XLE Options History — May 2008

In May 2008, XLE traded between $39.98 and $45.20. ATM implied volatility averaged 27.8%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.9% (HV 20d: 26.9%). Max pain ranged from $36.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.63.

Notable Days

2008-05-20: Highest Volume — 874,306 contracts
2008-05-30: Largest IV spike — 87.8% change
2008-05-27: Highest IV Rank — 64.3%
2008-05-27: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.82	$39.98	$45.20	$39.98	$43.00
Max Pain	$41.45	$36.00	$44.00	$41.00	$44.00
ATM IV	27.8%	15.9%	33.1%	29.8%	29.9%
Expected Move	8.2%	3.1%	9.6%	8.6%	8.6%
HV 20d	26.9%	24.1%	29.1%	24.1%	27.8%
HV 60d	32.8%	31.9%	33.5%	33.1%	32.0%
IV Rank	42.8%	0.0%	64.3%	50.7%	54.2%
IV Percentile	51.0%	0.0%	83.7%	63.5%	62.7%
Term Structure	1.6%	-0.2%	19.4%	0.4%	0.1%
VWIV	31.2%	27.6%	46.3%	31.4%	30.4%
Skew 25d	5.1%	3.5%	13.4%	3.9%	3.5%
Skew 10d	8.9%	7.1%	13.5%	8.1%	7.1%
Call IV 25d	26.6%	12.2%	31.8%	28.2%	28.0%
Put IV 25d	31.7%	25.6%	36.1%	32.2%	31.6%
Bid-Ask Spread %	10.82	5.63	27.54	8.97	12.07
Gamma HHI	0.09	0.07	0.12	0.07	0.10
Net GEX	-118.9M	-222.5M	-14.9M	-153.3M	-222.5M
Net DEX	-685.9M	-2.86B	1.10B	850.2M	921.4M
Net VEX	-20.0M	-26.0M	-16.0M	-17.6M	-25.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.63	0.68	13.82	6.94	1.40
Total Volume	350,665.81	84,774	874,306	595,234	557,814
Total OI	3,895,789.524	3,230,292	4,857,200	3,230,292	4,857,200

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
2008-05-01	$39.98	$41.00	29.8%	8.6%	24.1%	50.7%	31.4%	3.9%	0.4%	-153.3M	850.2M	-17.6M	6.94	8.97	74,958	520,276	1,019,544	2,210,748
2008-05-02	$40.73	$40.50	26.7%	7.6%	24.7%	37.4%	27.6%	5.2%	1.0%	-157.0M	273.6M	-17.7M	1.25	9.61	37,710	47,064	1,041,564	2,286,242
2008-05-05	$41.33	$41.00	27.0%	7.9%	25.1%	38.8%	28.6%	4.8%	0.1%	-138.1M	-237.2M	-16.8M	3.27	14.02	25,008	81,660	1,048,390	2,242,548
2008-05-06	$42.42	$41.00	26.1%	7.9%	26.3%	34.9%	27.9%	4.6%	0.1%	-111.4M	-1.06B	-16.0M	0.77	8.90	141,678	109,688	1,052,446	2,257,790
2008-05-07	$41.63	$41.00	27.2%	8.3%	27.5%	39.5%	28.5%	5.2%	0.1%	-114.9M	-721.0M	-17.1M	1.06	18.50	83,650	88,802	1,151,986	2,261,284
2008-05-08	$42.47	$41.00	26.7%	8.3%	28.0%	37.4%	29.8%	5.2%	0.4%	-86.8M	-1.39B	-17.0M	2.16	6.80	95,366	206,314	1,181,112	2,285,566
2008-05-09	$42.38	$41.00	26.3%	8.4%	27.3%	35.9%	28.8%	5.3%	0.8%	-112.2M	-1.13B	-18.1M	0.68	8.32	135,588	92,426	1,230,438	2,438,512
2008-05-12	$42.15	$41.00	29.9%	8.8%	26.7%	50.9%	32.0%	4.8%	0.3%	-94.1M	-1.23B	-18.1M	10.76	7.36	26,518	285,430	1,333,110	2,468,036
2008-05-13	$42.84	$41.00	24.9%	8.5%	27.1%	30.3%	31.4%	5.4%	0.9%	-84.2M	-1.51B	-18.4M	3.99	10.14	39,554	157,880	1,327,764	2,626,512
2008-05-14	$42.35	$41.00	23.1%	8.3%	25.2%	22.8%	30.2%	4.4%	0.8%	-130.4M	-997.0M	-19.2M	2.51	8.79	62,850	157,838	1,348,010	2,713,626
2008-05-15	$42.91	$41.00	28.9%	8.3%	25.5%	46.9%	30.3%	5.3%	0.9%	-66.1M	-1.77B	-18.9M	1.94	9.36	105,458	204,580	1,377,122	2,760,026
2008-05-16	$44.48	$41.50	27.5%	7.9%	27.8%	40.8%	28.9%	4.5%	1.1%	-14.9M	-2.86B	-17.9M	8.14	5.63	90,972	740,844	1,422,646	2,805,524
2008-05-19	$44.75	$41.50	28.1%	8.1%	27.7%	43.4%	29.0%	4.5%	1.2%	-67.5M	-1.78B	-19.4M	2.51	7.62	80,928	203,168	1,201,554	2,383,454
2008-05-20	$45.20	$42.00	29.2%	8.4%	27.8%	47.9%	30.6%	4.6%	0.7%	-71.7M	-1.88B	-20.0M	13.82	7.59	58,980	815,326	1,250,374	2,536,014
2008-05-21	$44.52	$42.00	30.7%	8.8%	28.3%	54.2%	32.6%	4.9%	1.9%	-101.4M	-1.06B	-22.3M	2.21	11.14	178,314	394,644	1,288,116	2,677,120
2008-05-22	$43.88	$42.50	31.2%	8.9%	26.9%	56.3%	30.9%	4.3%	1.5%	-130.4M	-515.2M	-23.7M	3.50	13.50	107,108	374,878	1,358,190	2,844,124
2008-05-23	$43.13	$42.50	31.2%	9.0%	27.6%	56.4%	31.4%	4.3%	1.3%	-176.8M	592.8M	-26.0M	4.10	6.90	67,696	277,346	1,421,760	3,125,030
2008-05-27	$42.85	$44.00	33.1%	9.6%	27.7%	64.3%	35.8%	4.3%	-0.1%	-197.5M	1.10B	-25.9M	1.95	13.19	55,930	109,076	1,459,448	3,214,016
2008-05-28	$43.76	$44.00	31.2%	9.1%	27.0%	56.3%	32.3%	4.4%	-0.2%	-179.3M	63.1M	-25.2M	2.02	11.23	85,100	172,282	1,479,646	3,217,930
2008-05-29	$42.56	$36.00	15.9%	3.1%	29.1%	0.0%	46.3%	13.4%	19.4%	-86.1M	-59.7M	-19.6M	1.29	27.54	93,030	120,250	1,331,812	2,275,246
2008-05-30	$43.00	$44.00	29.9%	8.6%	27.8%	54.2%	30.4%	3.5%	0.1%	-222.5M	921.4M	-25.4M	1.40	12.07	232,104	325,710	1,524,542	3,332,658