XLE Options History — September 2008

In September 2008, XLE traded between $29.82 and $35.63. ATM implied volatility averaged 45.8%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 6.5% (HV 20d: 52.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2008-09-03: Highest Volume — 866,312 contracts
2008-09-29: Largest IV spike — 97.8% change
2008-09-09: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.56	$29.82	$35.63	$35.27	$31.65
Max Pain	$36.45	$35.00	$40.00	$40.00	$35.00
ATM IV	45.8%	35.5%	102.5%	35.5%	52.2%
Expected Move	12.5%	10.2%	21.2%	10.2%	15.0%
HV 20d	52.2%	36.7%	76.1%	37.5%	76.1%
HV 60d	43.0%	36.5%	54.4%	37.3%	54.4%
IV Rank	79.7%	41.9%	100.0%	74.1%	41.9%
IV Percentile	96.2%	85.3%	100.0%	85.3%	99.6%
Term Structure	-2.8%	-8.5%	8.4%	0.4%	-6.8%
VWIV	42.4%	35.3%	61.2%	35.3%	47.3%
Skew 25d	5.4%	1.4%	13.4%	3.4%	10.2%
Skew 10d	8.2%	0.4%	21.2%	3.7%	15.6%
Call IV 25d	40.5%	32.7%	59.8%	34.5%	47.5%
Put IV 25d	45.9%	37.6%	70.5%	37.9%	57.8%
Bid-Ask Spread %	24.50	7.08	95.64	11.19	19.93
Gamma HHI	0.08	0.05	0.11	0.11	0.06
Net GEX	-78.4M	-115.0M	-27.1M	-105.5M	-39.6M
Net DEX	3.57B	568.5M	5.81B	3.71B	2.45B
Net VEX	-18.6M	-21.6M	-15.5M	-17.4M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.53	2.39	0.53	1.09
Total Volume	376,035.619	142,686	866,312	254,604	226,464
Total OI	4,656,540.762	3,509,142	5,708,124	4,402,550	3,593,274

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
2008-09-02	$35.27	$40.00	35.5%	10.2%	37.5%	74.1%	35.3%	3.4%	0.4%	-105.5M	3.71B	-17.4M	0.53	11.19	166,844	87,760	1,800,068	2,602,482
2008-09-03	$35.14	$40.00	35.9%	10.3%	37.4%	75.6%	36.7%	3.3%	-0.5%	-103.5M	3.80B	-17.4M	1.77	9.96	313,006	553,306	1,843,064	2,611,370
2008-09-04	$34.35	$40.00	37.0%	10.6%	37.1%	79.7%	37.1%	2.4%	-0.8%	-104.6M	4.25B	-18.6M	2.30	10.54	117,680	270,590	1,986,586	2,762,770
2008-09-05	$34.21	$40.00	36.7%	10.5%	37.0%	78.8%	37.0%	2.7%	-0.7%	-110.3M	4.40B	-18.2M	1.00	10.00	162,746	163,110	1,991,986	2,798,664
2008-09-08	$33.98	$40.00	38.7%	11.3%	36.7%	86.3%	38.2%	3.1%	-4.6%	-115.0M	4.66B	-18.7M	0.89	17.56	153,372	136,460	2,076,780	2,898,326
2008-09-09	$31.63	$40.00	51.0%	12.8%	44.2%	100.0%	42.9%	1.4%	-2.0%	-85.5M	5.76B	-16.3M	1.57	9.60	235,612	369,550	2,163,518	2,909,966
2008-09-10	$32.87	$35.50	43.2%	11.6%	46.9%	77.8%	40.8%	3.4%	-3.4%	-99.4M	5.30B	-18.1M	0.92	7.08	208,906	192,602	2,252,922	2,983,140
2008-09-11	$33.34	$35.00	40.3%	11.6%	45.2%	69.5%	41.3%	3.8%	-2.9%	-100.1M	4.81B	-19.1M	1.77	8.95	119,742	211,806	2,293,060	3,031,514
2008-09-12	$34.47	$35.00	39.8%	11.4%	46.8%	68.1%	40.0%	3.9%	-2.9%	-99.7M	4.05B	-20.2M	1.10	13.48	204,868	226,306	2,316,466	3,085,760
2008-09-15	$31.82	$35.00	43.7%	12.5%	54.1%	79.3%	43.5%	4.7%	-4.9%	-92.9M	5.81B	-17.0M	1.70	13.48	130,274	222,076	2,398,914	3,136,010
2008-09-16	$33.17	$35.00	44.5%	12.8%	56.4%	81.6%	44.4%	3.5%	-4.7%	-102.3M	4.97B	-18.8M	2.04	16.09	160,310	327,302	2,394,242	3,130,274
2008-09-17	$32.48	$35.00	49.7%	14.2%	54.9%	96.3%	47.8%	6.5%	-8.3%	-89.6M	5.30B	-18.1M	1.22	26.38	116,526	141,724	2,449,152	3,132,956
2008-09-18	$33.45	$35.00	45.2%	12.9%	55.0%	83.4%	44.4%	6.5%	-4.2%	-102.7M	4.92B	-18.8M	0.74	91.16	260,544	193,438	2,478,634	3,154,554
2008-09-19	$35.63	$35.00	41.9%	12.0%	59.3%	74.2%	39.4%	13.4%	8.4%	-81.0M	2.64B	-20.6M	1.09	95.64	224,762	245,540	2,529,446	3,178,678
2008-09-22	$35.00	$35.00	43.3%	12.4%	59.1%	78.0%	42.3%	5.8%	-2.9%	-27.1M	568.5M	-20.0M	1.36	16.17	138,788	189,020	1,605,182	1,903,960
2008-09-23	$33.84	$35.00	44.4%	12.7%	60.0%	81.2%	44.4%	6.5%	-3.2%	-38.9M	1.45B	-20.4M	0.94	20.67	243,734	229,002	1,657,898	2,021,310
2008-09-24	$33.95	$35.00	44.3%	12.7%	59.4%	80.9%	44.0%	6.5%	-2.8%	-37.2M	1.29B	-21.6M	1.03	17.03	156,972	162,142	1,765,618	2,089,760
2008-09-25	$34.77	$35.00	39.4%	11.3%	59.9%	66.8%	39.5%	5.7%	-1.3%	-38.6M	918.7M	-20.7M	0.88	13.45	75,850	66,836	1,693,584	2,029,806
2008-09-26	$33.85	$35.00	51.8%	12.2%	60.2%	100.0%	42.7%	6.7%	-2.4%	-40.6M	1.35B	-18.5M	1.52	18.29	66,332	100,956	1,603,320	1,909,422
2008-09-29	$29.82	$35.00	102.5%	21.2%	74.1%	100.0%	61.2%	10.6%	-8.5%	-33.0M	2.58B	-15.5M	2.39	67.91	95,452	228,438	1,602,392	1,920,528
2008-09-30	$31.65	$35.00	52.2%	15.0%	76.1%	41.9%	47.3%	10.2%	-6.8%	-39.6M	2.45B	-16.3M	1.09	19.93	108,518	117,946	1,624,516	1,968,758