XLE Options History — November 2010

In November 2010, XLE traded between $29.66 and $31.94. ATM implied volatility averaged 21.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.9% (HV 20d: 16.8%). Max pain ranged from $28.00 to $29.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.60.

Notable Days

2010-11-12: Highest Volume — 165,230 contracts
2010-11-11: Largest IV spike — 14.5% change
2010-11-16: Highest IV Rank — 25.5%
2010-11-16: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.14	$29.66	$31.94	$29.66	$31.36
Max Pain	$28.86	$28.00	$29.50	$29.50	$29.50
ATM IV	21.7%	18.6%	25.6%	23.1%	23.9%
Expected Move	6.4%	5.3%	7.3%	6.6%	7.2%
HV 20d	16.8%	11.8%	21.1%	13.9%	21.1%
HV 60d	18.0%	16.9%	18.7%	18.6%	16.9%
IV Rank	13.9%	4.3%	25.5%	18.1%	20.6%
IV Percentile	33.7%	4.4%	62.7%	45.6%	56.0%
Term Structure	0.5%	-1.0%	1.8%	0.9%	-0.7%
VWIV	23.5%	18.6%	27.2%	23.2%	26.0%
Skew 25d	3.9%	2.3%	5.2%	3.3%	5.0%
Skew 10d	8.7%	5.5%	13.5%	6.5%	11.0%
Call IV 25d	20.7%	18.3%	23.5%	21.5%	22.6%
Put IV 25d	24.6%	20.6%	28.6%	24.8%	27.5%
Bid-Ask Spread %	45.82	23.92	58.20	34.31	52.21
Gamma HHI	0.10	0.08	0.11	0.08	0.09
Net GEX	34.9M	22.3M	43.0M	22.3M	31.2M
Net DEX	-1.91B	-2.51B	-1.02B	-1.02B	-1.82B
Net VEX	-8.5M	-9.6M	-7.7M	-9.6M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.27	3.93	2.85	2.10
Total Volume	84,395.524	13,890	165,230	42,466	71,918
Total OI	2,721,738.667	2,492,234	2,956,830	2,492,234	2,744,600

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
2010-11-01	$29.66	$29.50	23.1%	6.6%	13.9%	18.1%	23.2%	3.3%	0.9%	22.3M	-1.02B	-9.6M	2.85	34.31	11,030	31,436	1,188,038	1,304,196
2010-11-02	$29.98	$29.50	22.3%	6.4%	12.1%	15.6%	22.6%	2.9%	1.0%	24.9M	-1.24B	-9.6M	1.08	55.67	25,946	27,926	1,189,644	1,321,918
2010-11-03	$30.05	$29.50	20.4%	5.9%	11.8%	9.9%	21.5%	2.9%	1.8%	28.0M	-1.31B	-9.3M	2.23	53.21	42,208	94,286	1,198,680	1,334,550
2010-11-04	$31.00	$29.50	18.6%	5.3%	15.5%	4.5%	18.6%	2.3%	1.7%	38.6M	-1.95B	-8.3M	1.15	58.20	56,122	64,374	1,218,292	1,394,036
2010-11-05	$31.16	$28.00	18.6%	6.0%	15.2%	4.3%	21.6%	3.1%	0.2%	38.6M	-2.01B	-8.5M	1.69	41.56	43,676	73,656	1,226,570	1,397,634
2010-11-08	$31.25	$28.00	18.6%	5.9%	15.2%	4.4%	21.3%	3.0%	0.4%	41.1M	-2.10B	-8.2M	0.93	55.81	19,762	18,382	1,237,734	1,429,554
2010-11-09	$31.19	$28.00	19.8%	6.3%	15.2%	8.0%	22.4%	3.3%	0.1%	39.0M	-2.04B	-8.3M	0.93	40.60	52,594	49,114	1,243,286	1,432,698
2010-11-10	$31.59	$28.50	19.0%	6.4%	15.2%	5.6%	23.8%	3.9%	1.2%	35.9M	-2.22B	-8.3M	0.27	54.36	114,578	30,876	1,250,782	1,451,588
2010-11-11	$31.94	$28.50	21.7%	6.2%	15.3%	13.9%	23.8%	3.6%	0.7%	43.0M	-2.47B	-8.3M	1.23	41.76	36,156	44,320	1,313,756	1,470,968
2010-11-12	$31.47	$28.50	23.4%	6.7%	16.7%	19.0%	26.1%	4.4%	1.2%	37.4M	-2.18B	-8.7M	1.64	52.61	62,550	102,680	1,316,692	1,494,108
2010-11-15	$31.31	$28.50	23.0%	6.6%	17.0%	17.7%	25.5%	4.2%	0.8%	34.8M	-2.13B	-8.9M	1.56	36.24	12,186	19,034	1,347,606	1,557,686
2010-11-16	$30.73	$28.50	25.6%	7.3%	16.8%	25.5%	27.2%	5.0%	0.2%	26.1M	-1.61B	-9.4M	1.03	44.22	70,544	72,498	1,341,802	1,530,796
2010-11-17	$30.85	$28.50	24.6%	7.0%	16.4%	22.5%	26.4%	5.2%	0.1%	30.0M	-1.79B	-9.4M	1.23	23.92	14,158	17,426	1,360,452	1,547,410
2010-11-18	$31.53	$28.50	22.1%	6.3%	17.7%	15.1%	24.1%	4.5%	0.6%	42.3M	-2.33B	-8.5M	2.70	42.91	27,188	73,302	1,357,142	1,552,186
2010-11-19	$31.80	$28.50	20.4%	5.9%	17.8%	10.0%	22.4%	3.8%	0.9%	42.8M	-2.51B	-8.1M	0.92	48.88	41,044	37,944	1,367,396	1,589,434
2010-11-22	$31.70	$29.00	21.6%	6.2%	17.9%	13.4%	22.2%	3.8%	0.0%	36.9M	-2.04B	-7.8M	1.35	41.05	33,768	45,552	1,232,802	1,393,108
2010-11-23	$31.07	$29.00	22.7%	6.5%	19.7%	16.9%	23.2%	4.5%	0.1%	32.8M	-1.67B	-8.2M	1.85	45.94	38,492	71,144	1,249,632	1,410,650
2010-11-24	$31.64	$29.50	21.3%	6.1%	20.3%	12.7%	21.9%	4.1%	0.0%	40.0M	-2.05B	-7.9M	1.41	53.41	28,178	39,862	1,272,936	1,428,662
2010-11-26	$31.25	$29.50	22.2%	6.4%	20.9%	15.3%	23.7%	4.5%	-0.1%	32.0M	-1.73B	-8.2M	3.93	34.00	2,820	11,070	1,285,580	1,442,218
2010-11-29	$31.46	$29.50	23.4%	7.0%	21.0%	18.8%	25.3%	4.8%	-1.0%	35.7M	-1.94B	-7.7M	1.52	51.41	16,850	25,656	1,284,926	1,444,764
2010-11-30	$31.36	$29.50	23.9%	7.2%	21.1%	20.6%	26.0%	5.0%	-0.7%	31.2M	-1.82B	-7.9M	2.10	52.21	23,236	48,682	1,289,180	1,455,420