XLE Options History — February 2010

In February 2010, XLE traded between $26.87 and $28.68. ATM implied volatility averaged 25.5%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.6% (HV 20d: 26.1%). Max pain ranged from $27.00 to $29.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.35.

Notable Days

2010-02-05: Highest Volume — 239,742 contracts
2010-02-04: Largest IV spike — 28.5% change
2010-02-08: Highest IV Rank — 26.9%
2010-02-05: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.93	$26.87	$28.68	$28.15	$28.07
Max Pain	$28.34	$27.00	$29.50	$29.50	$27.00
ATM IV	25.5%	22.4%	30.5%	24.7%	22.6%
Expected Move	7.4%	6.4%	8.9%	7.1%	6.5%
HV 20d	26.1%	21.7%	28.7%	24.3%	26.5%
HV 60d	20.8%	19.7%	21.6%	19.7%	20.6%
IV Rank	16.6%	10.1%	26.9%	14.9%	10.4%
IV Percentile	20.6%	9.1%	50.8%	13.1%	9.5%
Term Structure	0.5%	-0.5%	2.9%	1.0%	0.2%
VWIV	26.1%	22.5%	31.9%	24.0%	22.7%
Skew 25d	4.9%	3.4%	6.3%	4.5%	4.6%
Skew 10d	10.3%	7.2%	12.8%	7.9%	10.0%
Call IV 25d	23.7%	20.4%	28.3%	22.6%	20.6%
Put IV 25d	28.6%	24.9%	34.6%	27.1%	25.3%
Bid-Ask Spread %	10.46	6.35	19.39	19.39	10.08
Gamma HHI	0.10	0.09	0.12	0.09	0.12
Net GEX	-39.9M	-59.5M	-17.3M	-47.9M	-24.3M
Net DEX	597.0M	91.1M	1.24B	629.5M	349.0M
Net VEX	-10.0M	-10.4M	-9.7M	-9.9M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.58	2.48	1.01	1.02
Total Volume	95,555.263	42,724	239,742	63,366	49,020
Total OI	2,300,825.684	2,038,526	2,528,480	2,170,306	2,245,004

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
2010-02-01	$28.15	$29.50	24.7%	7.1%	24.3%	14.9%	24.0%	4.5%	1.0%	-47.9M	629.5M	-9.9M	1.01	19.39	31,452	31,914	793,412	1,376,894
2010-02-02	$28.52	$29.50	22.4%	6.4%	21.9%	10.1%	23.4%	3.4%	2.9%	-39.7M	433.6M	-9.9M	1.61	13.41	25,562	41,146	806,200	1,383,480
2010-02-03	$28.27	$29.50	22.7%	6.5%	21.7%	10.7%	23.9%	3.6%	2.9%	-43.7M	522.6M	-9.8M	1.20	14.52	37,404	44,782	810,478	1,389,880
2010-02-04	$27.11	$29.50	29.1%	8.4%	25.1%	24.1%	28.5%	5.1%	0.6%	-56.1M	1.11B	-9.7M	0.92	13.71	71,536	65,512	820,830	1,410,990
2010-02-05	$27.12	$28.50	29.6%	8.9%	25.2%	25.1%	31.9%	6.2%	-0.4%	-55.7M	1.13B	-9.8M	2.10	12.22	77,404	162,338	838,584	1,426,920
2010-02-08	$26.87	$28.50	30.5%	8.8%	24.8%	26.9%	30.8%	6.3%	-0.5%	-58.7M	1.24B	-9.8M	0.92	10.63	52,354	47,978	852,836	1,472,834
2010-02-09	$27.43	$28.50	28.4%	8.3%	26.5%	22.6%	29.0%	5.5%	0.3%	-57.9M	977.3M	-10.1M	1.22	8.92	58,562	71,668	868,276	1,479,832
2010-02-10	$27.32	$28.50	27.1%	8.2%	26.3%	19.8%	29.6%	5.7%	0.0%	-59.5M	1.05B	-10.1M	1.95	10.10	30,168	58,832	904,124	1,507,584
2010-02-11	$27.79	$28.50	26.6%	7.6%	27.2%	18.7%	27.5%	5.0%	0.5%	-50.4M	744.4M	-10.3M	1.23	9.24	29,498	36,380	920,148	1,511,948
2010-02-12	$27.80	$28.00	26.4%	7.6%	27.1%	18.4%	27.8%	4.8%	0.3%	-52.5M	752.2M	-10.2M	1.35	8.03	18,208	24,516	923,746	1,517,094
2010-02-16	$28.45	$28.00	25.8%	7.4%	28.7%	17.1%	26.5%	4.3%	0.3%	-33.8M	299.5M	-9.9M	1.05	8.80	40,602	42,462	926,552	1,512,658
2010-02-17	$28.41	$28.00	25.4%	7.3%	28.4%	16.2%	26.1%	4.5%	0.4%	-36.2M	322.3M	-9.7M	1.25	8.16	44,216	55,304	929,364	1,524,788
2010-02-18	$28.57	$28.00	24.7%	7.1%	28.1%	14.8%	25.2%	4.5%	0.2%	-27.9M	195.3M	-10.0M	1.53	7.55	37,448	57,168	952,882	1,545,606
2010-02-19	$28.68	$28.00	23.0%	6.6%	27.2%	11.4%	23.7%	4.5%	0.6%	-19.8M	91.1M	-9.8M	1.44	7.35	45,042	64,842	972,400	1,556,080
2010-02-22	$28.29	$28.50	23.5%	6.7%	26.3%	12.3%	24.3%	4.9%	0.6%	-17.3M	234.0M	-9.7M	1.24	6.35	72,702	89,918	808,118	1,230,408
2010-02-23	$27.82	$28.50	25.1%	7.2%	26.8%	15.8%	26.1%	5.9%	0.3%	-25.1M	455.8M	-9.8M	2.48	7.92	20,492	50,772	839,098	1,275,340
2010-02-24	$27.99	$27.00	24.0%	6.9%	26.9%	13.4%	23.1%	4.8%	0.0%	-28.4M	427.2M	-9.9M	0.58	9.82	42,746	24,672	839,012	1,318,922
2010-02-25	$28.00	$27.00	23.6%	6.8%	26.8%	12.6%	22.5%	4.7%	-0.0%	-23.2M	380.2M	-10.3M	1.50	12.53	24,390	36,540	887,112	1,336,254
2010-02-26	$28.07	$27.00	22.6%	6.5%	26.5%	10.4%	22.7%	4.6%	0.2%	-24.3M	349.0M	-10.4M	1.02	10.08	24,286	24,734	897,874	1,347,130