Past exam of the Probability, statistics and options II course of the University of Oxford / 2010 / E / E3 / b / iii / Solution

The inclusion of $X$ into $\mathbb{R}$ is continuous, so a connected component $K$ of $X$ is an interval in $\mathbb{R}$. For $x\in K$, openness of $X$ gives $\epsilon >0$ with $(x-\epsilon ,x+\epsilon )\subseteq X$. This interval is connected and meets $K$, so their union is connected and maximality forces the interval into $K$. Thus $K$ is open in $\mathbb{R}$. A nonempty open connected subset of the line is an open interval, allowing an infinite endpoint or the whole line. Hence every component is an open interval.