XLE Options History — February 2008

In February 2008, XLE traded between $33.76 and $39.33. ATM implied volatility averaged 29.8%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.9% (HV 20d: 34.7%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.73.

Notable Days

2008-02-12: Highest Volume — 525,574 contracts
2008-02-14: Largest IV spike — 34.9% change
2008-02-05: Highest IV Rank — 70.3%
2008-02-05: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.68	$33.76	$39.33	$35.67	$38.02
Max Pain	$36.45	$36.00	$37.00	$36.00	$36.50
ATM IV	29.8%	22.7%	34.6%	31.9%	31.0%
Expected Move	8.9%	7.8%	10.2%	9.2%	8.9%
HV 20d	34.7%	31.1%	39.5%	36.5%	34.3%
HV 60d	32.8%	31.2%	35.5%	35.5%	32.4%
IV Rank	50.4%	21.3%	70.3%	59.3%	55.6%
IV Percentile	75.3%	40.9%	92.9%	86.9%	81.7%
Term Structure	0.3%	-1.7%	2.2%	0.6%	1.2%
VWIV	31.6%	27.3%	35.2%	31.3%	30.8%
Skew 25d	6.0%	4.8%	7.3%	5.4%	5.6%
Skew 10d	11.4%	9.9%	13.6%	10.6%	9.9%
Call IV 25d	28.1%	25.1%	32.3%	28.4%	28.7%
Put IV 25d	34.2%	30.5%	38.9%	33.8%	34.3%
Bid-Ask Spread %	16.08	10.15	33.45	19.44	14.16
Gamma HHI	0.16	0.11	0.20	0.11	0.17
Net GEX	-100.0M	-144.7M	-48.1M	-100.2M	-84.5M
Net DEX	570.1M	-1.19B	2.52B	1.22B	-245.7M
Net VEX	-14.2M	-15.1M	-13.4M	-14.4M	-15.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.65	5.80	1.31	2.09
Total Volume	156,528.7	77,138	525,574	150,194	138,662
Total OI	3,004,030.4	2,634,092	3,372,010	2,777,314	3,122,616

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
2008-02-01	$35.67	$36.00	31.9%	9.2%	36.5%	59.3%	31.3%	5.4%	0.6%	-100.2M	1.22B	-14.4M	1.31	19.44	65,020	85,174	969,222	1,808,092
2008-02-04	$35.70	$36.50	32.1%	9.9%	34.6%	60.1%	34.3%	6.8%	-0.6%	-96.7M	1.07B	-14.1M	1.79	12.74	62,318	111,336	991,828	1,805,386
2008-02-05	$34.23	$36.50	34.6%	10.2%	37.2%	70.3%	34.9%	7.3%	-0.4%	-108.7M	2.03B	-13.9M	4.09	12.48	28,802	117,840	1,024,060	1,878,656
2008-02-06	$33.76	$36.50	34.1%	10.2%	37.0%	68.4%	35.2%	6.3%	-0.0%	-116.5M	2.52B	-13.4M	1.56	12.54	68,610	107,168	1,030,980	1,901,590
2008-02-07	$34.42	$36.50	31.4%	9.7%	37.5%	57.1%	34.5%	6.3%	0.3%	-122.8M	2.29B	-14.1M	1.26	14.15	37,374	47,208	1,069,630	1,950,810
2008-02-08	$34.92	$36.50	28.3%	9.3%	38.2%	44.3%	32.7%	6.2%	-0.3%	-129.5M	1.88B	-14.2M	1.10	15.76	42,200	46,526	1,076,404	1,974,528
2008-02-11	$35.83	$36.50	28.9%	9.0%	39.5%	47.0%	33.2%	5.9%	0.3%	-117.6M	1.03B	-14.1M	1.60	14.04	29,678	47,460	1,095,796	1,994,454
2008-02-12	$35.80	$36.50	30.2%	9.0%	38.6%	52.4%	33.5%	5.5%	0.1%	-114.2M	996.2M	-13.8M	5.80	11.59	77,254	448,320	1,086,344	1,971,234
2008-02-13	$36.67	$36.50	22.7%	8.4%	37.0%	21.3%	29.9%	5.2%	0.1%	-131.5M	467.2M	-14.4M	1.31	27.48	68,640	89,924	1,114,278	2,167,738
2008-02-14	$36.36	$36.50	30.7%	8.8%	35.0%	54.1%	30.5%	5.7%	0.3%	-126.1M	555.6M	-14.6M	0.65	16.22	80,724	52,616	1,127,938	2,202,162
2008-02-15	$36.42	$36.50	29.2%	8.4%	31.8%	48.2%	30.3%	5.5%	0.9%	-144.7M	509.2M	-14.6M	0.76	19.06	69,022	52,322	1,144,610	2,227,400
2008-02-19	$37.63	$36.50	29.5%	8.5%	33.4%	49.2%	30.7%	6.4%	-0.5%	-87.2M	106.7M	-13.8M	1.21	11.63	65,924	79,886	864,658	1,769,434
2008-02-20	$38.08	$36.50	28.0%	8.0%	31.1%	43.2%	31.0%	6.6%	0.2%	-76.6M	-182.4M	-13.9M	1.59	15.32	77,618	123,344	895,350	1,826,386
2008-02-21	$37.03	$36.50	31.1%	8.9%	33.4%	55.8%	31.9%	6.7%	-0.5%	-97.1M	405.0M	-14.6M	2.30	14.02	65,100	149,580	928,320	1,882,106
2008-02-22	$37.45	$36.50	29.4%	8.4%	31.6%	48.7%	31.3%	7.3%	0.9%	-97.5M	201.1M	-15.1M	1.60	23.14	51,430	82,350	960,670	1,981,630
2008-02-25	$38.52	$37.00	28.9%	8.1%	31.7%	47.0%	30.4%	6.7%	1.2%	-74.6M	-528.2M	-14.1M	1.12	13.80	84,342	94,564	979,332	2,007,140
2008-02-26	$39.17	$36.00	28.3%	8.6%	31.3%	44.5%	30.3%	5.5%	-1.7%	-57.9M	-1.03B	-13.7M	0.85	33.45	64,148	54,312	1,013,430	2,047,060
2008-02-27	$38.66	$36.00	27.6%	7.9%	31.9%	41.6%	27.3%	4.8%	2.2%	-68.6M	-711.5M	-14.2M	1.09	10.49	39,626	43,052	1,027,140	2,058,658
2008-02-28	$39.33	$36.50	27.4%	7.8%	31.6%	40.4%	27.6%	5.1%	2.0%	-48.1M	-1.19B	-13.8M	1.58	10.15	31,408	49,692	1,041,450	2,062,088
2008-02-29	$38.02	$36.50	31.0%	8.9%	34.3%	55.6%	30.8%	5.6%	1.2%	-84.5M	-245.7M	-15.0M	2.09	14.16	44,886	93,776	1,048,630	2,073,986