XLE Options History — January 2010

In January 2010, XLE traded between $27.25 and $30.15. ATM implied volatility averaged 22.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.3% (HV 20d: 17.0%). Max pain ranged from $29.50 to $30.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.92.

Notable Days

2010-01-22: Highest Volume — 190,372 contracts
2010-01-22: Largest IV spike — 19.0% change
2010-01-29: Highest IV Rank — 22.1%
2010-01-29: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.16	$27.25	$30.15	$29.41	$27.25
Max Pain	$29.71	$29.50	$30.00	$29.50	$29.50
ATM IV	22.3%	18.6%	28.2%	19.4%	28.2%
Expected Move	6.6%	5.3%	8.1%	6.3%	8.1%
HV 20d	17.0%	14.0%	21.0%	16.1%	21.0%
HV 60d	21.1%	18.4%	22.2%	22.2%	18.7%
IV Rank	9.9%	2.2%	22.1%	3.8%	22.1%
IV Percentile	8.3%	1.2%	30.6%	1.6%	30.6%
Term Structure	1.9%	0.8%	2.7%	2.5%	0.8%
VWIV	23.4%	19.3%	28.0%	22.0%	27.4%
Skew 25d	4.4%	3.4%	5.7%	4.5%	5.4%
Skew 10d	9.1%	7.1%	12.4%	9.9%	8.0%
Call IV 25d	21.3%	17.6%	25.1%	20.5%	25.1%
Put IV 25d	25.7%	21.0%	30.5%	24.9%	30.5%
Bid-Ask Spread %	13.78	9.13	46.34	10.76	46.34
Gamma HHI	0.12	0.07	0.22	0.13	0.09
Net GEX	9.9M	-51.7M	51.1M	28.3M	-51.7M
Net DEX	-287.9M	-1.07B	1.01B	-669.1M	1.01B
Net VEX	-8.6M	-9.9M	-7.3M	-7.3M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	0.58	6.39	0.72	2.12
Total Volume	122,148.316	70,500	190,372	93,304	97,640
Total OI	2,193,844.947	1,606,522	2,683,924	2,258,770	2,127,900

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
2010-01-04	$29.41	$29.50	19.4%	6.3%	16.1%	3.8%	22.0%	4.5%	2.5%	28.3M	-669.1M	-7.3M	0.72	10.76	54,170	39,134	942,728	1,316,042
2010-01-05	$29.64	$29.50	21.1%	6.6%	15.9%	7.4%	22.8%	4.5%	2.1%	33.6M	-820.3M	-7.3M	0.58	11.26	108,814	62,718	966,686	1,333,648
2010-01-06	$30.00	$29.50	21.1%	6.5%	16.0%	7.5%	23.3%	4.2%	2.1%	44.5M	-1.04B	-7.5M	1.03	9.13	75,960	78,022	1,028,422	1,362,930
2010-01-07	$29.95	$30.00	20.6%	6.4%	14.2%	6.4%	23.1%	3.9%	1.8%	44.6M	-967.9M	-8.0M	1.50	12.49	31,988	47,962	1,060,016	1,423,578
2010-01-08	$30.15	$30.00	18.9%	6.5%	14.1%	2.9%	22.9%	4.0%	1.7%	46.0M	-1.07B	-8.1M	0.99	10.70	44,026	43,392	1,054,328	1,449,634
2010-01-11	$30.11	$30.00	21.9%	6.4%	14.0%	9.1%	23.0%	3.7%	1.8%	51.1M	-1.04B	-8.1M	1.67	10.89	40,902	68,194	1,075,574	1,464,200
2010-01-12	$29.68	$30.00	22.1%	6.5%	15.4%	9.6%	22.6%	4.1%	1.9%	38.6M	-719.7M	-8.2M	0.96	12.23	92,410	88,728	1,083,064	1,497,454
2010-01-13	$29.79	$30.00	19.9%	6.4%	15.2%	4.9%	22.1%	3.7%	1.7%	38.7M	-812.5M	-8.8M	0.59	11.23	44,382	26,118	1,113,010	1,548,850
2010-01-14	$29.87	$30.00	21.1%	6.0%	15.2%	7.3%	21.4%	3.8%	1.9%	46.6M	-862.2M	-8.6M	1.56	12.86	37,544	58,730	1,107,520	1,546,990
2010-01-15	$29.63	$30.00	20.6%	5.9%	15.7%	6.5%	20.8%	3.6%	2.7%	22.6M	-650.8M	-8.6M	1.33	11.19	76,176	101,298	1,115,944	1,567,980
2010-01-19	$29.90	$29.50	18.6%	5.3%	15.3%	2.2%	19.3%	3.4%	2.3%	6.9M	-357.1M	-8.7M	1.11	15.20	36,456	40,368	703,914	902,608
2010-01-20	$29.43	$29.50	19.5%	5.6%	16.7%	4.1%	19.4%	3.8%	2.4%	1.9M	-182.1M	-8.7M	1.80	11.12	27,450	49,278	717,234	913,742
2010-01-21	$28.84	$30.00	22.3%	6.4%	18.1%	9.9%	22.1%	4.5%	2.0%	-5.3M	74.0M	-8.8M	1.88	11.66	40,068	75,510	726,792	931,862
2010-01-22	$28.15	$29.50	26.5%	7.6%	20.1%	18.6%	28.0%	5.7%	0.9%	-15.6M	355.2M	-9.1M	2.66	17.50	51,956	138,416	739,360	998,760
2010-01-25	$28.34	$29.50	25.0%	7.2%	20.0%	15.6%	27.9%	5.3%	1.4%	-19.0M	353.7M	-9.4M	6.39	12.80	20,532	131,112	761,526	1,074,666
2010-01-26	$28.16	$29.50	25.9%	7.4%	20.0%	17.4%	25.3%	5.5%	1.5%	-33.3M	507.9M	-9.6M	3.06	9.54	32,254	98,580	760,146	1,189,984
2010-01-27	$28.05	$29.50	24.3%	7.0%	20.0%	14.1%	24.6%	5.3%	2.5%	-44.1M	644.9M	-9.9M	3.01	13.10	29,262	87,982	773,260	1,261,522
2010-01-28	$27.75	$29.50	26.2%	7.5%	20.1%	18.0%	25.9%	4.7%	1.4%	-45.3M	762.6M	-9.7M	3.51	11.91	31,738	111,548	771,756	1,269,424
2010-01-29	$27.25	$29.50	28.2%	8.1%	21.0%	22.1%	27.4%	5.4%	0.8%	-51.7M	1.01B	-9.6M	2.12	46.34	31,318	66,322	779,506	1,348,394