XLE Options History — October 2009

In October 2009, XLE traded between $25.98 and $29.88. ATM implied volatility averaged 27.9%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.0% (HV 20d: 24.8%). Max pain ranged from $27.00 to $28.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.32.

Notable Days

2009-10-16: Highest Volume — 228,568 contracts
2009-10-30: Largest IV spike — 22.2% change
2009-10-30: Highest IV Rank — 18.2%
2009-10-30: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.38	$25.98	$29.88	$26.12	$27.63
Max Pain	$27.93	$27.00	$28.50	$27.00	$28.50
ATM IV	27.9%	23.5%	36.3%	32.4%	36.3%
Expected Move	8.3%	7.2%	10.4%	9.3%	10.4%
HV 20d	24.8%	22.0%	29.9%	23.9%	29.9%
HV 60d	23.8%	22.7%	25.7%	23.9%	25.7%
IV Rank	4.3%	0.0%	18.2%	5.1%	18.2%
IV Percentile	10.5%	0.0%	46.8%	24.2%	46.8%
Term Structure	1.2%	-0.4%	2.4%	0.4%	0.3%
VWIV	29.2%	25.4%	36.1%	31.9%	36.1%
Skew 25d	4.7%	3.0%	6.6%	5.1%	6.6%
Skew 10d	10.0%	7.9%	13.7%	11.5%	13.7%
Call IV 25d	26.7%	23.0%	33.2%	30.1%	33.2%
Put IV 25d	31.4%	26.8%	39.8%	35.3%	39.8%
Bid-Ask Spread %	12.49	7.87	38.94	8.12	11.15
Gamma HHI	0.07	0.06	0.14	0.06	0.06
Net GEX	11.2M	-24.3M	62.3M	-22.8M	-12.5M
Net DEX	-631.6M	-1.55B	502.6M	449.2M	31.5M
Net VEX	-11.1M	-12.3M	-10.3M	-12.3M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.46	3.02	1.56	1.68
Total Volume	124,551.909	59,568	228,568	137,220	198,218
Total OI	3,108,861.909	2,875,810	3,324,848	2,954,344	3,232,448

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
2009-10-01	$26.12	$27.00	32.4%	9.3%	23.9%	5.1%	31.9%	5.1%	0.4%	-22.8M	449.2M	-12.3M	1.56	8.12	53,666	83,554	1,176,700	1,777,644
2009-10-02	$25.98	$27.00	31.3%	9.0%	24.0%	4.1%	31.5%	6.0%	1.3%	-24.3M	502.6M	-11.1M	1.18	11.73	43,804	51,890	1,169,874	1,705,936
2009-10-05	$26.56	$27.50	30.3%	8.9%	24.7%	3.1%	31.5%	6.1%	1.3%	-16.7M	209.1M	-11.0M	0.73	7.87	52,258	38,174	1,182,904	1,733,268
2009-10-06	$27.19	$27.50	29.6%	9.0%	24.2%	2.5%	30.6%	5.8%	1.2%	-6.1M	-112.6M	-11.3M	1.26	7.99	55,362	69,784	1,206,836	1,746,350
2009-10-07	$27.40	$27.50	25.6%	8.3%	24.3%	0.0%	30.2%	5.2%	1.3%	-3.2M	-211.4M	-11.2M	1.35	9.65	44,332	59,956	1,220,714	1,779,302
2009-10-08	$28.11	$27.50	26.2%	8.5%	25.1%	0.5%	30.7%	5.3%	1.5%	11.8M	-609.1M	-11.2M	1.16	8.66	78,122	90,962	1,241,534	1,800,966
2009-10-09	$28.08	$27.50	24.0%	8.3%	25.1%	0.0%	29.5%	4.9%	2.1%	12.2M	-645.5M	-11.4M	1.54	10.53	72,618	111,582	1,279,394	1,837,218
2009-10-12	$28.46	$27.50	27.6%	8.1%	25.4%	3.3%	29.1%	4.7%	1.6%	22.1M	-887.6M	-11.0M	0.55	11.06	66,102	36,176	1,309,344	1,832,812
2009-10-13	$28.50	$27.50	23.5%	7.8%	25.3%	0.0%	28.0%	4.6%	1.3%	33.0M	-924.5M	-10.8M	1.24	11.87	46,208	57,190	1,366,208	1,833,904
2009-10-14	$28.98	$27.50	24.8%	8.1%	24.5%	1.4%	28.1%	4.3%	0.8%	47.9M	-1.23B	-10.5M	1.15	27.48	63,868	73,444	1,367,120	1,849,074
2009-10-15	$29.59	$28.00	27.1%	7.8%	25.2%	3.9%	28.3%	4.9%	1.5%	54.4M	-1.55B	-10.4M	0.46	12.09	102,418	46,698	1,367,356	1,858,204
2009-10-16	$29.50	$28.00	27.1%	7.8%	25.0%	4.6%	25.7%	3.0%	-0.4%	62.3M	-1.52B	-10.3M	1.14	38.94	106,876	121,692	1,405,894	1,868,308
2009-10-19	$29.88	$28.00	25.4%	7.3%	24.8%	2.5%	26.5%	4.4%	1.8%	22.6M	-1.25B	-10.3M	1.13	9.72	60,946	69,070	1,250,284	1,714,620
2009-10-20	$29.69	$28.50	25.3%	7.3%	24.7%	2.3%	25.7%	4.1%	1.9%	21.5M	-1.17B	-10.7M	1.06	10.88	32,654	34,506	1,284,226	1,753,660
2009-10-21	$29.61	$28.50	25.8%	7.4%	23.1%	3.0%	25.8%	4.2%	1.8%	19.5M	-1.10B	-10.8M	1.31	11.55	65,954	86,540	1,280,554	1,758,830
2009-10-22	$29.73	$28.50	25.1%	7.2%	22.0%	2.0%	25.4%	3.8%	1.9%	18.9M	-1.15B	-10.8M	1.22	13.26	26,808	32,760	1,288,824	1,814,510
2009-10-23	$29.15	$28.50	26.2%	7.5%	23.6%	3.5%	26.9%	3.4%	2.4%	9.6M	-807.5M	-11.1M	3.02	9.84	16,722	50,516	1,289,368	1,821,788
2009-10-26	$28.67	$28.50	28.8%	8.3%	24.3%	6.9%	28.2%	3.6%	0.4%	2.8M	-566.0M	-11.1M	1.08	9.41	55,926	60,350	1,297,118	1,843,296
2009-10-27	$28.93	$28.50	28.6%	8.2%	24.3%	6.7%	29.5%	3.9%	1.2%	2.4M	-644.8M	-11.4M	1.98	11.23	37,878	74,842	1,327,368	1,979,690
2009-10-28	$27.97	$28.50	32.3%	9.3%	27.5%	12.5%	32.8%	5.5%	0.3%	-10.6M	-137.7M	-11.9M	2.48	11.90	31,648	78,494	1,333,562	1,991,286
2009-10-29	$28.71	$28.50	29.7%	8.5%	25.7%	8.8%	30.1%	4.9%	1.5%	2.5M	-562.4M	-11.3M	0.80	9.78	55,382	44,192	1,323,832	1,892,834
2009-10-30	$27.63	$28.50	36.3%	10.4%	29.9%	18.2%	36.1%	6.6%	0.3%	-12.5M	31.5M	-11.9M	1.68	11.15	73,932	124,286	1,331,672	1,900,776