XLE Options History — May 2009

In May 2009, XLE traded between $23.63 and $25.92. ATM implied volatility averaged 35.2%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 4.3% (HV 20d: 39.4%). Max pain ranged from $22.50 to $24.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2009-05-04: Highest Volume — 230,682 contracts
2009-05-11: Largest IV spike — 13.9% change
2009-05-11: Highest IV Rank — 19.8%
2009-05-13: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.79	$23.63	$25.92	$23.63	$25.84
Max Pain	$23.88	$22.50	$24.50	$22.50	$24.50
ATM IV	35.2%	32.7%	39.5%	33.9%	32.9%
Expected Move	10.2%	9.4%	10.9%	9.7%	9.4%
HV 20d	39.4%	35.3%	43.2%	35.3%	39.9%
HV 60d	46.2%	41.8%	48.5%	47.4%	41.8%
IV Rank	16.2%	14.1%	19.8%	15.1%	14.3%
IV Percentile	21.2%	7.9%	36.9%	18.7%	7.9%
Term Structure	-0.1%	-1.0%	2.0%	2.0%	0.5%
VWIV	35.9%	33.0%	38.7%	34.9%	35.0%
Skew 25d	5.6%	5.0%	6.6%	5.0%	5.0%
Skew 10d	10.8%	7.5%	12.8%	12.8%	7.5%
Call IV 25d	32.7%	29.6%	35.4%	31.4%	31.2%
Put IV 25d	38.3%	34.6%	41.4%	36.5%	36.2%
Bid-Ask Spread %	8.13	5.58	13.24	8.25	9.76
Gamma HHI	0.09	0.05	0.50	0.08	0.06
Net GEX	13.2M	-715.5K	75.6M	995.4K	17.9M
Net DEX	-241.6M	-839.1M	127.6M	92.1M	-604.3M
Net VEX	-8.6M	-9.1M	-8.1M	-8.1M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.43	1.64	1.09	1.04
Total Volume	122,744.3	58,672	230,682	84,354	108,206
Total OI	2,606,073.9	2,379,242	2,840,032	2,441,406	2,703,000

Daily Data (20 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
2009-05-01	$23.63	$22.50	33.9%	9.7%	35.3%	15.1%	34.9%	5.0%	2.0%	995.4K	92.1M	-8.1M	1.09	8.25	40,420	43,934	1,041,822	1,399,584
2009-05-04	$24.57	$23.50	36.2%	10.4%	37.3%	17.0%	37.4%	5.6%	-0.4%	8.6M	-252.3M	-8.2M	1.06	5.58	111,920	118,762	1,048,222	1,412,578
2009-05-05	$24.25	$23.50	35.5%	10.5%	36.8%	16.5%	36.4%	5.7%	-0.3%	6.4M	-113.6M	-8.3M	0.78	6.22	32,880	25,792	1,081,468	1,448,410
2009-05-06	$25.18	$23.50	35.8%	10.6%	36.4%	16.7%	37.4%	5.9%	-0.2%	14.4M	-518.0M	-8.4M	0.90	7.68	110,460	99,440	1,096,454	1,454,720
2009-05-07	$24.86	$23.50	37.4%	10.9%	37.0%	18.1%	37.8%	5.9%	-1.0%	13.1M	-384.5M	-8.5M	0.79	13.24	82,648	65,266	1,139,780	1,467,714
2009-05-08	$25.92	$23.50	34.7%	10.5%	38.3%	15.8%	37.6%	6.6%	-0.5%	19.4M	-839.1M	-8.7M	1.36	8.60	81,690	111,104	1,176,290	1,493,658
2009-05-11	$25.13	$24.00	39.5%	10.6%	40.1%	19.8%	37.9%	6.4%	-0.6%	16.9M	-519.5M	-8.6M	1.16	9.32	51,556	60,030	1,198,618	1,525,174
2009-05-12	$25.29	$24.00	34.8%	10.3%	40.0%	15.9%	36.6%	5.7%	-0.8%	17.9M	-559.8M	-8.6M	0.94	12.51	40,116	37,724	1,213,034	1,535,740
2009-05-13	$24.45	$24.00	37.5%	10.9%	42.4%	18.1%	38.7%	6.0%	-1.0%	13.0M	-154.6M	-8.6M	0.96	6.64	85,530	82,034	1,231,142	1,551,252
2009-05-14	$24.52	$24.00	36.4%	10.4%	42.4%	17.2%	36.8%	5.8%	-0.2%	14.0M	-181.6M	-8.8M	1.09	11.57	45,508	49,510	1,261,694	1,578,338
2009-05-15	$24.00	$24.00	35.3%	10.1%	43.2%	16.3%	35.2%	5.8%	0.2%	75.6M	63.0M	-8.4M	1.43	8.02	54,810	78,544	1,253,198	1,575,768
2009-05-18	$24.83	$24.00	33.0%	9.5%	40.0%	14.3%	33.9%	5.6%	-0.0%	4.3M	-101.4M	-8.5M	0.85	6.02	74,320	63,102	1,059,696	1,319,546
2009-05-19	$24.95	$24.00	32.7%	9.4%	39.7%	14.1%	33.0%	5.1%	0.2%	6.0M	-185.0M	-8.5M	1.20	6.59	28,714	34,496	1,097,992	1,358,032
2009-05-20	$25.04	$24.00	33.6%	9.6%	39.2%	14.8%	34.0%	5.5%	-0.2%	6.1M	-180.0M	-8.6M	0.91	7.21	58,292	53,084	1,103,728	1,361,060
2009-05-21	$24.30	$24.00	35.9%	10.3%	41.0%	16.8%	36.0%	5.3%	0.2%	-715.5K	127.6M	-8.8M	0.43	7.09	126,166	54,280	1,123,354	1,380,842
2009-05-22	$24.30	$24.00	35.2%	10.1%	39.9%	16.2%	36.7%	5.7%	-0.3%	2.3M	66.9M	-8.9M	1.64	8.50	22,662	37,248	1,177,030	1,391,390
2009-05-26	$24.82	$24.00	34.7%	10.0%	39.6%	15.8%	35.6%	5.3%	-0.7%	7.6M	-149.2M	-8.7M	0.88	5.99	36,376	32,068	1,186,842	1,400,058
2009-05-27	$24.55	$24.50	35.3%	10.1%	40.0%	16.3%	34.4%	5.2%	0.2%	5.0M	-30.4M	-8.8M	0.60	5.90	59,114	35,514	1,197,686	1,412,458
2009-05-28	$25.36	$24.50	33.6%	9.6%	40.4%	14.9%	33.0%	5.5%	0.9%	14.4M	-409.0M	-9.0M	0.87	7.87	65,086	56,480	1,232,954	1,431,152
2009-05-29	$25.84	$24.50	32.9%	9.4%	39.9%	14.3%	35.0%	5.0%	0.5%	17.9M	-604.3M	-9.1M	1.04	9.76	53,162	55,044	1,252,496	1,450,504