XLE Options History — November 2008

In November 2008, XLE traded between $19.98 and $26.51. ATM implied volatility averaged 73.0%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 40.7% (HV 20d: 113.6%). Max pain ranged from $25.50 to $33.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.65.

Notable Days

2008-11-06: Highest Volume — 417,260 contracts
2008-11-12: Largest IV spike — 23.2% change
2008-11-20: Highest IV Rank — 65.2%
2008-11-20: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.05	$19.98	$26.51	$24.91	$25.14
Max Pain	$30.82	$25.50	$33.50	$25.50	$31.00
ATM IV	73.0%	62.7%	93.5%	72.3%	64.5%
Expected Move	20.8%	18.0%	26.8%	20.7%	18.5%
HV 20d	113.6%	98.7%	136.9%	135.5%	100.9%
HV 60d	98.4%	91.9%	106.1%	91.9%	106.0%
IV Rank	48.0%	39.3%	65.2%	47.5%	40.9%
IV Percentile	91.0%	84.5%	97.6%	92.9%	84.5%
Term Structure	-1.8%	-4.0%	2.7%	-4.0%	1.7%
VWIV	73.9%	63.3%	96.4%	73.5%	71.3%
Skew 25d	17.7%	10.4%	22.6%	15.5%	16.3%
Skew 10d	35.7%	21.7%	48.2%	28.3%	30.4%
Call IV 25d	64.7%	55.9%	86.4%	64.5%	56.9%
Put IV 25d	82.4%	68.0%	107.6%	79.9%	73.2%
Bid-Ask Spread %	13.43	3.06	50.93	11.57	13.60
Gamma HHI	0.05	0.04	0.12	0.04	0.06
Net GEX	-18.1M	-29.1M	-11.6M	-14.1M	-11.8M
Net DEX	2.41B	1.79B	3.31B	2.12B	2.09B
Net VEX	-10.9M	-12.2M	-8.4M	-11.5M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.75	4.58	0.98	0.83
Total Volume	189,256.211	34,164	417,260	119,330	34,164
Total OI	4,807,156.211	4,444,636	5,250,550	4,444,636	4,650,478

Daily Data (19 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
2008-11-03	$24.91	$25.50	72.3%	20.7%	135.5%	47.5%	73.5%	15.5%	-4.0%	-14.1M	2.12B	-11.5M	0.98	11.57	60,224	59,106	2,083,148	2,361,488
2008-11-04	$26.51	$25.50	62.7%	18.0%	136.1%	39.3%	63.3%	10.4%	-3.5%	-13.1M	1.79B	-12.2M	1.31	10.70	56,486	74,146	2,094,362	2,363,472
2008-11-05	$25.32	$25.50	66.8%	19.2%	136.9%	42.9%	68.1%	12.3%	-1.9%	-13.3M	2.06B	-11.4M	1.24	50.93	46,760	57,770	2,114,524	2,358,556
2008-11-06	$23.80	$25.50	75.8%	21.7%	126.6%	50.4%	76.1%	14.4%	-3.5%	-15.4M	2.43B	-10.5M	4.58	41.19	74,778	342,482	2,125,366	2,382,906
2008-11-07	$24.93	$33.50	66.1%	19.0%	126.4%	42.3%	66.1%	19.3%	-0.8%	-19.5M	2.29B	-11.7M	1.73	4.78	69,514	119,968	2,156,040	2,619,292
2008-11-10	$25.01	$33.00	67.4%	19.0%	114.1%	43.3%	69.1%	19.1%	-2.4%	-20.0M	2.30B	-11.7M	4.30	4.47	61,976	266,232	2,190,406	2,681,032
2008-11-11	$24.29	$32.50	68.7%	19.5%	114.6%	44.4%	69.8%	18.6%	-2.4%	-21.7M	2.57B	-11.0M	0.75	4.99	43,182	32,588	2,209,734	2,689,358
2008-11-12	$22.30	$32.50	84.7%	22.9%	104.3%	57.9%	78.4%	20.8%	-3.1%	-20.2M	2.83B	-9.6M	2.17	3.99	86,488	187,632	2,219,028	2,617,710
2008-11-13	$24.92	$32.50	68.5%	19.6%	110.7%	44.3%	71.1%	18.4%	-2.0%	-18.1M	2.21B	-11.5M	1.25	4.55	106,104	132,348	2,238,912	2,719,836
2008-11-14	$23.89	$32.50	73.4%	21.0%	111.8%	48.4%	73.3%	18.9%	-2.2%	-20.5M	2.52B	-11.0M	1.31	4.66	73,120	95,722	2,272,082	2,765,276
2008-11-17	$23.39	$32.50	77.7%	22.3%	104.4%	52.0%	75.3%	19.9%	-1.7%	-21.7M	2.60B	-10.6M	0.91	3.06	112,512	101,952	2,282,260	2,773,084
2008-11-18	$24.05	$32.50	76.6%	22.0%	103.8%	51.1%	76.3%	19.5%	-2.1%	-17.8M	2.39B	-11.0M	1.14	6.60	62,922	71,772	2,307,388	2,807,798
2008-11-19	$22.80	$32.50	80.4%	23.1%	98.7%	54.3%	81.4%	20.0%	-3.3%	-24.3M	2.73B	-10.2M	1.48	9.76	50,768	75,386	2,307,606	2,814,570
2008-11-20	$19.98	$32.50	93.5%	26.8%	107.5%	65.2%	96.4%	21.2%	-1.8%	-29.1M	3.31B	-8.4M	2.62	16.16	85,316	223,208	2,329,868	2,830,982
2008-11-21	$22.21	$32.00	82.2%	23.6%	112.5%	55.7%	82.9%	22.6%	-2.0%	-23.6M	3.02B	-9.7M	2.01	32.82	104,994	211,292	2,365,342	2,885,208
2008-11-24	$23.82	$31.50	73.4%	20.9%	112.1%	48.3%	73.5%	17.1%	0.1%	-14.7M	2.31B	-11.0M	0.77	8.55	123,528	94,636	2,067,020	2,454,366
2008-11-25	$24.20	$31.50	69.0%	20.0%	100.4%	44.6%	70.0%	16.8%	-1.3%	-14.2M	2.31B	-10.8M	1.03	8.17	45,320	46,852	2,114,928	2,463,990
2008-11-26	$25.55	$31.00	62.8%	18.0%	101.9%	39.4%	67.9%	15.4%	2.7%	-11.6M	1.93B	-11.7M	0.94	14.68	53,928	50,692	2,137,782	2,480,770
2008-11-28	$25.14	$31.00	64.5%	18.5%	100.9%	40.9%	71.3%	16.3%	1.7%	-11.8M	2.09B	-11.1M	0.83	13.60	18,686	15,478	2,153,964	2,496,514