XLE Options History — April 2008

In April 2008, XLE traded between $37.73 and $42.29. ATM implied volatility averaged 29.9%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.1% (HV 20d: 29.9%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.70.

Notable Days

2008-04-22: Highest Volume — 497,538 contracts
2008-04-10: Largest IV spike — 9.2% change
2008-04-11: Highest IV Rank — 61.7%
2008-04-09: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.18	$37.73	$42.29	$37.73	$40.88
Max Pain	$38.73	$37.00	$41.00	$37.50	$41.00
ATM IV	29.9%	26.7%	32.5%	32.4%	28.9%
Expected Move	8.8%	8.2%	9.4%	9.3%	8.3%
HV 20d	29.9%	18.0%	43.7%	43.7%	22.4%
HV 60d	35.5%	33.6%	38.1%	38.1%	34.0%
IV Rank	51.0%	37.6%	61.7%	61.2%	47.0%
IV Percentile	66.8%	49.2%	81.7%	81.0%	56.7%
Term Structure	0.4%	-0.9%	3.1%	1.7%	0.8%
VWIV	31.8%	29.6%	33.9%	32.1%	29.6%
Skew 25d	5.9%	4.7%	7.1%	5.2%	5.3%
Skew 10d	10.6%	8.8%	12.9%	10.3%	10.9%
Call IV 25d	27.9%	25.9%	29.7%	29.7%	27.1%
Put IV 25d	33.8%	32.2%	35.6%	34.9%	32.4%
Bid-Ask Spread %	13.57	5.37	30.87	12.82	15.44
Gamma HHI	0.08	0.06	0.10	0.09	0.07
Net GEX	-62.8M	-137.1M	11.9M	-83.9M	-136.2M
Net DEX	-719.9M	-2.29B	384.5M	323.1M	159.5M
Net VEX	-15.1M	-18.3M	-12.9M	-15.1M	-17.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.70	0.71	5.40	0.71	3.44
Total Volume	195,088.091	60,826	497,538	163,290	151,026
Total OI	2,921,904.273	2,326,114	3,263,826	2,570,922	3,213,412

Daily Data (22 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
2008-04-01	$37.73	$37.50	32.4%	9.3%	43.7%	61.2%	32.1%	5.2%	1.7%	-83.9M	323.1M	-15.1M	0.71	12.82	95,334	67,956	864,178	1,706,744
2008-04-02	$38.25	$37.50	30.7%	8.8%	43.5%	54.3%	31.2%	5.6%	2.0%	-69.6M	-97.3M	-15.0M	1.87	9.55	35,290	66,018	895,958	1,726,040
2008-04-03	$38.34	$37.50	28.9%	8.3%	42.5%	46.7%	30.8%	5.0%	3.1%	-69.3M	-136.5M	-15.0M	1.49	16.35	40,718	60,752	916,706	1,740,386
2008-04-04	$38.66	$37.00	26.7%	9.0%	42.0%	37.6%	33.0%	6.5%	1.3%	-54.3M	-520.4M	-15.0M	4.05	24.39	36,778	149,080	970,634	1,786,666
2008-04-07	$38.86	$37.00	28.6%	9.1%	40.6%	45.4%	33.5%	6.0%	-0.3%	-67.2M	-476.7M	-14.7M	1.64	10.69	41,290	67,736	963,188	1,873,642
2008-04-08	$39.30	$37.00	26.8%	8.7%	40.3%	38.1%	32.0%	6.7%	0.0%	-50.7M	-803.5M	-14.6M	1.51	14.13	24,264	36,562	969,878	1,886,546
2008-04-09	$39.38	$37.00	28.9%	9.4%	36.4%	47.0%	32.7%	5.8%	-0.9%	-35.7M	-936.3M	-14.4M	2.10	11.24	58,502	122,680	979,618	1,896,342
2008-04-10	$39.30	$37.00	31.6%	9.1%	35.3%	57.9%	32.2%	6.7%	-0.8%	-48.2M	-859.9M	-14.5M	2.27	15.41	45,828	104,210	1,004,432	1,922,216
2008-04-11	$38.75	$37.50	32.5%	9.3%	35.3%	61.7%	31.8%	6.1%	-0.5%	-68.6M	-439.5M	-14.8M	3.07	10.43	34,048	104,524	1,030,646	1,970,394
2008-04-14	$39.64	$37.50	32.1%	9.2%	35.4%	60.0%	32.8%	6.2%	-0.4%	-19.5M	-1.17B	-13.8M	1.68	10.96	51,294	86,278	1,051,114	1,979,672
2008-04-15	$39.85	$37.50	30.7%	8.8%	32.3%	54.2%	32.1%	6.4%	-0.3%	-15.0M	-1.38B	-13.7M	2.98	9.95	48,626	144,840	1,073,288	1,992,636
2008-04-16	$41.20	$38.50	29.5%	8.4%	31.0%	49.1%	29.6%	7.1%	1.8%	11.9M	-2.10B	-13.2M	4.17	24.36	47,790	199,516	1,079,970	2,097,650
2008-04-17	$41.16	$39.00	29.7%	8.5%	18.3%	50.2%	32.2%	6.7%	1.0%	3.1M	-2.00B	-13.4M	3.21	15.71	44,296	142,380	1,075,738	2,181,204
2008-04-18	$41.80	$39.00	28.7%	8.2%	18.3%	46.1%	31.9%	6.5%	-0.1%	-9.7M	-2.29B	-12.9M	2.57	10.70	102,334	262,616	1,072,710	2,191,116
2008-04-21	$42.27	$40.00	29.9%	8.6%	18.0%	51.0%	32.3%	5.6%	-0.6%	-38.8M	-1.30B	-13.3M	2.33	8.82	71,980	167,866	817,058	1,516,336
2008-04-22	$42.29	$40.00	29.9%	8.6%	18.2%	50.8%	32.5%	6.5%	1.1%	-38.6M	-1.28B	-13.3M	3.69	14.72	106,120	391,418	817,066	1,509,048
2008-04-23	$41.96	$40.50	30.7%	8.8%	18.2%	54.2%	33.9%	6.8%	0.5%	-84.5M	-625.9M	-16.4M	5.40	9.12	55,684	300,850	917,996	1,922,390
2008-04-24	$40.86	$41.00	30.3%	8.7%	20.9%	52.7%	31.1%	4.9%	0.7%	-122.5M	111.7M	-17.8M	3.48	30.87	96,854	336,934	953,202	2,126,254
2008-04-25	$41.44	$41.00	29.3%	8.4%	20.9%	48.3%	30.3%	5.1%	0.1%	-124.8M	-183.8M	-18.3M	1.84	11.63	32,708	60,250	997,892	2,235,284
2008-04-28	$41.51	$41.00	30.2%	8.7%	20.9%	52.3%	30.9%	4.7%	-0.5%	-122.1M	-212.7M	-17.4M	2.66	6.00	21,154	56,186	992,796	2,186,132
2008-04-29	$40.58	$41.00	30.9%	8.9%	22.6%	55.2%	31.5%	5.0%	-0.2%	-137.1M	384.5M	-17.6M	3.15	5.37	29,280	92,088	999,228	2,178,488
2008-04-30	$40.88	$41.00	28.9%	8.3%	22.4%	47.0%	29.6%	5.3%	0.8%	-136.2M	159.5M	-17.4M	3.44	15.44	34,036	116,990	1,013,028	2,200,384