XLE Options History — August 2011

In August 2011, XLE traded between $31.18 and $38.17. ATM implied volatility averaged 43.1%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 4.9% (HV 20d: 48.1%). Max pain ranged from $34.00 to $39.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.45.

Notable Days

2011-08-05: Highest Volume — 530,942 contracts
2011-08-08: Largest IV spike — 62.6% change
2011-08-01: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.66	$31.18	$38.17	$38.17	$34.32
Max Pain	$37.30	$34.00	$39.00	$39.00	$34.00
ATM IV	43.1%	33.2%	84.6%	33.2%	34.1%
Expected Move	11.0%	7.6%	14.6%	7.8%	9.8%
HV 20d	48.1%	19.7%	60.5%	19.7%	60.0%
HV 60d	33.4%	21.0%	38.9%	21.0%	38.7%
IV Rank	53.9%	27.8%	100.0%	100.0%	28.1%
IV Percentile	97.4%	92.1%	100.0%	100.0%	92.1%
Term Structure	-1.2%	-4.0%	0.6%	-0.6%	-0.7%
VWIV	39.2%	26.4%	48.7%	27.6%	35.2%
Skew 25d	10.4%	3.9%	14.5%	3.9%	9.9%
Skew 10d	20.6%	8.4%	29.2%	8.4%	21.9%
Call IV 25d	34.2%	25.0%	44.9%	25.7%	30.4%
Put IV 25d	44.6%	29.6%	58.1%	29.6%	40.3%
Bid-Ask Spread %	27.69	10.16	63.03	28.92	19.74
Gamma HHI	0.07	0.05	0.08	0.06	0.08
Net GEX	-47.3M	-65.8M	-23.6M	-23.6M	-44.4M
Net DEX	2.58B	638.2M	3.72B	638.2M	1.74B
Net VEX	-12.5M	-15.3M	-10.7M	-15.3M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.68	4.50	4.50	0.74
Total Volume	213,749.391	63,302	530,942	181,320	131,792
Total OI	3,543,469.217	3,178,704	3,906,638	3,191,356	3,618,938

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
2011-08-01	$38.17	$39.00	33.2%	7.8%	19.7%	100.0%	27.6%	3.9%	-0.6%	-23.6M	638.2M	-15.3M	4.50	28.92	32,962	148,358	1,441,796	1,749,560
2011-08-02	$37.03	$39.00	37.8%	8.0%	21.8%	100.0%	26.4%	4.7%	0.6%	-50.7M	1.56B	-14.4M	4.26	28.29	44,470	189,442	1,438,062	1,789,066
2011-08-03	$36.80	$39.00	34.7%	7.6%	21.8%	86.7%	26.7%	4.8%	0.1%	-51.6M	1.51B	-14.0M	1.80	22.11	122,360	220,138	1,455,300	1,723,404
2011-08-04	$34.37	$39.00	46.2%	11.2%	31.5%	100.0%	38.4%	7.2%	-3.4%	-65.8M	2.85B	-13.0M	1.29	32.01	138,734	178,384	1,490,924	1,818,226
2011-08-05	$34.02	$38.50	52.0%	10.4%	31.6%	100.0%	36.1%	10.0%	-0.9%	-64.8M	2.97B	-12.8M	2.47	20.58	152,804	378,138	1,541,332	1,855,658
2011-08-08	$31.18	$38.50	84.6%	14.6%	42.6%	100.0%	48.7%	13.2%	-4.0%	-48.1M	3.70B	-10.8M	1.06	38.02	183,660	194,470	1,591,242	1,927,232
2011-08-09	$32.84	$38.50	59.0%	11.9%	47.8%	63.5%	42.1%	10.6%	-2.1%	-56.2M	3.36B	-12.1M	1.16	63.03	99,906	115,398	1,655,008	1,964,442
2011-08-10	$31.65	$38.00	57.0%	13.7%	48.7%	60.6%	45.8%	12.6%	-3.2%	-47.9M	3.57B	-11.3M	1.56	34.95	96,286	149,816	1,687,480	1,983,002
2011-08-11	$33.17	$38.00	42.7%	12.2%	52.6%	40.3%	42.8%	12.8%	-1.7%	-51.5M	3.00B	-13.0M	0.68	45.67	142,138	97,038	1,716,574	2,029,596
2011-08-12	$33.55	$38.00	39.2%	11.2%	51.8%	35.3%	39.5%	10.6%	-1.0%	-51.2M	2.89B	-12.7M	0.91	14.45	60,088	54,938	1,717,620	1,994,584
2011-08-15	$34.53	$38.00	34.5%	9.9%	53.3%	28.6%	35.1%	9.0%	-0.2%	-48.5M	2.42B	-12.9M	0.80	25.04	115,956	92,376	1,744,830	1,984,146
2011-08-16	$34.03	$38.00	35.7%	10.2%	52.6%	30.3%	35.6%	9.7%	-0.1%	-47.7M	2.75B	-12.5M	1.13	44.36	62,224	70,198	1,777,004	2,013,590
2011-08-17	$34.17	$38.00	34.0%	9.7%	52.7%	27.8%	34.4%	8.9%	-0.1%	-49.5M	2.69B	-12.3M	1.42	41.66	67,530	96,190	1,775,980	2,002,838
2011-08-18	$32.24	$38.00	45.2%	13.0%	54.7%	43.9%	44.3%	13.0%	-1.7%	-51.4M	3.50B	-11.4M	0.95	22.74	153,516	145,850	1,788,782	2,034,966
2011-08-19	$31.75	$38.00	46.8%	13.4%	54.5%	46.1%	46.1%	14.5%	-1.2%	-50.7M	3.72B	-11.1M	1.10	21.31	112,102	122,960	1,827,990	2,078,648
2011-08-22	$31.36	$37.50	46.9%	13.4%	54.4%	46.3%	46.9%	14.0%	-1.5%	-39.0M	2.81B	-10.7M	1.42	21.76	54,296	77,302	1,558,002	1,718,370
2011-08-23	$32.79	$37.50	38.7%	11.1%	58.0%	34.7%	40.3%	12.2%	0.1%	-44.2M	2.48B	-11.7M	1.00	19.96	134,520	134,980	1,583,798	1,757,958
2011-08-24	$32.98	$37.50	39.0%	11.2%	58.1%	35.0%	39.9%	11.2%	-0.2%	-41.0M	2.37B	-12.4M	1.27	10.16	53,218	67,568	1,636,438	1,824,762
2011-08-25	$32.29	$34.00	41.8%	11.8%	58.3%	39.0%	48.7%	13.5%	-2.4%	-38.8M	2.58B	-12.0M	0.77	15.27	74,322	57,462	1,655,412	1,840,180
2011-08-26	$32.91	$34.00	38.4%	11.0%	59.1%	34.2%	45.3%	11.6%	-1.1%	-32.3M	2.39B	-12.2M	0.79	15.68	75,592	59,814	1,694,658	1,863,198
2011-08-29	$33.88	$34.00	35.3%	10.1%	60.5%	29.8%	37.2%	10.5%	-1.2%	-44.2M	1.99B	-12.7M	1.09	29.61	30,348	32,954	1,699,944	1,861,666
2011-08-30	$34.06	$34.00	35.5%	10.2%	59.9%	30.1%	37.9%	10.3%	-1.2%	-44.6M	1.94B	-12.6M	1.22	21.63	42,096	51,542	1,714,864	1,872,722
2011-08-31	$34.32	$34.00	34.1%	9.8%	60.0%	28.1%	35.2%	9.9%	-0.7%	-44.4M	1.74B	-12.9M	0.74	19.74	75,740	56,052	1,725,812	1,893,126