XLE Options History — July 2007

In July 2007, XLE traded between $34.25 and $37.17. ATM implied volatility averaged 24.3%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.7% (HV 20d: 22.6%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.19.

Notable Days

2007-07-27: Highest Volume — 496,530 contracts
2007-07-26: Largest IV spike — 20.0% change
2007-07-26: Highest IV Rank — 100.0%
2007-07-27: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.96	$34.25	$37.17	$35.10	$34.50
Max Pain	$35.64	$35.00	$37.00	$35.00	$36.00
ATM IV	24.3%	19.0%	34.9%	20.7%	32.9%
Expected Move	7.1%	5.6%	10.0%	5.9%	9.4%
HV 20d	22.6%	19.1%	28.0%	23.1%	27.4%
HV 60d	19.9%	18.7%	23.1%	18.9%	23.1%
IV Rank	58.2%	13.8%	100.0%	27.8%	88.3%
IV Percentile	76.1%	7.1%	100.0%	39.7%	99.3%
Term Structure	0.1%	-3.9%	2.7%	2.4%	-2.1%
VWIV	25.1%	20.7%	34.1%	22.3%	32.7%
Skew 25d	3.7%	2.7%	5.8%	2.7%	5.5%
Skew 10d	6.6%	4.8%	10.6%	6.5%	9.6%
Call IV 25d	23.0%	18.8%	31.6%	19.6%	30.3%
Put IV 25d	26.7%	21.6%	37.3%	22.3%	35.8%
Bid-Ask Spread %	12.32	7.72	20.56	9.84	15.27
Gamma HHI	0.12	0.06	0.23	0.13	0.23
Net GEX	-1.1M	-78.1M	39.5M	-11.1M	-77.9M
Net DEX	-1.55B	-2.70B	36.0M	-1.21B	36.0M
Net VEX	-10.2M	-13.7M	-5.8M	-11.1M	-13.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.19	0.58	6.91	4.24	0.76
Total Volume	129,848.095	19,062	496,530	72,068	69,120
Total OI	2,279,127.048	1,592,398	2,611,436	2,208,592	2,576,684

Daily Data (21 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
2007-07-02	$35.10	$35.00	20.7%	5.9%	23.1%	0.0%	22.3%	2.7%	2.4%	-11.1M	-1.21B	-11.1M	4.24	9.84	13,762	58,306	973,026	1,235,566
2007-07-03	$35.38	$35.00	19.7%	5.6%	23.2%	0.0%	20.7%	2.8%	2.7%	-13.7M	-1.38B	-12.4M	0.58	12.32	12,080	6,982	1,010,008	1,373,432
2007-07-05	$35.29	$35.00	20.5%	5.9%	22.6%	27.8%	20.8%	3.1%	2.2%	-9.0M	-1.40B	-10.5M	1.76	11.80	30,758	54,116	979,470	1,260,336
2007-07-06	$35.77	$35.00	19.0%	6.3%	21.9%	13.8%	22.7%	3.2%	0.3%	1.5M	-1.69B	-10.2M	2.04	9.13	20,218	41,200	991,014	1,284,950
2007-07-09	$36.10	$35.00	20.5%	6.4%	22.0%	27.5%	22.9%	3.2%	0.8%	17.1M	-1.95B	-9.7M	2.35	12.62	43,448	101,914	993,412	1,272,154
2007-07-10	$35.78	$35.00	20.6%	6.5%	22.3%	28.3%	23.1%	3.3%	0.3%	6.5M	-1.76B	-10.2M	1.96	13.42	51,574	100,992	1,014,614	1,317,160
2007-07-11	$35.92	$35.00	20.9%	6.6%	21.6%	31.2%	22.9%	3.5%	0.1%	-5.1M	-1.82B	-10.1M	1.74	12.07	11,322	19,680	1,025,176	1,380,132
2007-07-12	$36.62	$35.00	23.0%	6.6%	21.6%	51.3%	23.3%	3.5%	0.1%	19.8M	-2.31B	-9.4M	1.64	12.59	53,984	88,388	1,029,920	1,384,558
2007-07-13	$36.98	$35.00	22.5%	6.5%	21.1%	46.6%	23.3%	3.1%	0.3%	35.9M	-2.58B	-9.1M	3.06	10.91	41,586	127,314	1,050,488	1,394,736
2007-07-16	$36.50	$35.00	23.6%	6.8%	21.5%	57.0%	23.6%	3.0%	-0.0%	21.7M	-1.37B	-5.8M	1.45	9.74	32,160	46,484	696,978	1,044,514
2007-07-17	$36.02	$35.00	24.0%	6.9%	22.1%	60.7%	23.9%	3.3%	0.2%	29.7M	-2.05B	-9.9M	2.38	11.21	40,498	96,426	1,064,186	1,440,028
2007-07-18	$36.84	$35.50	24.1%	6.9%	23.4%	61.1%	24.6%	3.2%	0.3%	36.2M	-2.53B	-9.3M	1.74	11.79	51,236	89,368	1,073,146	1,472,506
2007-07-19	$37.17	$36.00	24.2%	6.9%	20.4%	62.3%	24.0%	3.2%	0.5%	28.5M	-2.70B	-9.2M	0.69	9.48	41,500	28,826	1,082,840	1,518,014
2007-07-20	$37.00	$36.00	25.0%	7.2%	19.6%	69.7%	25.1%	3.0%	-0.4%	39.5M	-2.60B	-9.5M	1.94	8.06	30,982	60,228	1,088,416	1,523,020
2007-07-23	$37.15	$36.50	24.6%	7.1%	19.1%	66.3%	24.6%	2.9%	-0.1%	4.0M	-1.64B	-9.3M	0.65	10.73	35,198	23,024	797,790	1,045,176
2007-07-24	$36.08	$37.00	24.3%	7.0%	22.0%	63.3%	23.8%	4.8%	0.3%	-3.1M	-1.14B	-6.9M	1.37	7.72	42,620	58,354	676,322	916,076
2007-07-25	$36.65	$37.00	24.5%	7.0%	20.6%	65.3%	25.1%	3.2%	0.5%	-10.4M	-1.37B	-10.2M	1.21	14.37	58,966	71,334	839,102	1,135,656
2007-07-26	$35.27	$37.00	29.4%	8.4%	25.0%	100.0%	30.9%	5.2%	-1.3%	-11.3M	-865.6M	-11.4M	5.59	19.84	61,164	342,026	882,082	1,157,190
2007-07-27	$34.25	$36.50	34.9%	10.0%	27.3%	100.0%	34.1%	5.7%	-3.9%	-43.7M	-201.4M	-12.6M	6.91	20.56	62,734	433,796	896,652	1,373,510
2007-07-30	$34.84	$36.00	32.5%	9.3%	28.0%	85.9%	32.5%	5.8%	-1.7%	-78.1M	-100.0M	-13.6M	1.91	15.33	25,146	47,996	931,054	1,660,574
2007-07-31	$34.50	$36.00	32.9%	9.4%	27.4%	88.3%	32.7%	5.5%	-2.1%	-77.9M	36.0M	-13.7M	0.76	15.27	39,306	29,814	940,754	1,635,930