XLE Options History — March 2010

In March 2010, XLE traded between $28.03 and $29.53. ATM implied volatility averaged 20.4%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.7% (HV 20d: 16.8%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.22.

Notable Days

2010-03-18: Highest Volume — 1,803,822 contracts
2010-03-31: Largest IV drop — 22.9% change
2010-03-30: Highest IV Rank — 10.2%
2010-03-02: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.79	$28.03	$29.53	$28.33	$28.76
Max Pain	$28.07	$27.00	$29.00	$27.00	$28.50
ATM IV	20.4%	17.3%	22.5%	21.7%	17.3%
Expected Move	5.8%	5.0%	6.3%	6.2%	5.0%
HV 20d	16.8%	13.4%	25.7%	25.7%	16.1%
HV 60d	20.5%	20.1%	21.2%	20.5%	20.2%
IV Rank	6.0%	0.0%	10.2%	8.6%	0.0%
IV Percentile	6.2%	0.0%	17.9%	7.1%	0.0%
Term Structure	2.0%	0.2%	3.2%	0.4%	3.2%
VWIV	20.7%	18.0%	23.4%	20.9%	18.0%
Skew 25d	3.9%	2.2%	4.7%	4.4%	2.2%
Skew 10d	8.1%	4.8%	10.2%	9.9%	4.8%
Call IV 25d	18.7%	16.9%	20.3%	20.2%	16.9%
Put IV 25d	22.6%	19.1%	24.7%	24.7%	19.1%
Bid-Ask Spread %	11.58	6.78	20.62	8.68	16.17
Gamma HHI	0.13	0.09	0.23	0.12	0.09
Net GEX	3.6M	-52.1M	39.2M	-17.5M	7.2M
Net DEX	-30.3M	-609.8M	480.1M	195.1M	-2.2M
Net VEX	-10.4M	-11.1M	-9.9M	-10.2M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.05	2.39	0.73	2.33
Total Volume	165,775.739	40,878	1,803,822	62,894	70,668
Total OI	2,288,392.435	1,860,912	2,665,368	2,261,176	2,170,640

Daily Data (23 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
2010-03-01	$28.33	$27.00	21.7%	6.2%	25.7%	8.6%	20.9%	4.4%	0.4%	-17.5M	195.1M	-10.2M	0.73	8.68	36,418	26,476	904,680	1,356,496
2010-03-02	$28.57	$27.00	22.1%	6.3%	23.2%	9.5%	22.7%	4.3%	0.2%	-9.3M	58.7M	-10.5M	0.82	8.18	22,450	18,428	926,880	1,367,982
2010-03-03	$28.69	$27.00	22.1%	6.3%	22.8%	9.5%	23.4%	4.3%	0.5%	-4.2M	-19.4M	-10.2M	2.39	12.46	21,762	52,090	923,116	1,363,206
2010-03-04	$28.54	$27.00	21.2%	6.1%	22.7%	7.6%	22.2%	4.5%	0.6%	-7.2M	64.3M	-10.2M	0.90	12.03	32,196	29,038	950,656	1,386,426
2010-03-05	$29.07	$27.00	20.3%	5.8%	17.2%	5.8%	21.3%	4.0%	0.7%	8.0M	-246.6M	-10.2M	1.00	12.61	37,708	37,612	957,394	1,396,938
2010-03-08	$29.03	$27.00	20.5%	5.9%	17.3%	6.2%	21.6%	4.2%	0.9%	6.1M	-176.4M	-10.2M	0.93	8.74	24,222	22,450	968,236	1,403,574
2010-03-09	$29.03	$27.00	21.1%	6.0%	16.7%	7.5%	23.4%	4.2%	0.9%	10.9M	-222.3M	-10.1M	2.11	6.78	21,998	46,400	982,860	1,405,996
2010-03-10	$29.29	$28.50	19.5%	5.9%	15.5%	4.2%	20.5%	4.5%	2.3%	18.9M	-371.7M	-10.1M	1.02	15.83	25,206	25,690	991,598	1,424,388
2010-03-11	$29.23	$28.50	21.2%	6.1%	15.4%	7.6%	21.2%	4.7%	2.8%	15.5M	-351.9M	-10.1M	2.16	12.20	24,810	53,494	1,004,262	1,436,180
2010-03-12	$29.25	$28.50	21.1%	6.0%	14.6%	7.3%	21.3%	4.5%	2.7%	21.5M	-356.3M	-10.2M	1.25	14.54	41,596	51,926	1,017,346	1,447,512
2010-03-15	$28.95	$28.50	20.8%	6.0%	15.3%	6.7%	21.2%	4.5%	2.5%	18.4M	-203.6M	-9.9M	1.45	20.62	48,450	70,302	1,017,346	1,455,138
2010-03-16	$29.21	$28.50	21.0%	6.0%	13.4%	7.2%	21.1%	4.4%	2.4%	20.6M	-331.3M	-10.0M	1.47	10.35	64,120	94,270	1,045,214	1,498,716
2010-03-17	$29.53	$28.50	19.4%	5.6%	13.7%	3.8%	19.8%	3.6%	3.0%	39.2M	-609.8M	-10.1M	1.55	8.97	57,876	89,532	1,072,250	1,549,064
2010-03-18	$29.09	$28.50	20.6%	5.9%	14.9%	6.4%	21.1%	3.7%	2.7%	28.9M	-255.7M	-10.4M	0.05	12.05	1,721,802	82,020	1,084,912	1,580,456
2010-03-19	$28.64	$29.00	20.4%	5.8%	16.0%	5.9%	20.4%	3.5%	2.9%	-52.1M	435.7M	-10.4M	0.91	12.88	84,406	76,794	958,596	1,608,746
2010-03-22	$28.57	$28.50	20.3%	5.8%	15.1%	5.7%	20.7%	3.6%	1.2%	-2.2M	178.2M	-10.3M	0.75	10.05	61,340	46,302	771,940	1,088,972
2010-03-23	$28.68	$28.50	19.4%	5.6%	13.7%	3.8%	19.8%	3.6%	1.9%	2.4M	119.6M	-10.5M	1.07	11.20	47,864	51,204	798,082	1,110,606
2010-03-24	$28.51	$28.50	19.5%	5.6%	13.8%	4.1%	19.8%	3.6%	1.9%	-231.0K	191.5M	-10.6M	0.79	7.60	34,010	26,838	829,832	1,140,878
2010-03-25	$28.03	$28.50	19.6%	5.6%	15.2%	4.3%	18.9%	3.6%	2.2%	-12.5M	459.0M	-10.5M	0.73	12.68	69,768	51,022	847,292	1,155,282
2010-03-26	$28.04	$28.50	17.9%	5.4%	15.2%	0.9%	18.9%	3.3%	3.1%	-17.4M	480.1M	-10.6M	0.96	9.78	42,488	40,976	848,220	1,186,096
2010-03-29	$28.59	$28.50	20.6%	5.4%	16.4%	6.5%	19.1%	2.7%	2.8%	61.8K	177.1M	-10.7M	0.94	9.98	71,652	67,092	863,074	1,203,412
2010-03-30	$28.63	$28.50	22.5%	5.3%	16.1%	10.2%	18.7%	2.5%	3.2%	8.8M	90.8M	-11.0M	1.80	12.04	32,218	57,858	905,852	1,226,684
2010-03-31	$28.76	$28.50	17.3%	5.0%	16.1%	0.0%	18.0%	2.2%	3.2%	7.2M	-2.2M	-11.1M	2.33	16.17	21,234	49,434	922,388	1,248,252