XLI Options History — February 2016

In February 2016, XLI traded between $48.84 and $52.50. ATM implied volatility averaged 21.5%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.6% (HV 20d: 22.1%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.73.

Notable Days

2016-02-09: Highest Volume — 98,316 contracts
2016-02-08: Largest IV spike — 13.7% change
2016-02-11: Highest IV Rank — 69.0%
2016-02-11: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.69	$48.84	$52.50	$49.93	$52.23
Max Pain	$50.15	$50.00	$51.00	$51.00	$50.00
ATM IV	21.5%	18.1%	26.7%	18.1%	20.1%
Expected Move	6.3%	5.1%	8.0%	5.1%	5.9%
HV 20d	22.1%	19.5%	23.9%	22.3%	19.5%
HV 60d	19.2%	17.5%	20.1%	17.5%	20.1%
IV Rank	44.7%	29.0%	69.0%	29.0%	38.3%
IV Percentile	85.6%	72.2%	98.8%	77.8%	79.0%
Term Structure	-0.3%	-1.6%	1.0%	0.4%	-0.8%
VWIV	24.6%	21.4%	30.9%	24.2%	25.4%
Skew 25d	6.2%	4.5%	7.8%	4.7%	6.6%
Skew 10d	12.8%	10.1%	15.4%	11.9%	12.3%
Call IV 25d	18.4%	15.6%	23.5%	16.1%	16.0%
Put IV 25d	24.6%	20.9%	31.1%	20.9%	22.6%
Bid-Ask Spread %	10.77	7.54	15.00	13.95	11.78
Gamma HHI	0.20	0.12	0.38	0.16	0.19
Net GEX	3.5M	-13.7M	25.5M	-8.5M	10.6M
Net DEX	45.7M	-119.6M	238.3M	102.7M	-11.0M
Net VEX	-1.4M	-1.8M	-887.9K	-911.3K	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.73	0.23	20.77	4.84	1.60
Total Volume	34,721.05	5,855	98,316	13,765	21,341
Total OI	243,851.3	126,168	322,955	126,168	306,129

Daily Data (20 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
2016-02-01	$49.93	$51.00	18.1%	5.1%	22.3%	29.0%	24.2%	4.7%	0.4%	-8.5M	102.7M	-911.3K	4.84	13.95	2,355	11,410	40,751	85,417
2016-02-02	$48.89	$51.00	20.5%	5.9%	22.6%	40.1%	21.4%	7.1%	0.3%	-10.2M	144.7M	-887.9K	3.11	13.83	2,666	8,300	40,774	86,479
2016-02-03	$49.61	$51.00	20.3%	5.8%	23.4%	39.5%	24.7%	5.2%	0.2%	-9.5M	120.7M	-910.8K	1.66	14.50	4,890	8,099	40,886	88,110
2016-02-04	$50.51	$50.00	19.8%	6.1%	23.9%	37.2%	23.0%	5.6%	0.3%	-6.5M	73.7M	-944.4K	2.67	8.15	9,998	26,743	43,520	88,561
2016-02-05	$49.93	$50.00	21.8%	6.5%	22.9%	46.3%	23.8%	7.0%	0.1%	-7.6M	110.4M	-1.0M	0.72	10.57	30,251	21,633	46,394	99,343
2016-02-08	$49.59	$50.00	24.8%	7.3%	22.4%	60.0%	26.6%	5.8%	-0.6%	3.7M	98.7M	-1.1M	1.33	10.99	10,404	13,881	71,986	99,547
2016-02-09	$49.91	$50.00	24.5%	7.2%	22.5%	58.6%	30.9%	6.8%	0.0%	6.3M	78.0M	-1.1M	20.77	10.21	4,516	93,800	73,831	104,332
2016-02-10	$49.57	$50.00	25.3%	7.0%	22.5%	62.4%	26.1%	7.8%	-0.6%	1.1M	162.6M	-1.7M	3.69	15.00	1,249	4,606	74,936	185,093
2016-02-11	$48.84	$50.00	26.7%	8.0%	21.5%	69.0%	27.8%	7.6%	0.6%	-12.2M	238.3M	-1.5M	2.60	9.21	9,821	25,583	75,691	188,055
2016-02-12	$49.65	$50.00	25.0%	7.6%	22.0%	61.2%	27.0%	5.7%	-0.3%	-13.7M	185.9M	-1.6M	0.91	9.52	25,224	22,993	82,038	194,223
2016-02-16	$50.59	$50.00	22.9%	6.6%	21.9%	51.2%	25.2%	7.0%	1.0%	-4.2M	89.4M	-1.7M	0.31	10.83	56,639	17,568	68,571	203,141
2016-02-17	$51.47	$50.00	21.7%	6.2%	22.6%	45.7%	25.3%	6.4%	-0.6%	17.2M	-46.2M	-1.7M	0.96	10.89	8,370	8,070	102,646	208,534
2016-02-18	$51.37	$50.00	20.9%	6.0%	21.7%	42.0%	24.9%	6.8%	-1.6%	17.2M	-34.9M	-1.6M	1.56	7.54	6,814	10,642	97,757	211,143
2016-02-19	$51.29	$50.00	20.4%	5.8%	21.8%	39.7%	22.4%	5.9%	-0.8%	16.9M	-20.1M	-1.7M	1.56	8.98	9,747	15,232	99,199	216,316
2016-02-22	$52.20	$50.00	18.5%	5.5%	22.4%	30.9%	23.3%	5.7%	-0.1%	25.5M	-109.5M	-1.6M	2.60	9.29	12,190	31,708	91,587	202,879
2016-02-23	$51.72	$50.00	19.7%	5.8%	22.0%	36.5%	22.0%	6.7%	-0.6%	6.9M	-25.3M	-1.8M	0.23	10.49	42,521	9,644	96,401	206,043
2016-02-24	$51.73	$50.00	20.4%	6.1%	21.3%	39.9%	22.7%	5.5%	-0.4%	9.8M	-30.8M	-1.8M	0.38	10.64	46,592	17,624	104,450	208,690
2016-02-25	$52.36	$50.00	19.9%	5.4%	21.0%	37.3%	22.2%	4.5%	-0.6%	12.0M	-94.5M	-1.8M	1.39	10.65	8,043	11,172	110,973	211,982
2016-02-26	$52.50	$50.00	18.1%	5.5%	20.9%	29.4%	24.0%	5.9%	-1.0%	16.1M	-119.6M	-1.7M	1.69	8.37	8,216	13,866	111,347	209,271
2016-02-29	$52.23	$50.00	20.1%	5.9%	19.5%	38.3%	25.4%	6.6%	-0.8%	10.6M	-11.0M	-1.6M	1.60	11.78	8,199	13,142	96,418	209,711