XLE Options History — June 2011

In June 2011, XLE traded between $35.48 and $37.67. ATM implied volatility averaged 24.6%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.8% (HV 20d: 21.8%). Max pain ranged from $36.50 to $37.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.46.

Notable Days

2011-06-16: Highest Volume — 443,810 contracts
2011-06-24: Largest IV spike — 17.8% change
2011-06-29: Highest IV Rank — 48.3%
2011-06-16: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.64	$35.48	$37.67	$37.63	$37.67
Max Pain	$36.89	$36.50	$37.50	$37.50	$36.50
ATM IV	24.6%	21.7%	30.2%	22.7%	23.1%
Expected Move	6.7%	5.6%	7.7%	6.5%	5.6%
HV 20d	21.8%	18.3%	24.4%	22.3%	24.1%
HV 60d	21.8%	21.1%	22.9%	22.9%	22.7%
IV Rank	29.6%	20.4%	48.3%	23.2%	35.8%
IV Percentile	69.6%	43.3%	97.2%	55.2%	60.3%
Term Structure	0.9%	-0.8%	2.6%	-0.1%	2.5%
VWIV	24.4%	20.6%	27.6%	24.0%	20.6%
Skew 25d	4.8%	3.7%	5.9%	4.5%	4.0%
Skew 10d	10.2%	7.4%	12.6%	8.6%	7.6%
Call IV 25d	21.8%	17.7%	24.7%	21.2%	17.7%
Put IV 25d	26.6%	21.7%	30.5%	25.7%	21.7%
Bid-Ask Spread %	11.59	6.60	25.64	9.19	14.39
Gamma HHI	0.10	0.07	0.15	0.08	0.07
Net GEX	-70.7M	-148.6M	21.2M	-52.6M	21.2M
Net DEX	1.39B	50.2M	2.99B	413.1M	50.2M
Net VEX	-15.7M	-17.6M	-14.3M	-17.6M	-15.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.25	3.58	1.31	0.66
Total Volume	180,056.364	76,142	443,810	108,786	131,574
Total OI	3,249,504.182	2,705,758	3,797,230	3,340,862	2,909,252

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
2011-06-01	$37.63	$37.50	22.7%	6.5%	22.3%	23.2%	24.0%	4.5%	-0.1%	-52.6M	413.1M	-17.6M	1.31	9.19	47,072	61,714	1,401,410	1,939,452
2011-06-02	$37.62	$37.50	22.4%	6.4%	21.5%	22.3%	24.3%	4.8%	-0.0%	-55.2M	470.9M	-17.4M	1.11	11.11	72,272	79,940	1,413,540	1,971,850
2011-06-03	$37.58	$37.50	22.6%	6.5%	20.1%	22.8%	24.8%	5.0%	-0.3%	-72.5M	595.7M	-17.5M	1.81	19.95	49,810	89,914	1,445,876	2,010,176
2011-06-06	$36.78	$37.50	24.3%	7.0%	21.5%	27.6%	27.4%	5.3%	-0.8%	-83.1M	1.49B	-16.6M	1.70	10.40	50,462	85,848	1,432,540	2,033,754
2011-06-07	$36.78	$37.50	23.3%	6.7%	20.4%	24.7%	25.9%	4.9%	-0.1%	-92.7M	1.64B	-16.7M	0.77	12.44	75,434	58,262	1,452,058	2,097,202
2011-06-08	$36.89	$37.50	24.9%	6.8%	20.3%	29.3%	24.0%	5.0%	-0.3%	-96.3M	1.55B	-16.7M	1.11	9.56	57,558	64,112	1,445,994	2,099,630
2011-06-09	$37.41	$37.00	21.7%	6.2%	18.3%	20.4%	23.3%	4.2%	2.2%	-78.0M	982.9M	-16.6M	1.87	7.63	31,254	58,568	1,463,740	2,090,134
2011-06-10	$36.63	$37.00	23.8%	6.8%	19.8%	26.2%	24.5%	5.1%	1.7%	-110.2M	1.85B	-15.8M	1.29	13.72	71,220	91,640	1,464,306	2,102,552
2011-06-13	$36.09	$37.00	25.3%	7.3%	20.4%	30.5%	25.6%	4.9%	1.1%	-123.1M	2.41B	-15.4M	3.23	8.95	68,896	222,348	1,446,270	2,120,926
2011-06-14	$36.90	$37.00	22.5%	6.4%	21.8%	22.6%	23.3%	4.9%	2.6%	-110.1M	1.69B	-15.9M	1.56	10.93	56,594	88,160	1,470,890	2,210,406
2011-06-15	$36.02	$37.00	25.6%	7.4%	23.5%	31.4%	27.1%	5.4%	1.1%	-131.9M	2.65B	-15.4M	2.38	7.86	95,874	228,486	1,480,956	2,218,048
2011-06-16	$36.07	$36.50	26.8%	7.7%	22.2%	34.6%	27.6%	5.7%	0.7%	-144.5M	2.63B	-15.7M	0.25	8.15	356,310	87,500	1,504,356	2,292,874
2011-06-17	$35.84	$36.50	25.9%	7.4%	22.3%	32.1%	25.8%	5.9%	1.3%	-148.6M	2.99B	-15.2M	0.86	11.33	122,454	105,614	1,446,392	2,280,222
2011-06-20	$35.95	$36.50	24.6%	7.1%	22.3%	28.6%	24.5%	5.3%	0.6%	-49.1M	1.41B	-15.0M	0.76	10.85	51,582	39,418	1,108,984	1,596,774
2011-06-21	$36.60	$36.50	22.6%	6.5%	22.9%	22.8%	22.7%	4.9%	1.6%	-35.7M	1.00B	-15.2M	0.94	9.21	80,984	75,738	1,120,020	1,610,852
2011-06-22	$36.48	$36.50	22.3%	6.4%	22.4%	21.9%	22.4%	4.9%	1.4%	-38.1M	1.04B	-15.3M	0.96	10.33	38,912	37,230	1,150,244	1,626,310
2011-06-23	$36.09	$36.50	23.4%	6.7%	21.6%	25.0%	23.6%	4.5%	1.2%	-49.7M	1.29B	-15.1M	3.58	25.64	72,788	260,234	1,166,620	1,637,424
2011-06-24	$35.48	$36.50	27.5%	7.2%	21.9%	36.7%	24.6%	5.0%	0.8%	-57.5M	1.69B	-14.3M	1.18	14.42	54,104	63,866	1,196,622	1,630,078
2011-06-27	$35.67	$36.50	30.2%	7.2%	22.0%	44.1%	25.6%	4.3%	0.9%	-50.0M	1.54B	-14.3M	2.57	9.53	55,130	141,938	1,202,434	1,629,818
2011-06-28	$36.70	$36.50	28.8%	6.5%	24.4%	40.2%	23.1%	4.3%	1.2%	-4.1M	774.9M	-14.6M	0.98	6.60	70,098	68,692	1,218,024	1,550,488
2011-06-29	$37.13	$36.50	26.1%	6.2%	23.5%	48.3%	22.9%	3.7%	1.4%	7.3M	460.4M	-14.8M	1.30	12.89	104,848	136,788	1,230,440	1,569,154
2011-06-30	$37.67	$36.50	23.1%	5.6%	24.1%	35.8%	20.6%	4.0%	2.5%	21.2M	50.2M	-15.2M	0.66	14.39	79,152	52,422	1,271,406	1,637,846