XLE Options History — March 2008

In March 2008, XLE traded between $35.35 and $38.70. ATM implied volatility averaged 33.4%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 6.2% (HV 20d: 39.6%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.92.

Notable Days

2008-03-20: Highest Volume — 776,724 contracts
2008-03-31: Largest IV spike — 37.1% change
2008-03-10: Highest IV Rank — 97.2%
2008-03-10: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.10	$35.35	$38.70	$38.50	$37.03
Max Pain	$37.48	$37.00	$38.00	$37.00	$37.50
ATM IV	33.4%	25.3%	41.1%	30.7%	34.6%
Expected Move	9.8%	8.5%	11.4%	8.8%	9.9%
HV 20d	39.6%	31.0%	46.8%	33.6%	43.4%
HV 60d	35.2%	32.3%	38.0%	32.4%	37.9%
IV Rank	65.5%	31.8%	97.2%	54.2%	70.6%
IV Percentile	85.1%	43.3%	99.6%	80.2%	90.9%
Term Structure	0.9%	-1.7%	4.3%	2.1%	0.7%
VWIV	34.7%	30.0%	39.7%	30.9%	35.1%
Skew 25d	6.2%	4.1%	8.8%	4.1%	6.0%
Skew 10d	11.3%	8.2%	13.9%	8.9%	9.5%
Call IV 25d	31.2%	27.4%	36.4%	29.6%	31.3%
Put IV 25d	37.3%	32.2%	43.0%	33.7%	37.3%
Bid-Ask Spread %	17.88	8.51	48.23	24.30	14.99
Gamma HHI	0.13	0.09	0.25	0.15	0.09
Net GEX	-129.1M	-256.9M	-64.6M	-75.8M	-88.0M
Net DEX	775.8M	-706.5M	2.93B	-596.4M	740.6M
Net VEX	-15.3M	-17.1M	-14.1M	-14.3M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.92	0.98	6.03	6.03	2.45
Total Volume	260,839.5	82,560	776,724	289,828	140,946
Total OI	3,336,473.9	2,471,476	4,001,864	3,170,744	2,471,476

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
2008-03-03	$38.50	$37.00	30.7%	8.8%	33.6%	54.2%	30.9%	4.1%	2.1%	-75.8M	-596.4M	-14.3M	6.03	24.30	41,238	248,590	1,055,704	2,115,040
2008-03-04	$37.75	$37.00	31.4%	9.0%	34.6%	57.1%	33.8%	4.9%	1.8%	-106.7M	54.0M	-15.0M	2.09	15.03	54,570	114,124	1,063,014	2,205,606
2008-03-05	$38.70	$37.00	29.5%	8.5%	31.0%	49.5%	30.0%	4.8%	2.1%	-73.5M	-706.5M	-14.5M	2.52	8.51	23,422	59,138	1,088,738	2,200,542
2008-03-06	$37.92	$37.00	32.7%	9.4%	31.7%	62.6%	32.9%	5.5%	1.9%	-104.6M	48.6M	-15.3M	5.40	17.30	37,058	200,042	1,098,756	2,202,742
2008-03-07	$36.88	$37.00	35.8%	10.3%	33.4%	75.5%	36.5%	6.5%	0.8%	-145.4M	1.04B	-16.2M	2.68	19.09	83,212	222,814	1,111,158	2,347,886
2008-03-10	$36.42	$37.00	41.1%	11.4%	33.6%	97.2%	39.3%	6.0%	-0.4%	-171.0M	1.69B	-16.7M	3.27	28.12	70,220	229,352	1,157,140	2,482,768
2008-03-11	$38.30	$38.00	27.9%	9.5%	36.8%	42.6%	35.4%	5.3%	-0.6%	-125.0M	-292.7M	-15.7M	5.98	16.04	83,672	499,968	1,196,512	2,612,512
2008-03-12	$37.45	$38.00	32.6%	9.9%	37.9%	62.1%	34.7%	5.0%	-0.8%	-161.0M	650.2M	-17.1M	2.32	14.29	39,656	91,918	1,217,500	2,735,964
2008-03-13	$38.08	$38.00	33.6%	9.6%	37.5%	66.1%	36.2%	5.5%	0.1%	-126.1M	-38.1M	-16.3M	2.56	16.66	45,608	116,638	1,231,458	2,622,854
2008-03-14	$37.38	$38.00	35.0%	10.0%	38.0%	72.0%	34.7%	7.5%	0.2%	-156.1M	641.4M	-16.3M	1.77	16.01	97,486	172,292	1,223,216	2,604,540
2008-03-17	$36.08	$38.00	39.5%	11.3%	40.2%	90.5%	39.7%	7.7%	-1.7%	-226.2M	2.24B	-15.8M	4.60	20.60	71,464	328,604	1,254,044	2,673,156
2008-03-18	$37.65	$37.50	33.3%	9.6%	41.4%	65.1%	33.5%	6.1%	3.1%	-150.9M	271.4M	-15.6M	1.76	21.75	93,964	165,354	1,265,640	2,736,224
2008-03-19	$35.35	$37.50	37.5%	10.8%	46.8%	82.5%	36.4%	6.9%	-0.7%	-256.9M	2.90B	-14.6M	0.98	17.97	213,338	209,176	1,277,036	2,649,226
2008-03-20	$35.41	$37.50	33.8%	9.7%	45.9%	66.9%	34.3%	8.8%	4.3%	-237.3M	2.93B	-14.1M	4.51	48.23	140,982	635,742	1,225,338	2,656,172
2008-03-24	$36.02	$37.50	33.3%	9.5%	46.2%	64.9%	33.7%	6.9%	1.1%	-86.7M	1.15B	-14.2M	1.71	15.44	44,708	76,454	869,436	1,648,762
2008-03-25	$36.38	$37.50	33.0%	9.5%	45.1%	63.8%	34.2%	6.5%	1.2%	-81.8M	1.02B	-14.3M	1.24	11.06	38,656	47,806	892,396	1,651,034
2008-03-26	$37.17	$37.50	33.3%	9.6%	45.4%	65.1%	33.6%	6.6%	1.7%	-64.6M	462.0M	-14.4M	1.26	13.27	90,676	113,838	899,126	1,641,318
2008-03-27	$36.80	$37.50	34.4%	9.9%	45.3%	69.7%	35.1%	6.8%	0.2%	-67.4M	574.0M	-14.8M	2.85	9.36	40,034	113,978	946,702	1,684,528
2008-03-28	$36.70	$37.50	25.3%	9.6%	44.7%	31.8%	33.3%	5.7%	1.6%	-76.8M	744.2M	-15.0M	2.49	9.64	34,438	85,614	965,472	1,748,742
2008-03-31	$37.03	$37.50	34.6%	9.9%	43.4%	70.6%	35.1%	6.0%	0.7%	-88.0M	740.6M	-14.8M	2.45	14.99	40,890	100,056	839,204	1,632,272