percentile	68.6%	31.0%	89.3%	89.3%	48.8%
Term Structure	0.5%	-1.2%	1.9%	-1.2%	0.4%
VWIV	17.0%	12.7%	20.3%	19.0%	13.7%
Skew 25d	5.8%	3.4%	6.9%	6.6%	5.0%
Skew 10d	11.7%	7.5%	14.6%	12.5%	9.8%
Call IV 25d	12.9%	10.5%	15.4%	15.4%	11.2%
Put IV 25d	18.8%	15.4%	22.0%	22.0%	16.3%
Bid-Ask Spread %	16.05	9.83	25.15	25.15	9.83
Gamma HHI	0.30	0.13	0.46	0.30	0.39
Net GEX	-30.9M	-113.7M	-13.7M	-25.7M	-113.7M
Net DEX	40.4M	-61.5M	126.1M	126.1M	28.5M
Net VEX	-1.0M	-1.3M	-710.9K	-983.4K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.90	0.72	17.08	1.31	0.72
Total Volume	23,675.444	5,349	82,339	5,349	16,211
Total OI	217,964.111	159,487	297,312	159,749	275,284

Daily Data (18 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
2015-02-02	$55.38	$56.00	18.0%	5.1%	18.8%	57.2%	19.0%	6.6%	-1.2%	-25.7M	126.1M	-983.4K	1.31	25.15	2,316	3,033	34,651	125,098
2015-02-03	$56.27	$56.00	15.6%	4.6%	17.5%	39.2%	18.2%	6.9%	1.7%	-20.7M	62.8M	-944.0K	2.46	20.31	3,390	8,328	35,573	124,617
2015-02-04	$55.79	$56.00	16.5%	5.1%	17.1%	45.9%	16.8%	6.4%	0.5%	-23.1M	78.5M	-942.9K	2.80	23.68	2,851	7,986	36,299	123,188
2015-02-05	$56.31	$56.00	15.8%	4.9%	17.2%	40.4%	19.4%	6.1%	0.5%	-20.8M	52.1M	-885.3K	3.14	17.13	2,918	9,155	36,329	125,309
2015-02-06	$56.17	$56.00	16.4%	5.0%	15.9%	44.8%	20.0%	6.9%	0.5%	-20.8M	54.5M	-889.4K	2.60	16.15	3,159	8,200	36,442	124,857
2015-02-09	$56.04	$56.00	16.9%	5.0%	15.5%	48.8%	20.3%	6.6%	0.3%	-23.2M	69.8M	-856.8K	3.26	17.88	3,177	10,360	35,944	124,170
2015-02-10	$56.38	$56.00	15.2%	4.9%	15.4%	36.0%	19.0%	5.0%	1.9%	-21.8M	37.2M	-809.9K	3.27	15.58	3,073	10,036	36,333	127,288
2015-02-11	$56.37	$56.00	15.8%	4.8%	15.3%	40.7%	18.6%	5.4%	1.4%	-20.2M	29.7M	-789.4K	4.99	17.49	2,767	13,821	36,419	126,417
2015-02-12	$56.90	$56.00	14.6%	4.5%	15.4%	32.1%	18.4%	6.5%	1.6%	-13.7M	-14.2M	-710.9K	17.08	17.42	4,553	77,786	36,593	131,252
2015-02-13	$57.18	$56.00	14.8%	4.4%	15.2%	33.4%	17.7%	6.3%	0.5%	-33.4M	66.9M	-1.1M	6.05	15.59	10,313	62,438	37,718	197,966
2015-02-17	$57.21	$56.00	15.7%	4.5%	15.2%	39.6%	14.5%	6.1%	-0.1%	-39.4M	119.1M	-1.3M	2.03	14.26	6,205	12,591	43,181	235,512
2015-02-18	$57.53	$56.00	15.0%	4.3%	15.1%	35.0%	16.8%	4.7%	0.7%	-42.2M	52.2M	-1.2M	1.47	15.29	4,220	6,216	46,774	242,284
2015-02-19	$57.71	$56.00	14.4%	4.1%	14.9%	30.7%	18.0%	5.2%	0.9%	-29.6M	25.8M	-1.1M	14.02	13.71	817	11,457	47,631	242,043
2015-02-20	$58.16	$56.00	14.4%	4.1%	14.2%	30.3%	14.5%	3.4%	-0.7%	-34.0M	-61.5M	-866.7K	1.47	16.57	18,403	27,006	47,934	249,378
2015-02-23	$57.91	$56.00	13.9%	3.9%	14.0%	26.8%	12.7%	6.3%	-0.2%	-26.7M	36.4M	-1.3M	0.74	10.50	15,326	11,357	58,128	202,001
2015-02-25	$58.06	$56.00	13.3%	3.7%	14.0%	21.9%	13.5%	5.3%	-0.7%	-18.9M	-45.7M	-1.1M	1.29	10.48	9,741	12,564	64,605	204,756
2015-02-26	$57.80	$56.00	12.6%	3.7%	13.5%	17.1%	14.3%	6.7%	1.7%	-29.1M	9.3M	-1.2M	1.54	11.82	9,586	14,798	64,902	206,478
2015-02-27	$57.54	$57.00	13.6%	3.8%	12.8%	24.4%	13.7%	5.0%	0.4%	-113.7M	28.5M	-1.1M	0.72	9.83	9,438	6,773	64,959	210,325