XLE Options History — February 2011

In February 2011, XLE traded between $36.75 and $39.23. ATM implied volatility averaged 20.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.1% (HV 20d: 17.6%). Max pain ranged from $35.00 to $35.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.91.

Notable Days

2011-02-28: Highest Volume — 374,032 contracts
2011-02-22: Largest IV spike — 19.1% change
2011-02-23: Highest IV Rank — 28.0%
2011-02-23: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.76	$36.75	$39.23	$37.17	$39.23
Max Pain	$35.45	$35.00	$35.50	$35.50	$35.50
ATM IV	20.7%	18.7%	24.4%	19.7%	22.7%
Expected Move	6.1%	5.6%	7.1%	5.6%	6.5%
HV 20d	17.6%	16.7%	18.3%	18.2%	17.8%
HV 60d	15.7%	14.3%	16.5%	16.4%	14.3%
IV Rank	17.5%	12.0%	28.0%	14.7%	23.2%
IV Percentile	33.3%	12.7%	69.8%	20.6%	58.7%
Term Structure	0.3%	-0.7%	2.2%	2.2%	-0.7%
VWIV	22.1%	19.8%	28.0%	19.9%	23.4%
Skew 25d	3.9%	2.8%	4.7%	3.4%	4.0%
Skew 10d	8.2%	6.2%	9.9%	8.5%	9.8%
Call IV 25d	19.6%	17.8%	23.5%	18.2%	21.6%
Put IV 25d	23.5%	21.4%	27.2%	21.7%	25.6%
Bid-Ask Spread %	36.01	12.83	54.02	12.84	15.36
Gamma HHI	0.10	0.06	0.21	0.06	0.10
Net GEX	37.8M	1.2M	71.7M	1.2M	34.1M
Net DEX	-1.55B	-2.22B	-1.10B	-1.24B	-1.87B
Net VEX	-9.1M	-10.3M	-7.7M	-7.9M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.13	6.89	1.06	6.89
Total Volume	140,766.211	54,830	374,032	154,606	374,032
Total OI	2,068,343.368	1,780,840	2,359,224	1,780,840	2,114,540

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
2011-02-01	$37.17	$35.50	19.7%	5.6%	18.2%	14.7%	19.9%	3.4%	2.2%	1.2M	-1.24B	-7.9M	1.06	12.84	74,936	79,670	728,000	1,052,840
2011-02-02	$37.19	$35.50	19.8%	5.7%	17.6%	15.0%	19.8%	3.6%	1.7%	17.0M	-1.31B	-7.7M	0.13	12.83	203,788	27,488	752,464	1,036,774
2011-02-03	$37.20	$35.00	19.7%	5.6%	17.7%	14.6%	19.9%	2.8%	1.9%	39.5M	-1.42B	-8.4M	1.80	41.37	55,254	99,484	833,814	1,028,798
2011-02-04	$37.19	$35.50	18.7%	6.0%	17.0%	12.0%	22.8%	4.3%	0.3%	39.8M	-1.40B	-8.8M	1.01	39.69	47,582	47,864	860,442	1,102,546
2011-02-07	$37.23	$35.50	19.1%	6.0%	17.0%	13.1%	20.5%	3.8%	0.0%	44.4M	-1.46B	-8.7M	1.15	38.94	35,108	40,216	866,954	1,124,062
2011-02-08	$37.13	$35.50	18.9%	6.0%	17.0%	12.6%	21.3%	3.8%	-0.0%	41.7M	-1.39B	-8.7M	2.11	39.39	35,478	74,824	880,312	1,145,152
2011-02-09	$36.75	$35.50	19.1%	6.0%	17.1%	13.0%	21.4%	3.6%	-0.1%	29.4M	-1.10B	-9.4M	2.60	47.05	19,006	49,476	884,464	1,209,810
2011-02-10	$37.05	$35.50	20.6%	5.9%	16.7%	17.3%	21.8%	4.2%	-0.1%	25.0M	-1.16B	-9.4M	1.96	53.17	33,528	65,680	871,320	1,233,516
2011-02-11	$37.00	$35.50	20.6%	5.9%	16.7%	17.1%	21.1%	3.9%	-0.0%	26.8M	-1.19B	-9.3M	0.37	40.20	99,956	36,698	890,082	1,243,106
2011-02-14	$37.82	$35.50	20.0%	5.7%	17.8%	15.7%	21.5%	4.0%	0.1%	54.6M	-1.75B	-9.0M	2.55	42.21	29,650	75,590	937,908	1,257,642
2011-02-15	$37.48	$35.50	20.1%	5.8%	18.3%	15.9%	21.5%	4.3%	0.1%	47.9M	-1.52B	-9.2M	2.95	41.33	19,672	58,044	942,020	1,280,038
2011-02-16	$38.00	$35.50	20.2%	5.8%	17.8%	16.1%	22.7%	4.0%	0.2%	51.6M	-1.85B	-8.9M	1.71	14.50	39,618	67,698	946,702	1,316,840
2011-02-17	$38.33	$35.50	19.9%	5.7%	17.4%	15.2%	21.1%	3.9%	0.4%	57.9M	-2.05B	-9.1M	0.69	42.12	59,244	40,778	960,100	1,354,248
2011-02-18	$38.54	$35.50	19.4%	5.6%	17.4%	13.8%	20.8%	3.7%	0.7%	71.7M	-2.22B	-9.1M	0.70	54.02	42,200	29,642	991,052	1,368,172
2011-02-22	$38.21	$35.50	23.1%	6.6%	18.0%	24.1%	23.3%	4.0%	-0.2%	46.8M	-1.59B	-9.4M	1.54	41.78	97,652	150,568	877,412	992,088
2011-02-23	$38.83	$35.50	24.4%	7.1%	18.3%	28.0%	25.7%	3.7%	-0.2%	33.9M	-1.74B	-9.7M	1.38	42.72	92,268	127,450	900,482	1,087,280
2011-02-24	$38.34	$35.00	23.9%	6.9%	18.0%	26.4%	28.0%	4.7%	-0.7%	24.4M	-1.38B	-10.3M	4.38	28.84	35,226	154,360	931,052	1,166,292
2011-02-25	$38.68	$35.50	23.2%	6.6%	17.7%	24.5%	24.2%	4.4%	0.4%	31.5M	-1.74B	-10.0M	1.36	35.92	23,256	31,574	947,922	1,182,278
2011-02-28	$39.23	$35.50	22.7%	6.5%	17.8%	23.2%	23.4%	4.0%	-0.7%	34.1M	-1.87B	-9.6M	6.89	15.36	47,382	326,650	943,398	1,171,142