XLE Options History — July 2008

In July 2008, XLE traded between $36.61 and $44.42. ATM implied volatility averaged 37.1%, placing in the 81.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.2% (HV 20d: 32.9%). Max pain ranged from $40.00 to $43.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.47.

Notable Days

2008-07-23: Highest Volume — 837,828 contracts
2008-07-02: Largest IV spike — 14.3% change
2008-07-24: Highest IV Rank — 95.3%
2008-07-24: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.43	$36.61	$44.42	$44.42	$37.20
Max Pain	$42.05	$40.00	$43.50	$43.00	$40.00
ATM IV	37.1%	29.9%	40.5%	29.9%	38.4%
Expected Move	10.7%	8.6%	11.6%	8.6%	11.0%
HV 20d	32.9%	27.6%	41.8%	32.9%	41.8%
HV 60d	31.3%	28.5%	34.9%	28.5%	34.9%
IV Rank	81.9%	54.0%	95.3%	54.0%	87.0%
IV Percentile	91.7%	53.6%	98.8%	53.6%	92.9%
Term Structure	-0.8%	-2.8%	2.9%	2.9%	-0.7%
VWIV	37.3%	31.3%	41.3%	31.3%	37.9%
Skew 25d	4.7%	3.1%	6.0%	4.1%	4.8%
Skew 10d	8.5%	5.7%	11.6%	7.8%	9.0%
Call IV 25d	35.1%	28.0%	38.8%	28.0%	36.2%
Put IV 25d	39.9%	32.0%	43.9%	32.0%	41.0%
Bid-Ask Spread %	13.62	5.72	48.44	5.72	6.09
Gamma HHI	0.10	0.07	0.13	0.07	0.09
Net GEX	-184.6M	-270.9M	-102.4M	-102.4M	-197.6M
Net DEX	3.56B	-909.5M	6.59B	-909.5M	4.31B
Net VEX	-24.0M	-28.4M	-20.3M	-27.8M	-22.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	0.29	9.63	1.66	1.04
Total Volume	384,815.818	160,178	837,828	294,674	193,846
Total OI	4,841,544.545	4,099,538	5,426,010	4,671,522	5,214,824

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
2008-07-01	$44.42	$43.00	29.9%	8.6%	32.9%	54.0%	31.3%	4.1%	2.9%	-102.4M	-909.5M	-27.8M	1.66	5.72	110,984	183,690	1,619,798	3,051,724
2008-07-02	$43.09	$43.00	34.2%	9.8%	34.4%	70.6%	33.6%	4.7%	2.1%	-129.4M	446.0M	-28.3M	2.12	9.02	76,768	162,370	1,619,558	2,943,948
2008-07-03	$42.45	$43.00	33.9%	9.7%	29.5%	69.6%	33.8%	3.8%	1.7%	-160.1M	1.29B	-28.4M	1.70	7.44	87,426	148,956	1,637,544	3,003,004
2008-07-07	$41.38	$43.50	35.7%	10.9%	30.0%	76.5%	39.4%	6.0%	-1.2%	-193.6M	2.55B	-27.5M	3.97	9.80	102,654	407,310	1,664,726	3,057,948
2008-07-08	$40.70	$43.50	34.8%	10.4%	28.1%	73.0%	35.7%	5.4%	-0.3%	-212.3M	3.34B	-26.3M	2.92	13.59	187,286	546,752	1,702,654	3,010,478
2008-07-09	$39.92	$43.00	35.5%	10.4%	27.6%	75.6%	34.9%	5.0%	-0.6%	-230.8M	4.49B	-25.8M	1.69	11.02	118,822	200,786	1,780,710	3,147,648
2008-07-10	$41.15	$43.00	35.5%	10.2%	30.0%	75.8%	35.6%	4.6%	-0.2%	-184.0M	2.42B	-26.0M	1.62	16.69	168,724	273,766	1,805,120	2,940,442
2008-07-11	$40.90	$42.50	36.6%	10.5%	29.7%	80.2%	37.5%	5.5%	-1.4%	-198.6M	2.66B	-25.9M	2.83	21.63	122,622	347,550	1,873,496	3,043,144
2008-07-14	$41.17	$42.50	37.3%	10.7%	29.4%	82.7%	36.1%	4.6%	-0.6%	-223.4M	2.83B	-20.3M	1.04	11.54	102,826	106,640	1,544,766	2,950,420
2008-07-15	$39.44	$42.50	39.6%	11.3%	32.6%	91.5%	39.5%	4.8%	-1.1%	-264.9M	4.69B	-24.1M	4.15	37.02	77,542	321,746	1,943,626	3,190,634
2008-07-16	$38.42	$42.50	38.9%	11.2%	32.4%	89.0%	38.5%	5.3%	-0.9%	-270.9M	5.93B	-23.0M	1.94	16.53	167,028	324,320	1,952,810	3,306,738
2008-07-17	$37.79	$42.50	38.8%	11.1%	32.3%	88.6%	39.6%	3.6%	-0.6%	-237.5M	6.59B	-22.0M	1.77	48.44	143,842	254,656	2,051,886	3,349,858
2008-07-18	$38.45	$42.50	38.7%	11.1%	32.9%	88.2%	39.7%	4.8%	-0.1%	-143.9M	5.85B	-22.5M	1.72	17.97	139,328	239,078	2,103,966	3,322,044
2008-07-21	$39.60	$42.00	38.6%	11.1%	35.2%	87.7%	38.9%	4.4%	-2.6%	-127.5M	2.44B	-23.4M	1.41	10.78	107,088	151,382	1,591,544	2,507,994
2008-07-22	$38.28	$42.00	36.5%	10.5%	32.8%	79.8%	35.7%	3.4%	-1.1%	-139.6M	3.57B	-22.2M	9.63	6.59	48,986	471,826	1,657,238	2,615,072
2008-07-23	$36.90	$41.50	38.8%	11.1%	34.2%	88.4%	38.7%	3.1%	-2.2%	-124.1M	4.29B	-20.4M	7.91	13.69	94,016	743,812	1,685,794	2,584,502
2008-07-24	$36.80	$41.00	40.5%	11.6%	34.3%	95.3%	41.3%	5.1%	-2.4%	-176.3M	4.84B	-21.8M	1.93	7.57	216,780	418,792	1,723,694	2,984,690
2008-07-25	$36.91	$41.00	38.7%	11.1%	34.5%	88.1%	39.2%	5.8%	-2.1%	-189.8M	4.61B	-22.9M	1.06	7.09	93,562	99,082	1,847,178	3,164,402
2008-07-28	$37.05	$40.50	40.1%	11.5%	34.2%	93.5%	38.9%	5.5%	-2.8%	-191.7M	4.61B	-22.3M	0.29	8.03	123,958	36,220	1,884,778	3,168,792
2008-07-29	$36.61	$40.00	38.6%	11.1%	33.2%	87.9%	37.9%	5.3%	-2.4%	-193.3M	4.94B	-21.2M	0.74	7.23	118,204	87,908	1,925,302	3,168,062
2008-07-30	$38.79	$40.00	36.2%	10.4%	40.8%	78.5%	37.5%	4.4%	-1.1%	-168.5M	2.64B	-23.7M	1.19	6.22	154,016	182,998	1,973,728	3,197,696
2008-07-31	$37.20	$40.00	38.4%	11.0%	41.8%	87.0%	37.9%	4.8%	-0.7%	-197.6M	4.31B	-22.3M	1.04	6.09	94,946	98,900	1,990,088	3,224,736