XLE Options History — June 2010

In June 2010, XLE traded between $24.84 and $27.81. ATM implied volatility averaged 33.1%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 7.4% (HV 20d: 40.5%). Max pain ranged from $25.50 to $28.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.52.

Notable Days

2010-06-17: Highest Volume — 1,187,690 contracts
2010-06-29: Largest IV spike — 43.1% change
2010-06-29: Highest IV Rank — 100.0%
2010-06-07: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.51	$24.84	$27.81	$25.27	$24.84
Max Pain	$27.20	$25.50	$28.50	$28.50	$27.00
ATM IV	33.1%	22.8%	50.1%	38.3%	36.8%
Expected Move	9.1%	6.5%	11.3%	11.0%	10.5%
HV 20d	40.5%	32.2%	44.0%	38.3%	32.2%
HV 60d	31.2%	27.3%	32.6%	27.3%	32.6%
IV Rank	57.1%	20.6%	100.0%	77.8%	59.5%
IV Percentile	77.2%	27.0%	100.0%	98.0%	94.4%
Term Structure	0.6%	-1.8%	3.9%	-1.6%	-0.3%
VWIV	33.0%	24.0%	45.5%	41.7%	36.4%
Skew 25d	8.2%	6.2%	10.6%	10.6%	8.7%
Skew 10d	18.2%	14.7%	25.2%	22.2%	17.7%
Call IV 25d	28.6%	20.7%	35.8%	34.7%	33.2%
Put IV 25d	36.8%	26.9%	45.3%	45.3%	42.0%
Bid-Ask Spread %	10.60	5.02	12.83	10.25	11.37
Gamma HHI	0.12	0.08	0.27	0.11	0.08
Net GEX	-40.9M	-55.4M	-2.3M	-50.0M	-28.2M
Net DEX	1.10B	267.0M	1.88B	1.88B	1.51B
Net VEX	-9.8M	-10.6M	-8.7M	-9.3M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.05	3.17	2.25	2.91
Total Volume	147,817.636	44,578	1,187,690	95,560	94,654
Total OI	2,550,383.727	1,976,072	2,897,576	2,587,118	2,353,542

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
2010-06-01	$25.27	$28.50	38.3%	11.0%	38.3%	77.8%	41.7%	10.6%	-1.6%	-50.0M	1.88B	-9.3M	2.25	10.25	29,362	66,198	1,067,036	1,520,082
2010-06-02	$26.36	$28.50	32.9%	9.4%	41.7%	58.0%	35.0%	8.9%	-1.0%	-55.4M	1.46B	-10.3M	1.04	11.51	65,674	68,448	1,078,928	1,541,116
2010-06-03	$26.71	$28.50	33.1%	9.5%	42.1%	58.8%	31.6%	7.8%	-1.7%	-53.6M	1.27B	-10.6M	0.45	11.65	51,084	22,768	1,117,516	1,581,406
2010-06-04	$25.77	$28.50	37.0%	10.6%	42.1%	73.2%	38.7%	9.6%	-1.2%	-51.4M	1.66B	-10.1M	1.12	11.78	34,900	39,158	1,153,692	1,581,242
2010-06-07	$25.55	$28.50	39.5%	11.3%	41.8%	82.2%	45.5%	9.3%	-1.8%	-50.4M	1.74B	-9.7M	1.32	11.94	46,870	61,966	1,166,494	1,569,816
2010-06-08	$25.98	$28.50	37.9%	10.3%	39.0%	76.6%	35.5%	7.8%	-0.8%	-55.4M	1.60B	-10.0M	1.38	11.99	33,778	46,652	1,198,110	1,608,952
2010-06-09	$25.70	$25.50	41.2%	10.7%	39.1%	88.5%	36.7%	10.4%	-0.5%	-51.7M	1.70B	-9.9M	1.21	10.57	34,850	42,032	1,204,530	1,603,136
2010-06-10	$27.00	$25.50	31.3%	9.0%	43.1%	52.2%	33.5%	8.4%	1.8%	-49.5M	1.03B	-10.6M	1.40	12.83	30,042	42,104	1,212,284	1,619,228
2010-06-11	$27.16	$25.50	30.3%	8.7%	43.2%	48.3%	31.5%	8.4%	2.2%	-52.1M	915.7M	-10.4M	1.61	12.41	17,082	27,496	1,221,502	1,608,928
2010-06-14	$27.02	$26.00	31.2%	8.9%	42.8%	51.6%	30.7%	8.2%	1.2%	-52.2M	1.01B	-10.1M	1.40	12.63	26,160	36,564	1,233,398	1,612,548
2010-06-15	$27.81	$26.00	27.9%	8.0%	44.0%	39.7%	31.6%	7.7%	2.1%	-42.9M	506.3M	-10.2M	1.58	11.29	43,916	69,300	1,229,644	1,617,588
2010-06-16	$27.79	$26.50	27.2%	7.8%	43.9%	37.0%	30.4%	7.2%	2.3%	-51.9M	548.8M	-10.1M	3.17	9.53	23,160	73,314	1,245,150	1,652,426
2010-06-17	$27.76	$26.50	25.6%	7.3%	43.7%	31.1%	28.3%	7.2%	2.7%	-41.8M	524.4M	-9.9M	0.05	11.62	1,133,448	54,242	1,238,476	1,625,366
2010-06-18	$27.80	$26.50	22.8%	6.5%	40.1%	20.6%	24.0%	6.2%	3.9%	-36.2M	664.8M	-9.8M	1.05	11.42	75,918	79,928	1,173,694	1,638,018
2010-06-21	$27.75	$27.50	26.0%	7.5%	39.8%	32.6%	25.8%	7.2%	1.2%	-2.3M	267.0M	-9.9M	1.23	11.43	42,678	52,684	834,884	1,141,188
2010-06-22	$26.93	$27.50	29.3%	8.4%	40.4%	44.9%	29.1%	8.0%	0.7%	-14.2M	635.3M	-9.7M	1.45	10.06	52,342	75,994	852,898	1,171,996
2010-06-23	$26.73	$27.50	28.9%	8.3%	40.5%	43.2%	27.7%	7.1%	0.6%	-24.1M	765.1M	-9.7M	0.82	7.52	29,096	24,004	871,932	1,221,076
2010-06-24	$26.17	$27.50	31.2%	9.0%	41.3%	51.9%	31.1%	8.1%	0.7%	-27.2M	965.6M	-9.4M	2.54	5.02	24,776	62,920	886,144	1,222,534
2010-06-25	$26.25	$27.50	34.2%	8.8%	38.4%	62.7%	31.8%	7.1%	1.2%	-29.3M	955.2M	-9.5M	1.74	5.23	38,746	67,350	895,448	1,253,094
2010-06-28	$25.89	$27.50	35.0%	8.8%	38.1%	65.9%	31.6%	7.6%	1.3%	-40.6M	1.15B	-9.2M	2.15	9.68	42,926	92,290	907,186	1,303,622
2010-06-29	$25.04	$27.50	50.1%	10.5%	35.9%	100.0%	37.0%	8.5%	-0.8%	-40.2M	1.47B	-8.7M	1.57	11.49	68,080	107,034	929,306	1,343,286
2010-06-30	$24.84	$27.00	36.8%	10.5%	32.2%	59.5%	36.4%	8.7%	-0.3%	-28.2M	1.51B	-8.9M	2.91	11.37	24,222	70,432	969,450	1,384,092