XLE Options History — August 2008

In August 2008, XLE traded between $34.95 and $38.19. ATM implied volatility averaged 33.5%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 8.3% (HV 20d: 41.8%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.76.

Notable Days

2008-08-15: Highest Volume — 653,022 contracts
2008-08-14: Largest IV spike — 20.2% change
2008-08-04: Highest IV Rank — 100.0%
2008-08-04: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.52	$34.95	$38.19	$37.20	$37.33
Max Pain	$41.31	$40.00	$43.00	$40.00	$40.00
ATM IV	33.5%	28.7%	42.3%	36.5%	31.8%
Expected Move	9.8%	8.7%	11.2%	10.5%	9.1%
HV 20d	41.8%	35.9%	45.0%	41.8%	36.0%
HV 60d	36.3%	34.8%	37.4%	34.8%	35.8%
IV Rank	66.7%	48.4%	100.0%	79.7%	60.0%
IV Percentile	71.3%	36.1%	100.0%	89.7%	63.5%
Term Structure	0.1%	-1.1%	1.6%	0.0%	1.6%
VWIV	34.3%	30.9%	39.6%	36.5%	31.0%
Skew 25d	3.8%	3.0%	5.3%	4.1%	3.0%
Skew 10d	6.7%	5.1%	8.4%	8.4%	5.1%
Call IV 25d	32.3%	29.0%	36.5%	34.8%	30.6%
Put IV 25d	36.1%	32.5%	41.7%	38.9%	33.6%
Bid-Ask Spread %	8.80	5.12	17.01	6.86	7.79
Gamma HHI	0.14	0.06	0.80	0.10	0.09
Net GEX	-175.3M	-676.9M	-64.5M	-206.2M	-81.4M
Net DEX	3.94B	1.55B	6.10B	4.38B	2.25B
Net VEX	-18.9M	-22.0M	-16.4M	-22.0M	-19.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.72	5.11	1.41	1.90
Total Volume	257,763.048	60,846	653,022	69,428	60,846
Total OI	4,824,572.667	3,654,026	5,671,018	5,234,420	4,387,158

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
2008-08-01	$37.20	$40.00	36.5%	10.5%	41.8%	79.7%	36.5%	4.1%	0.0%	-206.2M	4.38B	-22.0M	1.41	6.86	28,782	40,646	1,999,968	3,234,452
2008-08-04	$35.45	$43.00	42.3%	11.2%	43.9%	100.0%	39.6%	5.3%	-0.5%	-200.3M	6.10B	-18.7M	3.53	17.01	77,094	271,808	1,995,696	3,225,938
2008-08-05	$35.71	$42.50	37.2%	10.5%	44.1%	80.8%	36.7%	4.4%	-0.4%	-227.0M	6.09B	-18.6M	2.90	9.35	143,574	416,494	2,021,054	3,320,112
2008-08-06	$36.52	$42.50	32.4%	10.0%	45.0%	62.5%	35.0%	4.3%	-0.3%	-257.8M	5.14B	-19.3M	1.10	7.98	112,000	122,794	2,089,188	3,340,726
2008-08-07	$36.10	$42.00	31.6%	10.0%	43.1%	59.3%	36.1%	3.8%	-0.7%	-222.3M	5.45B	-18.5M	5.11	10.87	60,020	306,686	2,164,898	3,180,836
2008-08-08	$35.49	$42.00	33.1%	10.1%	43.3%	65.1%	35.2%	4.0%	-0.4%	-224.8M	6.09B	-18.5M	1.39	9.47	133,936	185,870	2,155,174	3,330,602
2008-08-11	$35.48	$42.00	36.4%	10.6%	43.0%	77.7%	36.3%	3.7%	-1.1%	-216.1M	6.01B	-18.1M	0.99	8.22	104,038	103,330	2,219,948	3,352,912
2008-08-12	$35.49	$42.00	34.9%	10.5%	41.0%	71.8%	36.5%	3.6%	-0.6%	-196.5M	6.04B	-17.7M	0.86	9.67	98,192	84,830	2,374,540	3,280,302
2008-08-13	$36.75	$42.00	28.7%	10.0%	42.5%	48.4%	34.9%	4.0%	0.1%	-237.1M	4.07B	-19.0M	1.16	10.14	149,726	173,880	2,420,204	3,207,104
2008-08-14	$36.08	$42.00	34.5%	9.9%	42.6%	70.4%	34.7%	3.7%	-0.4%	-219.9M	5.00B	-18.0M	0.99	8.65	91,054	89,962	2,434,018	3,237,000
2008-08-15	$35.40	$42.00	35.6%	10.2%	42.4%	74.5%	35.2%	4.7%	-0.3%	-676.9M	5.95B	-16.8M	2.35	10.72	194,902	458,120	2,367,032	3,204,782
2008-08-18	$34.95	$41.00	35.1%	10.1%	40.5%	72.6%	34.7%	3.7%	0.4%	-64.5M	3.24B	-16.4M	1.13	7.36	99,064	112,322	1,502,490	2,151,536
2008-08-19	$36.20	$41.00	33.4%	9.6%	41.7%	66.3%	34.7%	4.5%	-0.3%	-69.2M	2.78B	-17.7M	3.80	5.12	75,174	285,414	1,540,434	2,219,040
2008-08-20	$37.25	$41.00	31.2%	8.9%	41.0%	57.8%	31.3%	3.5%	0.6%	-86.4M	2.29B	-19.0M	1.12	6.93	141,736	158,742	1,545,976	2,423,444
2008-08-21	$38.19	$40.50	30.5%	8.7%	41.9%	55.3%	31.5%	3.6%	0.4%	-77.5M	1.58B	-20.2M	1.84	6.56	119,880	220,588	1,617,050	2,513,592
2008-08-22	$37.31	$40.50	30.4%	8.7%	42.8%	55.0%	30.9%	3.5%	0.4%	-84.8M	2.14B	-19.6M	1.26	7.24	51,188	64,484	1,636,054	2,526,806
2008-08-25	$36.83	$40.50	33.0%	9.5%	43.1%	64.8%	34.0%	3.7%	-0.3%	-89.7M	2.50B	-19.2M	1.45	7.17	65,426	94,604	1,656,334	2,529,836
2008-08-26	$37.58	$40.00	32.4%	9.2%	43.4%	62.5%	32.3%	3.2%	0.2%	-87.2M	2.06B	-19.6M	0.72	6.89	56,074	40,640	1,686,916	2,580,764
2008-08-27	$38.17	$40.50	31.4%	9.0%	38.5%	58.6%	31.2%	3.3%	1.4%	-76.6M	1.55B	-19.9M	1.09	11.00	92,292	100,576	1,710,008	2,569,670
2008-08-28	$37.50	$40.50	31.3%	9.0%	35.9%	58.3%	31.3%	3.1%	1.5%	-79.6M	1.94B	-19.7M	0.96	9.78	64,442	61,794	1,758,570	2,603,862
2008-08-29	$37.33	$40.00	31.8%	9.1%	36.0%	60.0%	31.0%	3.0%	1.6%	-81.4M	2.25B	-19.6M	1.90	7.79	20,962	39,884	1,791,680	2,595,478