XLE Options History — October 2007

In October 2007, XLE traded between $36.77 and $39.05. ATM implied volatility averaged 25.5%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.5% (HV 20d: 21.0%). Max pain ranged from $36.50 to $38.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.17.

Notable Days

2007-10-31: Highest Volume — 271,488 contracts
2007-10-11: Largest IV spike — 23.8% change
2007-10-19: Highest IV Rank — 66.1%
2007-10-19: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.97	$36.77	$39.05	$38.05	$38.35
Max Pain	$37.89	$36.50	$38.50	$36.50	$38.00
ATM IV	25.5%	21.3%	30.2%	22.5%	27.0%
Expected Move	7.5%	6.4%	8.6%	6.4%	7.7%
HV 20d	21.0%	16.3%	28.0%	19.6%	28.0%
HV 60d	26.0%	24.5%	26.8%	26.6%	25.7%
IV Rank	41.8%	19.5%	66.1%	25.7%	49.3%
IV Percentile	73.5%	40.4%	91.5%	52.9%	83.7%
Term Structure	0.9%	-1.0%	2.7%	2.7%	0.8%
VWIV	26.5%	23.1%	29.5%	23.1%	26.7%
Skew 25d	4.0%	3.4%	4.7%	3.9%	3.4%
Skew 10d	7.5%	6.5%	8.9%	8.0%	6.5%
Call IV 25d	24.1%	20.9%	27.6%	20.9%	25.5%
Put IV 25d	28.2%	24.7%	31.9%	24.7%	29.0%
Bid-Ask Spread %	6.73	4.38	11.90	5.37	8.44
Gamma HHI	0.09	0.07	0.14	0.07	0.09
Net GEX	-22.9M	-66.5M	4.4M	-11.5M	-35.8M
Net DEX	-1.58B	-2.42B	-615.2M	-1.68B	-1.41B
Net VEX	-14.2M	-15.8M	-11.8M	-11.8M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.47	11.20	0.47	1.31
Total Volume	136,023.304	49,482	271,488	63,660	271,488
Total OI	2,926,477.043	2,421,840	3,343,302	2,421,840	3,015,764

Daily Data (23 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
2007-10-01	$38.05	$36.50	22.5%	6.4%	19.6%	25.7%	23.1%	3.9%	2.7%	-11.5M	-1.68B	-11.8M	0.47	5.37	43,280	20,380	956,184	1,465,656
2007-10-02	$37.45	$36.50	23.9%	6.9%	20.1%	33.2%	24.4%	4.7%	2.4%	-14.7M	-1.47B	-12.3M	1.67	5.54	92,974	154,998	979,166	1,475,266
2007-10-03	$37.23	$37.00	24.4%	7.0%	20.1%	35.8%	23.7%	4.1%	2.0%	-27.6M	-1.25B	-13.7M	1.05	4.75	68,040	71,116	1,047,878	1,612,828
2007-10-04	$37.38	$37.00	23.1%	6.6%	19.6%	28.8%	24.7%	4.0%	2.5%	-20.4M	-1.42B	-13.5M	1.17	5.08	101,690	118,564	1,078,966	1,635,378
2007-10-05	$37.55	$38.50	21.4%	7.0%	17.5%	19.8%	26.6%	4.0%	1.0%	-7.6M	-1.66B	-13.3M	1.83	4.38	66,860	122,048	1,134,810	1,655,974
2007-10-08	$37.17	$38.00	23.6%	7.4%	18.0%	31.5%	25.5%	3.9%	0.2%	-16.9M	-1.43B	-14.0M	11.20	4.54	17,202	192,654	1,153,588	1,684,362
2007-10-09	$37.92	$38.00	21.3%	7.1%	18.4%	19.5%	25.3%	3.8%	0.8%	-16.6M	-1.67B	-14.3M	0.61	5.52	45,372	27,770	1,130,736	1,813,146
2007-10-10	$38.41	$38.00	21.6%	7.2%	18.7%	20.9%	26.1%	4.0%	1.0%	-3.3M	-2.01B	-13.6M	2.89	5.13	46,510	134,638	1,138,670	1,783,636
2007-10-11	$38.23	$38.00	26.7%	7.7%	18.9%	47.9%	26.6%	4.4%	0.3%	-20.9M	-1.80B	-14.7M	0.61	6.74	125,280	76,998	1,159,134	1,899,896
2007-10-12	$38.59	$38.00	25.5%	7.3%	19.0%	41.5%	25.2%	4.1%	1.2%	-12.9M	-2.09B	-14.4M	2.07	8.29	32,896	68,208	1,195,650	1,933,692
2007-10-15	$38.90	$38.00	26.8%	7.7%	19.1%	48.6%	28.4%	4.4%	0.7%	-9.8M	-2.31B	-14.5M	1.25	5.81	41,024	51,268	1,219,862	1,982,282
2007-10-16	$39.00	$38.50	27.3%	7.8%	16.3%	51.2%	28.1%	4.5%	0.4%	-10.0M	-2.36B	-14.1M	1.05	6.56	47,550	49,912	1,210,604	2,009,514
2007-10-17	$38.75	$38.50	27.0%	7.7%	16.4%	49.5%	26.7%	4.1%	0.9%	-4.6M	-2.20B	-14.5M	1.55	7.88	29,696	46,082	1,238,174	2,036,790
2007-10-18	$39.05	$38.50	26.7%	7.7%	16.5%	48.1%	27.2%	4.3%	1.2%	4.4M	-2.42B	-14.2M	0.92	7.20	61,394	56,256	1,243,606	2,046,824
2007-10-19	$37.20	$38.50	30.2%	8.6%	24.3%	66.1%	29.0%	4.3%	-0.5%	-66.5M	-737.9M	-15.8M	1.15	11.90	96,308	110,762	1,277,004	2,066,298
2007-10-22	$36.77	$38.00	28.1%	8.1%	24.6%	55.3%	27.9%	3.7%	0.4%	-48.6M	-615.2M	-15.5M	1.85	7.55	29,164	54,026	1,086,704	1,751,246
2007-10-23	$37.30	$38.00	26.2%	7.5%	24.5%	45.4%	26.6%	3.9%	1.0%	-48.7M	-860.2M	-15.3M	4.46	7.96	29,532	131,590	1,092,540	1,777,788
2007-10-24	$37.55	$38.00	26.6%	7.6%	24.6%	47.2%	26.8%	4.0%	0.7%	-38.9M	-1.13B	-14.8M	1.38	8.91	21,472	29,698	1,108,566	1,745,666
2007-10-25	$37.90	$38.00	25.9%	7.4%	24.4%	43.9%	26.8%	4.2%	1.1%	-29.1M	-1.39B	-14.4M	1.24	8.80	22,054	27,428	1,115,024	1,708,352
2007-10-26	$38.48	$38.00	25.7%	7.4%	24.6%	42.5%	26.2%	3.5%	0.7%	-22.4M	-1.69B	-14.0M	1.72	5.68	25,652	44,176	1,121,704	1,712,530
2007-10-29	$38.66	$38.00	26.9%	7.7%	24.0%	48.9%	29.1%	3.9%	-0.1%	-21.0M	-1.80B	-13.7M	3.17	6.40	20,592	65,330	1,133,052	1,738,368
2007-10-30	$37.34	$38.00	29.0%	8.3%	26.5%	59.9%	29.5%	3.8%	-1.0%	-42.9M	-1.02B	-14.7M	5.35	6.40	21,816	116,788	1,148,004	1,788,090
2007-10-31	$38.35	$38.00	27.0%	7.7%	28.0%	49.3%	26.7%	3.4%	0.8%	-35.8M	-1.41B	-14.8M	1.31	8.44	117,714	153,774	1,159,242	1,856,522