XLE Options History — March 2009

In March 2009, XLE traded between $19.06 and $23.27. ATM implied volatility averaged 51.3%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 3.0% (HV 20d: 54.3%). Max pain ranged from $21.50 to $26.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.42.

Notable Days

2009-03-19: Highest Volume — 1,160,014 contracts
2009-03-30: Largest IV spike — 49.9% change
2009-03-30: Highest IV Rank — 41.9%
2009-03-02: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.09	$19.06	$23.27	$19.06	$21.23
Max Pain	$23.05	$21.50	$26.00	$26.00	$22.00
ATM IV	51.3%	43.8%	65.7%	60.8%	49.3%
Expected Move	14.5%	12.7%	17.4%	17.4%	14.1%
HV 20d	54.3%	49.5%	58.2%	49.5%	52.0%
HV 60d	50.1%	48.3%	52.2%	50.5%	51.1%
IV Rank	29.8%	23.5%	41.9%	37.8%	28.1%
IV Percentile	64.2%	50.0%	80.6%	77.4%	62.3%
Term Structure	0.4%	-2.6%	2.2%	-2.6%	1.0%
VWIV	51.2%	44.4%	61.0%	60.7%	48.4%
Skew 25d	9.3%	6.0%	12.3%	12.3%	7.5%
Skew 10d	17.9%	12.6%	25.2%	25.2%	13.5%
Call IV 25d	46.4%	41.4%	54.4%	54.1%	45.2%
Put IV 25d	55.7%	48.0%	66.4%	66.4%	52.7%
Bid-Ask Spread %	16.03	6.97	45.84	13.15	23.29
Gamma HHI	0.08	0.06	0.15	0.06	0.06
Net GEX	-16.5M	-34.3M	3.4M	-20.2M	-5.5M
Net DEX	1.10B	251.3M	1.79B	1.72B	801.1M
Net VEX	-7.2M	-8.3M	-5.8M	-5.8M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.09	4.09	3.20	0.85
Total Volume	194,638.182	74,050	1,160,014	301,450	103,842
Total OI	2,955,755.727	2,281,318	3,450,968	2,868,366	2,556,240

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
2009-03-02	$19.06	$26.00	60.8%	17.4%	49.5%	37.8%	60.7%	12.3%	-2.6%	-20.2M	1.72B	-5.8M	3.20	13.15	71,774	229,676	1,249,176	1,619,190
2009-03-03	$19.16	$26.00	59.0%	16.9%	49.8%	36.2%	60.1%	12.3%	-1.8%	-23.4M	1.79B	-6.0M	1.22	9.99	48,096	58,914	1,275,716	1,714,054
2009-03-04	$20.07	$26.00	54.6%	15.6%	52.9%	32.5%	53.2%	11.9%	-1.8%	-24.2M	1.60B	-6.5M	1.10	6.97	75,152	82,710	1,291,194	1,716,048
2009-03-05	$19.18	$26.00	59.6%	17.1%	54.0%	36.7%	61.0%	10.8%	-1.8%	-23.4M	1.76B	-6.1M	4.09	7.85	27,874	113,916	1,321,202	1,744,084
2009-03-06	$19.39	$26.00	58.3%	16.7%	53.1%	35.6%	60.3%	12.0%	-1.5%	-23.5M	1.67B	-6.4M	1.95	9.57	28,852	56,394	1,327,962	1,765,026
2009-03-09	$19.43	$25.00	61.0%	17.1%	52.2%	37.9%	55.5%	11.2%	-1.3%	-24.4M	1.69B	-6.3M	1.20	10.05	48,952	58,860	1,345,748	1,771,332
2009-03-10	$20.41	$26.00	53.9%	15.3%	56.4%	32.0%	52.2%	11.7%	1.5%	-24.6M	1.45B	-6.8M	1.21	7.66	61,060	73,950	1,343,958	1,784,186
2009-03-11	$20.33	$21.50	51.8%	14.9%	54.6%	30.2%	52.2%	10.0%	1.1%	-25.7M	1.52B	-6.7M	0.43	9.01	110,952	47,620	1,365,030	1,799,400
2009-03-12	$20.94	$21.50	49.4%	14.2%	56.1%	28.2%	52.2%	9.0%	0.7%	-23.2M	1.31B	-7.1M	1.75	12.49	64,970	113,824	1,438,330	1,811,940
2009-03-13	$20.75	$21.50	48.5%	13.9%	56.1%	27.4%	49.8%	8.2%	1.8%	-23.9M	1.39B	-7.1M	0.88	14.46	78,406	68,904	1,451,150	1,846,888
2009-03-16	$21.02	$21.50	48.0%	13.8%	56.4%	27.0%	54.4%	8.8%	0.5%	-23.7M	1.29B	-7.1M	2.05	9.88	54,670	111,912	1,502,880	1,861,504
2009-03-17	$21.74	$21.50	45.6%	13.1%	52.3%	24.9%	44.4%	8.3%	2.2%	-17.8M	987.8M	-7.3M	1.27	7.36	71,902	91,418	1,472,098	1,880,084
2009-03-18	$21.96	$21.50	45.0%	12.9%	52.4%	24.5%	46.8%	8.6%	2.0%	-16.8M	949.7M	-7.6M	1.22	13.26	62,426	75,984	1,515,794	1,925,140
2009-03-19	$22.49	$21.50	47.1%	13.5%	53.0%	26.2%	47.0%	9.1%	1.4%	-4.1M	599.1M	-7.8M	0.09	10.26	1,060,914	99,100	1,531,406	1,919,562
2009-03-20	$21.50	$21.50	47.3%	13.6%	54.7%	26.4%	47.5%	7.5%	2.1%	-34.3M	1.29B	-7.5M	1.23	38.54	90,604	111,850	1,420,036	1,934,600
2009-03-23	$23.27	$22.00	45.7%	13.1%	58.2%	25.0%	47.5%	8.9%	0.5%	2.9M	251.3M	-8.1M	0.66	45.84	98,182	64,986	996,304	1,285,014
2009-03-24	$22.83	$22.00	45.2%	13.0%	57.0%	24.7%	46.3%	8.7%	0.9%	3.4M	295.1M	-8.2M	1.59	22.48	89,420	142,302	1,041,318	1,304,112
2009-03-25	$22.72	$22.00	45.4%	13.0%	57.0%	24.8%	45.7%	8.3%	0.9%	-1.4M	295.4M	-8.3M	0.57	37.02	84,690	48,486	1,075,914	1,395,722
2009-03-26	$22.91	$22.00	44.3%	12.7%	57.0%	23.9%	44.6%	6.0%	0.7%	-1.9M	285.4M	-8.2M	0.76	19.16	42,100	32,204	1,036,174	1,414,220
2009-03-27	$22.23	$22.00	43.8%	13.0%	57.4%	23.5%	46.2%	7.0%	1.5%	-6.5M	466.4M	-7.9M	0.66	15.29	44,502	29,548	1,055,146	1,424,006
2009-03-30	$21.41	$22.00	65.7%	14.2%	51.7%	41.9%	50.9%	7.0%	0.5%	-19.6M	743.5M	-7.5M	3.15	9.03	36,182	113,960	1,063,760	1,433,978
2009-03-31	$21.23	$22.00	49.3%	14.1%	52.0%	28.1%	48.4%	7.5%	1.0%	-5.5M	801.1M	-7.4M	0.85	23.29	56,246	47,596	1,074,486	1,481,754