XLE Options History — July 2010

In July 2010, XLE traded between $24.69 and $27.13. ATM implied volatility averaged 27.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.2% (HV 20d: 26.2%). Max pain ranged from $25.50 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.60.

Notable Days

2010-07-01: Highest Volume — 363,974 contracts
2010-07-12: Largest IV spike — 25.8% change
2010-07-01: Highest IV Rank — 64.8%
2010-07-01: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.28	$24.69	$27.13	$24.75	$26.92
Max Pain	$26.07	$25.50	$27.00	$27.00	$26.00
ATM IV	27.4%	23.2%	38.6%	38.6%	23.2%
Expected Move	8.0%	6.6%	11.1%	11.1%	6.6%
HV 20d	26.2%	21.0%	31.7%	31.6%	21.0%
HV 60d	33.3%	32.5%	33.6%	32.6%	32.7%
IV Rank	31.0%	18.3%	64.8%	64.8%	18.3%
IV Percentile	50.7%	28.6%	97.2%	97.2%	28.6%
Term Structure	1.6%	-0.6%	2.5%	-0.6%	2.5%
VWIV	28.5%	23.5%	40.4%	40.4%	23.5%
Skew 25d	6.8%	4.8%	9.9%	9.9%	4.8%
Skew 10d	15.0%	9.1%	19.4%	19.3%	9.1%
Call IV 25d	24.8%	21.2%	33.7%	33.7%	21.2%
Put IV 25d	31.6%	26.0%	43.6%	43.6%	26.0%
Bid-Ask Spread %	9.15	5.16	19.92	7.98	7.35
Gamma HHI	0.09	0.06	0.20	0.09	0.09
Net GEX	-21.7M	-58.2M	-6.0M	-29.9M	-6.6M
Net DEX	730.0M	308.7M	1.55B	1.35B	386.9M
Net VEX	-9.9M	-10.5M	-8.9M	-8.9M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.44	5.54	5.54	1.20
Total Volume	87,848.476	30,952	363,974	363,974	77,480
Total OI	2,379,346.095	2,081,388	2,712,638	2,159,788	2,307,086

Daily Data (21 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
2010-07-01	$24.75	$27.00	38.6%	11.1%	31.6%	64.8%	40.4%	9.9%	-0.6%	-29.9M	1.35B	-8.9M	5.54	7.98	55,690	308,284	882,216	1,277,572
2010-07-02	$24.69	$27.00	35.1%	10.1%	29.3%	54.5%	36.3%	8.1%	0.7%	-55.1M	1.55B	-9.0M	1.86	10.10	34,616	64,476	906,962	1,496,188
2010-07-06	$24.93	$26.00	33.6%	9.6%	29.4%	49.8%	34.3%	9.4%	1.3%	-58.2M	1.44B	-9.1M	1.53	9.56	45,278	69,190	916,832	1,529,674
2010-07-07	$25.81	$25.50	28.9%	8.5%	31.5%	35.6%	30.4%	8.2%	1.7%	-43.4M	1.05B	-9.7M	0.64	10.11	79,538	50,548	930,358	1,557,136
2010-07-08	$26.18	$26.00	27.4%	8.3%	31.7%	31.1%	29.4%	7.2%	1.5%	-37.7M	861.5M	-10.1M	0.77	5.16	77,964	60,398	996,390	1,560,430
2010-07-09	$26.31	$26.00	23.8%	7.9%	26.2%	20.2%	28.1%	6.8%	1.9%	-27.0M	750.1M	-10.1M	0.75	7.66	28,616	21,492	1,023,280	1,559,780
2010-07-12	$26.24	$26.00	30.0%	8.4%	26.1%	38.8%	31.4%	6.9%	1.4%	-26.1M	768.1M	-9.8M	3.69	9.36	9,328	34,382	1,024,008	1,559,938
2010-07-13	$26.55	$26.00	28.1%	8.1%	26.5%	33.1%	28.0%	7.1%	1.3%	-17.5M	632.9M	-10.0M	0.86	9.19	36,030	30,994	1,027,946	1,568,090
2010-07-14	$26.52	$26.00	25.8%	8.0%	24.0%	26.3%	28.6%	6.7%	1.7%	-17.6M	643.7M	-9.9M	0.55	8.02	53,814	29,612	1,038,532	1,569,910
2010-07-15	$26.50	$26.00	27.4%	7.8%	24.0%	31.0%	28.3%	6.9%	1.6%	-16.6M	655.0M	-10.0M	0.44	7.52	72,626	32,072	1,074,520	1,566,444
2010-07-16	$25.86	$26.00	27.9%	8.0%	25.2%	32.5%	28.3%	7.3%	2.1%	-36.1M	950.6M	-9.8M	1.57	6.88	17,262	27,108	1,133,270	1,579,368
2010-07-19	$26.03	$26.00	26.6%	7.6%	25.4%	28.7%	28.4%	7.0%	2.0%	-16.0M	743.5M	-9.7M	1.42	19.92	18,606	26,448	927,840	1,153,548
2010-07-20	$26.63	$26.00	25.4%	7.3%	27.0%	25.0%	23.7%	6.3%	1.8%	-13.3M	529.1M	-10.1M	0.65	7.71	73,454	47,432	938,378	1,163,988
2010-07-21	$26.19	$26.00	27.5%	7.9%	25.6%	31.4%	27.0%	6.4%	1.6%	-10.9M	669.1M	-10.1M	2.75	9.05	8,264	22,688	997,522	1,192,716
2010-07-22	$26.77	$26.00	24.6%	7.1%	26.8%	22.6%	25.4%	5.9%	1.8%	-7.7M	464.2M	-10.4M	0.75	12.50	21,874	16,494	995,336	1,199,102
2010-07-23	$26.89	$26.00	24.0%	6.9%	25.6%	20.8%	25.9%	6.0%	1.9%	-6.1M	398.6M	-10.4M	3.36	12.11	18,552	62,252	1,006,330	1,201,344
2010-07-26	$27.13	$26.00	24.2%	7.0%	25.7%	21.5%	25.4%	5.6%	1.6%	-6.0M	308.7M	-10.5M	1.68	7.66	22,108	37,244	1,017,382	1,234,548
2010-07-27	$27.00	$26.00	24.3%	7.0%	25.2%	21.8%	25.3%	5.3%	1.6%	-7.1M	369.5M	-10.3M	1.53	11.94	23,194	35,574	1,026,914	1,243,526
2010-07-28	$26.93	$26.00	24.6%	7.1%	21.5%	22.6%	26.2%	5.7%	1.8%	-7.8M	399.9M	-10.4M	1.64	6.08	21,418	35,196	1,035,470	1,253,968
2010-07-29	$26.98	$26.00	23.8%	6.8%	21.1%	20.2%	24.9%	4.8%	1.9%	-9.6M	415.4M	-10.3M	0.48	6.34	25,070	12,152	1,035,098	1,257,328
2010-07-30	$26.92	$26.00	23.2%	6.6%	21.0%	18.3%	23.5%	4.8%	2.5%	-6.6M	386.9M	-10.3M	1.20	7.35	35,206	42,274	1,052,280	1,254,806