XLE Options History — January 2008

In January 2008, XLE traded between $33.48 and $40.22. ATM implied volatility averaged 33.0%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.2% (HV 20d: 29.8%). Max pain ranged from $35.50 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.62.

Notable Days

2008-01-23: Highest Volume — 649,390 contracts
2008-01-25: Largest IV spike — 16.5% change
2008-01-28: Highest IV Rank — 95.2%
2008-01-28: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.52	$33.48	$40.22	$39.75	$34.80
Max Pain	$38.26	$35.50	$40.00	$35.50	$36.00
ATM IV	33.0%	25.8%	40.6%	26.8%	31.1%
Expected Move	9.5%	7.4%	11.6%	7.7%	8.9%
HV 20d	29.8%	23.4%	35.4%	25.2%	35.3%
HV 60d	34.8%	33.2%	36.4%	33.2%	35.1%
IV Rank	63.7%	33.8%	95.2%	38.1%	55.8%
IV Percentile	88.6%	64.7%	99.6%	73.7%	84.5%
Term Structure	-0.6%	-4.6%	3.0%	1.3%	2.6%
VWIV	33.3%	26.4%	40.5%	27.6%	33.0%
Skew 25d	4.8%	1.5%	8.3%	4.4%	5.7%
Skew 10d	8.5%	3.3%	12.8%	8.0%	12.8%
Call IV 25d	30.5%	23.7%	37.1%	24.6%	29.7%
Put IV 25d	35.3%	28.1%	42.5%	29.0%	35.4%
Bid-Ask Spread %	21.93	7.93	57.03	7.93	27.46
Gamma HHI	0.10	0.07	0.15	0.07	0.11
Net GEX	-61.0M	-113.3M	12.5M	12.5M	-103.4M
Net DEX	392.5M	-2.03B	2.23B	-1.98B	1.57B
Net VEX	-12.3M	-14.3M	-10.6M	-10.6M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	1.08	5.65	2.53	2.12
Total Volume	258,009.81	60,988	649,390	294,146	113,902
Total OI	2,757,778.095	2,022,556	3,432,004	2,547,646	2,777,490

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
2008-01-02	$39.75	$35.50	26.8%	7.7%	25.2%	38.1%	27.6%	4.4%	1.3%	12.5M	-1.98B	-10.6M	2.53	7.93	83,440	210,706	1,034,226	1,513,420
2008-01-03	$40.22	$36.00	25.8%	7.4%	24.8%	33.8%	26.4%	4.4%	3.0%	5.0M	-2.03B	-11.4M	1.44	19.06	56,504	81,084	1,074,008	1,647,756
2008-01-04	$38.75	$40.00	27.6%	8.4%	28.0%	41.3%	28.8%	5.3%	0.5%	-12.8M	-1.28B	-12.3M	1.16	12.06	44,044	51,124	1,086,486	1,736,296
2008-01-07	$38.60	$40.00	30.6%	8.6%	26.5%	53.6%	31.2%	5.5%	-0.1%	-27.0M	-900.6M	-12.3M	5.65	24.12	35,868	202,608	1,081,894	1,751,500
2008-01-08	$37.92	$40.00	29.8%	9.1%	27.2%	50.4%	30.6%	1.5%	-0.0%	-40.4M	-558.4M	-12.5M	4.48	36.66	31,004	138,848	1,088,392	1,804,036
2008-01-09	$38.42	$40.00	28.0%	8.7%	27.3%	43.0%	30.4%	4.9%	0.3%	-33.2M	-845.5M	-12.6M	1.71	16.87	31,414	53,732	1,095,676	1,830,644
2008-01-10	$38.27	$40.00	30.3%	8.7%	25.8%	52.6%	30.7%	4.6%	0.1%	-49.6M	-613.7M	-12.8M	2.62	20.88	45,492	118,962	1,102,060	1,924,024
2008-01-11	$37.80	$40.00	29.5%	8.5%	23.4%	49.2%	29.7%	4.4%	-0.5%	-66.5M	-233.4M	-12.6M	2.14	13.00	51,200	109,642	1,110,134	1,962,630
2008-01-14	$38.55	$40.00	28.6%	8.2%	24.5%	45.6%	28.9%	3.8%	0.1%	-41.7M	-800.8M	-12.1M	1.08	14.19	29,382	31,606	1,127,088	1,953,038
2008-01-15	$36.95	$40.00	30.3%	8.7%	28.2%	52.7%	30.0%	4.0%	-0.1%	-90.6M	255.2M	-11.9M	1.57	17.64	51,102	80,002	1,131,620	1,954,018
2008-01-16	$35.73	$40.00	33.7%	9.7%	29.9%	66.8%	31.9%	3.4%	-1.6%	-104.9M	1.16B	-11.6M	3.06	14.88	157,724	483,304	1,140,410	1,963,938
2008-01-17	$34.38	$40.00	39.2%	11.2%	32.1%	89.5%	38.7%	4.3%	-2.1%	-85.1M	2.02B	-11.0M	4.01	11.88	107,398	430,158	1,214,664	1,996,128
2008-01-18	$34.45	$39.00	36.7%	10.5%	31.8%	79.1%	37.0%	4.6%	-1.7%	-113.3M	2.23B	-11.5M	2.94	29.69	99,134	291,158	1,258,876	2,173,128
2008-01-22	$33.48	$38.50	39.3%	11.3%	32.1%	89.7%	39.2%	5.3%	-3.1%	-82.1M	2.04B	-11.2M	3.48	11.95	51,694	179,988	693,944	1,401,886
2008-01-23	$33.78	$38.00	39.7%	11.4%	30.7%	91.4%	40.5%	5.4%	-4.6%	-69.8M	1.81B	-11.0M	2.10	20.48	209,270	440,120	706,808	1,315,748
2008-01-24	$34.98	$36.50	34.4%	9.9%	34.0%	69.8%	35.2%	5.4%	-2.1%	-68.2M	1.22B	-12.1M	1.20	14.58	129,354	155,430	811,984	1,364,250
2008-01-25	$34.35	$36.00	40.1%	11.5%	33.6%	93.3%	37.2%	7.6%	-0.3%	-54.5M	1.29B	-12.4M	2.72	36.52	133,894	364,182	872,786	1,373,090
2008-01-28	$35.13	$36.00	40.6%	11.6%	35.3%	95.2%	39.4%	8.3%	-3.5%	-75.7M	1.24B	-13.8M	3.24	57.03	49,386	159,976	910,040	1,608,538
2008-01-29	$35.52	$36.00	35.6%	10.2%	35.4%	74.6%	36.4%	5.5%	-0.1%	-87.1M	1.22B	-14.3M	2.23	20.59	43,040	96,194	920,278	1,715,658
2008-01-30	$35.08	$36.00	35.2%	10.1%	35.4%	72.7%	35.7%	2.4%	-1.1%	-92.3M	1.44B	-14.1M	3.58	33.01	40,460	144,676	942,376	1,742,374
2008-01-31	$34.80	$36.00	31.1%	8.9%	35.3%	55.8%	33.0%	5.7%	2.6%	-103.4M	1.57B	-14.2M	2.12	27.46	36,560	77,342	961,298	1,816,192