XLE Options History — March 2011

In March 2011, XLE traded between $36.85 and $39.97. ATM implied volatility averaged 23.8%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.4% (HV 20d: 23.4%). Max pain ranged from $35.50 to $39.50. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.12.

Notable Days

2011-03-17: Highest Volume — 2,091,030 contracts
2011-03-28: Largest IV spike — 22.6% change
2011-03-16: Highest IV Rank — 37.9%
2011-03-16: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.58	$36.85	$39.97	$38.41	$39.88
Max Pain	$37.87	$35.50	$39.50	$35.50	$39.00
ATM IV	23.8%	20.3%	28.0%	24.7%	21.4%
Expected Move	6.8%	5.9%	8.0%	7.1%	6.0%
HV 20d	23.4%	17.3%	28.0%	17.9%	24.7%
HV 60d	18.2%	15.0%	20.4%	15.0%	20.2%
IV Rank	26.2%	16.5%	37.9%	28.7%	19.6%
IV Percentile	60.2%	27.8%	81.7%	71.8%	40.1%
Term Structure	0.3%	-0.5%	1.2%	-0.5%	1.1%
VWIV	24.5%	21.2%	27.7%	23.8%	21.6%
Skew 25d	4.0%	3.0%	5.5%	4.1%	3.1%
Skew 10d	8.4%	5.2%	12.8%	7.4%	5.9%
Call IV 25d	22.3%	19.4%	26.2%	23.1%	19.9%
Put IV 25d	26.3%	22.6%	31.6%	27.2%	22.9%
Bid-Ask Spread %	18.19	10.67	66.51	12.01	13.90
Gamma HHI	0.12	0.09	0.20	0.11	0.11
Net GEX	-24.3M	-95.1M	18.4M	-9.1M	14.8M
Net DEX	-619.7M	-1.64B	422.0M	-1.11B	-986.8M
Net VEX	-11.7M	-12.3M	-10.8M	-11.9M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	0.07	9.54	0.57	2.41
Total Volume	231,319.826	40,512	2,091,030	262,440	168,132
Total OI	2,409,146	1,991,382	2,825,796	2,450,536	2,303,286

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
2011-03-01	$38.41	$35.50	24.7%	7.1%	17.9%	28.7%	23.8%	4.1%	-0.5%	-9.1M	-1.11B	-11.9M	0.57	12.01	167,426	95,014	974,942	1,475,594
2011-03-02	$38.69	$35.50	24.4%	7.0%	17.3%	27.8%	24.9%	4.0%	-0.1%	-18.0M	-1.16B	-11.5M	1.35	15.04	20,862	28,188	951,462	1,507,926
2011-03-03	$39.42	$35.50	22.7%	6.5%	18.2%	23.1%	23.2%	3.5%	-0.3%	-956.8K	-1.64B	-10.8M	2.03	11.18	44,856	91,008	950,584	1,509,816
2011-03-04	$39.19	$35.50	23.7%	6.8%	18.5%	26.0%	25.1%	3.2%	-0.3%	-4.8M	-1.50B	-10.9M	1.09	10.97	50,254	54,902	955,784	1,488,680
2011-03-07	$38.85	$36.00	25.1%	7.2%	18.9%	29.8%	27.6%	4.2%	-0.3%	-6.6M	-1.30B	-11.1M	0.96	11.00	28,626	27,582	970,990	1,494,752
2011-03-08	$38.51	$36.00	24.4%	7.0%	19.3%	27.9%	27.5%	4.4%	-0.2%	-13.2M	-1.12B	-11.0M	1.45	15.09	43,478	62,880	980,524	1,507,676
2011-03-09	$38.25	$36.00	24.5%	7.2%	19.5%	28.1%	25.2%	4.6%	-0.4%	-21.9M	-892.3M	-11.3M	1.53	57.76	43,820	67,146	1,004,602	1,545,480
2011-03-10	$36.89	$39.50	25.4%	7.3%	23.4%	30.8%	26.6%	4.2%	0.2%	-48.6M	246.8M	-11.5M	2.23	16.13	84,804	189,246	1,015,622	1,587,574
2011-03-11	$37.53	$39.00	24.3%	7.0%	24.0%	27.7%	25.9%	4.5%	0.4%	-47.1M	-252.0M	-11.9M	9.54	35.33	46,400	442,598	1,033,006	1,687,188
2011-03-14	$37.74	$39.00	24.7%	7.1%	24.0%	28.6%	23.3%	4.7%	0.2%	-54.5M	-355.3M	-11.7M	6.25	13.28	17,350	108,356	1,018,366	1,718,162
2011-03-15	$37.48	$39.50	25.3%	7.3%	22.8%	30.4%	25.5%	4.7%	0.1%	-66.1M	74.6M	-11.9M	1.76	11.67	42,698	75,332	1,021,276	1,755,974
2011-03-16	$36.85	$39.00	28.0%	8.0%	23.4%	37.9%	27.7%	5.5%	-0.5%	-53.0M	303.1M	-11.7M	2.33	12.79	70,508	164,330	1,036,014	1,691,694
2011-03-17	$38.06	$39.00	25.5%	7.3%	25.8%	31.1%	27.0%	5.2%	0.3%	-33.9M	-554.5M	-12.2M	0.07	14.66	1,957,936	133,094	1,062,038	1,763,758
2011-03-18	$37.67	$39.00	26.1%	7.5%	25.8%	32.6%	26.1%	4.9%	0.1%	-95.1M	422.0M	-12.3M	2.46	66.51	54,106	133,022	879,482	1,748,226
2011-03-21	$38.84	$38.50	23.2%	6.6%	28.0%	24.4%	25.0%	4.6%	0.5%	-43.5M	-201.9M	-12.0M	1.62	16.53	68,364	110,908	671,108	1,322,134
2011-03-22	$38.77	$38.50	22.7%	6.5%	27.9%	23.1%	23.5%	4.0%	0.5%	-28.6M	-306.4M	-11.9M	0.50	11.14	49,812	24,822	716,422	1,274,960
2011-03-23	$38.87	$38.50	22.0%	6.3%	27.3%	21.2%	23.2%	3.6%	0.8%	-19.4M	-385.5M	-11.9M	1.13	13.32	19,052	21,460	742,756	1,293,854
2011-03-24	$38.99	$38.50	21.8%	6.2%	26.9%	20.6%	22.3%	3.1%	0.7%	-13.3M	-489.8M	-11.6M	1.45	11.91	43,832	63,582	747,610	1,298,052
2011-03-25	$39.34	$38.50	20.6%	6.0%	26.9%	17.3%	22.2%	3.1%	1.2%	-9.1M	-640.7M	-12.1M	0.96	11.66	25,406	24,474	771,802	1,345,894
2011-03-28	$39.25	$38.50	25.3%	6.3%	26.4%	30.4%	22.3%	3.0%	0.7%	-10.4M	-590.3M	-11.7M	5.38	13.19	21,350	114,780	762,186	1,349,028
2011-03-29	$39.77	$38.50	20.3%	6.0%	25.5%	16.5%	21.6%	3.4%	0.8%	5.2M	-812.5M	-12.1M	0.77	12.69	66,090	50,918	772,146	1,435,868
2011-03-30	$39.97	$38.50	21.0%	5.9%	25.5%	18.5%	21.2%	3.2%	0.9%	18.4M	-1.00B	-11.9M	0.89	10.67	53,814	47,738	801,966	1,464,094
2011-03-31	$39.88	$39.00	21.4%	6.0%	24.7%	19.6%	21.6%	3.1%	1.1%	14.8M	-986.8M	-12.0M	2.41	13.90	49,322	118,810	820,726	1,482,560