XLE Options History — September 2011

In September 2011, XLE traded between $29.25 and $33.97. ATM implied volatility averaged 41.4%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 1.4% (HV 20d: 40.0%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2011-09-15: Highest Volume — 402,856 contracts
2011-09-22: Largest IV spike — 20.8% change
2011-09-30: Highest IV Rank — 54.1%
2011-09-30: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.99	$29.25	$33.97	$33.97	$29.25
Max Pain	$32.14	$31.00	$34.00	$34.00	$31.00
ATM IV	41.4%	34.3%	52.4%	34.9%	52.4%
Expected Move	11.9%	9.8%	14.1%	10.0%	14.1%
HV 20d	40.0%	32.4%	55.6%	55.0%	40.8%
HV 60d	40.4%	38.8%	43.0%	38.8%	43.0%
IV Rank	38.5%	28.3%	54.1%	29.2%	54.1%
IV Percentile	94.5%	88.5%	98.8%	92.9%	98.8%
Term Structure	-1.1%	-2.9%	1.3%	-0.7%	-1.7%
VWIV	42.1%	36.1%	49.5%	36.3%	48.4%
Skew 25d	11.3%	9.2%	13.3%	10.6%	13.0%
Skew 10d	22.9%	19.0%	26.6%	21.6%	24.3%
Call IV 25d	36.3%	29.9%	44.2%	30.3%	44.2%
Put IV 25d	47.6%	39.1%	57.2%	40.9%	57.2%
Bid-Ask Spread %	22.05	12.18	39.02	39.02	15.44
Gamma HHI	0.07	0.05	0.12	0.08	0.07
Net GEX	-24.1M	-42.8M	-2.6M	-42.8M	-13.5M
Net DEX	1.84B	600.8M	2.56B	1.89B	1.89B
Net VEX	-10.9M	-12.6M	-9.2M	-12.6M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.17	2.06	0.71	1.58
Total Volume	152,709.048	67,326	402,856	119,470	136,974
Total OI	3,243,038.286	2,284,504	4,071,748	3,687,360	2,814,420

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
2011-09-01	$33.97	$34.00	34.9%	10.0%	55.0%	29.2%	36.3%	10.6%	-0.7%	-42.8M	1.89B	-12.6M	0.71	39.02	70,064	49,406	1,771,336	1,916,024
2011-09-02	$33.11	$34.00	37.9%	10.9%	55.6%	33.5%	40.2%	10.9%	-1.3%	-36.2M	2.39B	-12.0M	1.40	28.87	54,716	76,796	1,821,084	1,926,296
2011-09-06	$32.74	$34.00	42.2%	12.1%	45.7%	39.6%	48.3%	11.9%	-1.8%	-40.3M	2.54B	-11.7M	0.73	35.66	86,244	62,662	1,824,794	1,949,580
2011-09-07	$33.95	$34.00	37.8%	10.8%	43.7%	33.3%	41.0%	9.9%	-1.1%	-40.7M	1.83B	-12.6M	0.67	16.57	40,216	27,110	1,872,020	1,969,672
2011-09-08	$33.62	$34.00	38.0%	11.2%	41.6%	33.6%	41.6%	9.8%	-1.5%	-40.4M	2.08B	-12.1M	0.34	17.52	86,508	29,690	1,875,456	1,978,862
2011-09-09	$32.45	$34.00	43.6%	12.8%	40.3%	41.6%	45.4%	12.1%	-2.5%	-32.7M	2.51B	-11.6M	1.33	28.20	52,034	69,398	1,928,964	1,987,938
2011-09-12	$32.59	$31.50	45.3%	12.3%	40.1%	44.0%	42.5%	11.4%	-2.9%	-36.3M	2.56B	-11.3M	1.11	13.24	36,190	40,250	1,923,524	1,999,914
2011-09-13	$32.70	$31.50	41.9%	11.8%	38.5%	39.2%	41.5%	10.8%	-1.8%	-34.1M	2.56B	-11.2M	1.25	12.18	46,442	57,854	1,931,238	1,999,772
2011-09-14	$33.08	$31.50	34.3%	11.1%	38.6%	28.3%	38.2%	10.3%	-0.5%	-30.0M	2.31B	-11.3M	2.06	27.04	79,610	164,028	1,951,032	2,010,236
2011-09-15	$33.75	$31.50	35.1%	10.1%	39.3%	29.5%	36.7%	9.3%	0.9%	-10.6M	2.16B	-11.4M	0.17	12.81	344,476	58,380	1,973,276	2,098,472
2011-09-16	$33.55	$31.50	34.3%	9.8%	33.0%	28.3%	37.6%	9.2%	1.3%	-15.0M	2.42B	-11.2M	0.82	23.52	94,522	77,542	1,916,228	2,074,024
2011-09-19	$33.08	$31.50	35.9%	10.3%	33.0%	30.6%	36.5%	10.0%	0.4%	-2.6M	600.8M	-11.1M	0.99	18.53	46,780	46,306	1,024,090	1,260,414
2011-09-20	$32.81	$31.50	35.5%	10.2%	32.7%	30.1%	36.1%	10.5%	0.1%	-5.3M	699.0M	-11.0M	1.08	13.66	54,706	59,178	1,039,162	1,291,416
2011-09-21	$31.45	$31.50	40.3%	11.6%	32.4%	36.9%	37.9%	11.5%	-1.0%	-20.5M	1.24B	-10.3M	1.57	13.52	49,020	76,744	1,059,876	1,326,254
2011-09-22	$29.67	$31.50	48.8%	14.0%	37.8%	48.9%	47.7%	12.4%	-1.9%	-21.4M	1.75B	-9.3M	0.93	19.91	140,064	129,928	1,076,470	1,360,466
2011-09-23	$29.36	$31.50	48.7%	14.0%	37.4%	48.8%	44.7%	13.3%	-2.2%	-18.0M	1.83B	-9.2M	0.99	36.11	83,424	82,618	1,165,116	1,410,302
2011-09-26	$29.76	$31.00	46.0%	13.2%	37.0%	45.0%	49.5%	13.2%	-1.5%	-13.5M	1.28B	-9.8M	1.05	18.36	82,194	86,340	1,180,304	1,371,546
2011-09-27	$30.90	$31.00	42.2%	12.1%	38.1%	39.6%	41.6%	11.2%	-0.2%	-11.4M	1.18B	-10.2M	0.68	28.57	89,386	61,176	1,192,424	1,394,808
2011-09-28	$29.86	$31.50	47.9%	13.7%	39.4%	47.7%	46.4%	13.3%	-1.9%	-16.9M	1.53B	-9.6M	1.58	25.59	68,318	108,024	1,238,324	1,418,684
2011-09-29	$30.24	$31.50	46.8%	13.4%	39.7%	46.2%	45.7%	12.4%	-1.1%	-23.4M	1.47B	-10.2M	1.54	18.68	40,064	61,508	1,283,088	1,496,898
2011-09-30	$29.25	$31.00	52.4%	14.1%	40.8%	54.1%	48.4%	13.0%	-1.7%	-13.5M	1.89B	-9.3M	1.58	15.44	53,156	83,818	1,295,700	1,518,720