XLE Options History — December 2008

In December 2008, XLE traded between $21.63 and $24.75. ATM implied volatility averaged 63.6%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 23.9% (HV 20d: 87.5%). Max pain ranged from $26.00 to $31.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.39.

Notable Days

2008-12-18: Highest Volume — 561,670 contracts
2008-12-29: Largest IV spike — 18.5% change
2008-12-01: Highest IV Rank — 52.9%
2008-12-01: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.26	$21.63	$24.75	$22.46	$23.89
Max Pain	$29.41	$26.00	$31.00	$31.00	$26.00
ATM IV	63.6%	45.2%	78.8%	78.8%	46.1%
Expected Move	18.4%	13.2%	22.6%	22.6%	13.2%
HV 20d	87.5%	47.6%	108.5%	108.1%	47.6%
HV 60d	106.2%	102.3%	108.6%	108.3%	102.3%
IV Rank	40.1%	24.6%	52.9%	52.9%	25.4%
IV Percentile	81.8%	73.4%	92.1%	92.1%	73.4%
Term Structure	0.2%	-4.2%	3.2%	-0.3%	3.2%
VWIV	64.5%	47.1%	80.3%	76.3%	47.1%
Skew 25d	12.7%	8.1%	17.2%	15.5%	8.1%
Skew 10d	24.1%	15.0%	31.8%	30.0%	15.0%
Call IV 25d	58.1%	43.2%	72.1%	72.1%	43.2%
Put IV 25d	70.7%	51.2%	87.7%	87.7%	51.2%
Bid-Ask Spread %	11.00	4.51	35.33	14.64	4.51
Gamma HHI	0.06	0.05	0.09	0.05	0.08
Net GEX	-17.6M	-23.0M	-12.2M	-15.7M	-14.3M
Net DEX	2.21B	1.15B	3.02B	2.60B	1.15B
Net VEX	-8.7M	-10.0M	-7.4M	-9.4M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.23	3.12	1.04	0.92
Total Volume	166,940.364	25,970	561,670	77,942	134,272
Total OI	4,534,582.545	3,496,418	5,312,202	4,654,852	3,650,568

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
2008-12-01	$22.46	$31.00	78.8%	22.6%	108.1%	52.9%	76.3%	15.5%	-0.3%	-15.7M	2.60B	-9.4M	1.04	14.64	38,214	39,728	2,159,088	2,495,764
2008-12-02	$23.23	$31.00	74.3%	21.3%	108.5%	49.2%	80.3%	15.8%	-0.2%	-15.5M	2.53B	-9.7M	0.61	14.60	50,636	31,034	2,164,664	2,509,728
2008-12-03	$23.24	$31.00	73.4%	21.0%	105.7%	48.4%	68.7%	16.6%	-0.2%	-15.3M	2.53B	-9.6M	1.85	14.18	35,498	65,804	2,170,648	2,508,256
2008-12-04	$21.63	$31.00	78.1%	22.4%	107.4%	52.3%	74.2%	15.2%	0.5%	-17.7M	2.80B	-8.6M	1.80	12.64	35,918	64,792	2,183,378	2,547,178
2008-12-05	$22.08	$31.00	77.0%	22.1%	105.9%	51.4%	76.1%	17.2%	2.4%	-19.3M	2.83B	-8.8M	3.12	14.93	82,938	258,360	2,181,896	2,572,524
2008-12-08	$23.06	$31.00	71.6%	20.5%	105.7%	46.8%	79.3%	14.6%	2.3%	-16.5M	2.55B	-9.3M	2.04	13.58	50,206	102,630	2,218,396	2,733,140
2008-12-09	$23.29	$31.00	68.7%	19.7%	105.8%	44.4%	68.4%	13.4%	2.3%	-18.9M	2.62B	-9.3M	0.73	12.72	67,690	49,190	2,233,758	2,764,548
2008-12-10	$24.50	$31.00	64.5%	19.4%	107.0%	40.9%	68.9%	14.5%	-2.2%	-12.4M	2.28B	-10.0M	1.31	8.35	54,582	71,502	2,263,816	2,770,982
2008-12-11	$24.38	$30.00	67.5%	19.4%	102.1%	43.4%	67.4%	15.0%	-3.1%	-12.2M	2.32B	-9.8M	1.63	7.85	44,356	72,434	2,271,918	2,801,672
2008-12-12	$24.14	$30.00	68.2%	19.5%	94.1%	44.0%	68.7%	13.2%	-2.8%	-14.8M	2.41B	-9.6M	1.05	9.98	120,222	126,752	2,281,198	2,819,106
2008-12-15	$24.00	$30.00	69.2%	19.8%	92.9%	44.9%	69.6%	12.3%	-4.2%	-15.6M	2.45B	-9.3M	2.06	6.48	53,882	111,094	2,334,246	2,863,322
2008-12-16	$24.75	$30.00	63.7%	18.3%	93.1%	40.2%	65.5%	13.2%	-0.7%	-14.0M	2.28B	-9.3M	1.47	7.20	65,482	96,228	2,340,274	2,888,962
2008-12-17	$24.59	$30.00	61.3%	17.6%	92.7%	38.2%	61.5%	12.1%	0.3%	-19.0M	2.37B	-9.2M	1.44	7.83	97,052	139,980	2,320,206	2,926,032
2008-12-18	$23.16	$30.00	63.6%	18.2%	93.2%	40.1%	63.5%	8.6%	-0.7%	-23.0M	2.83B	-8.5M	0.23	8.23	456,942	104,728	2,347,606	2,964,596
2008-12-19	$23.00	$30.00	60.1%	17.2%	79.1%	37.2%	62.5%	10.3%	0.5%	-21.3M	3.02B	-8.2M	2.03	35.33	49,464	100,432	2,319,890	2,988,492
2008-12-22	$22.32	$28.00	56.0%	16.1%	70.9%	33.8%	56.1%	10.7%	0.4%	-20.9M	1.83B	-7.4M	1.01	7.37	115,344	117,030	1,663,284	1,833,134
2008-12-23	$22.36	$27.50	53.8%	15.4%	66.0%	31.9%	54.5%	11.4%	0.9%	-21.2M	1.68B	-7.6M	1.56	8.06	75,180	117,490	1,717,040	1,799,498
2008-12-24	$22.28	$27.00	54.2%	15.5%	65.6%	32.2%	55.9%	10.8%	1.1%	-19.8M	1.61B	-7.7M	0.90	8.03	21,772	19,616	1,741,224	1,790,392
2008-12-26	$22.58	$27.00	45.2%	15.3%	62.3%	24.6%	52.1%	11.3%	2.0%	-19.9M	1.47B	-7.7M	0.42	7.85	18,306	7,664	1,749,674	1,776,206
2008-12-29	$23.07	$27.00	53.5%	15.4%	62.9%	31.6%	53.2%	10.4%	-0.4%	-19.1M	1.30B	-7.7M	1.76	9.15	33,276	58,732	1,759,486	1,775,168
2008-12-30	$23.64	$26.50	50.5%	14.0%	48.9%	29.1%	49.5%	9.0%	3.1%	-20.5M	1.16B	-7.9M	1.59	8.56	83,602	132,634	1,769,154	1,790,704
2008-12-31	$23.89	$26.00	46.1%	13.2%	47.6%	25.4%	47.1%	8.1%	3.2%	-14.3M	1.15B	-7.9M	0.92	4.51	70,112	64,160	1,805,616	1,844,952