XLE Options History — October 2011

In October 2011, XLE traded between $28.26 and $36.52. ATM implied volatility averaged 39.5%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 3.0% (HV 20d: 42.5%). Max pain ranged from $29.50 to $32.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2011-10-05: Highest Volume — 337,820 contracts
2011-10-31: Largest IV spike — 37.8% change
2011-10-03: Highest IV Rank — 72.8%
2011-10-03: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.81	$28.26	$36.52	$28.26	$34.85
Max Pain	$30.81	$29.50	$32.50	$31.00	$32.50
ATM IV	39.5%	28.3%	65.5%	65.5%	39.0%
Expected Move	10.8%	7.9%	15.6%	15.6%	9.7%
HV 20d	42.5%	35.4%	48.6%	41.4%	37.7%
HV 60d	45.8%	43.5%	47.6%	43.5%	46.4%
IV Rank	35.7%	19.8%	72.8%	72.8%	35.1%
IV Percentile	85.9%	73.4%	99.6%	99.6%	88.5%
Term Structure	0.1%	-2.8%	2.0%	-2.8%	0.2%
VWIV	39.0%	28.4%	51.1%	51.1%	34.5%
Skew 25d	9.8%	6.6%	12.3%	12.3%	8.9%
Skew 10d	20.0%	13.3%	24.0%	22.4%	18.3%
Call IV 25d	33.5%	25.0%	49.9%	49.9%	31.0%
Put IV 25d	43.3%	31.6%	62.1%	62.1%	39.9%
Bid-Ask Spread %	22.24	8.62	64.87	14.94	21.61
Gamma HHI	0.06	0.04	0.15	0.07	0.06
Net GEX	6.7M	-22.2M	28.8M	-16.9M	-669.7K
Net DEX	234.2M	-1.05B	1.90B	1.90B	-74.4M
Net VEX	-11.0M	-11.8M	-8.5M	-8.5M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.27	2.64	1.17	2.64
Total Volume	178,323.238	86,080	337,820	122,414	149,526
Total OI	2,824,991.524	2,564,832	3,075,166	2,564,832	2,783,862

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
2011-10-03	$28.26	$31.00	65.5%	15.6%	41.4%	72.8%	51.1%	12.3%	-2.8%	-16.9M	1.90B	-8.5M	1.17	14.94	56,294	66,120	1,167,220	1,397,612
2011-10-04	$29.18	$31.00	58.3%	14.5%	43.8%	62.6%	49.1%	11.9%	-2.5%	-13.8M	1.70B	-9.0M	0.56	64.87	206,498	115,816	1,175,576	1,424,990
2011-10-05	$30.26	$30.50	49.7%	12.7%	43.8%	50.2%	43.8%	8.2%	-0.4%	-1.7M	1.15B	-10.2M	0.27	15.72	264,982	72,838	1,262,612	1,420,998
2011-10-06	$30.77	$30.00	44.6%	12.0%	44.5%	43.0%	44.9%	7.5%	0.7%	6.7M	809.2M	-10.7M	0.81	32.01	86,966	70,156	1,330,504	1,442,288
2011-10-07	$30.57	$29.50	42.4%	12.4%	42.9%	39.9%	43.8%	11.7%	0.1%	-22.2M	931.0M	-10.6M	0.97	36.99	121,728	117,706	1,324,800	1,468,334
2011-10-10	$31.83	$29.50	45.3%	11.1%	45.5%	44.0%	39.2%	10.7%	0.5%	4.9M	555.0M	-11.0M	0.38	12.00	118,358	44,664	1,271,930	1,507,456
2011-10-11	$31.89	$29.50	38.0%	11.0%	45.5%	33.6%	39.7%	10.4%	0.5%	19.7M	467.5M	-11.1M	1.16	10.01	90,592	105,052	1,347,938	1,520,904
2011-10-12	$32.06	$30.00	33.6%	10.5%	45.4%	27.4%	37.1%	10.1%	0.5%	13.4M	517.3M	-11.0M	1.17	28.65	57,288	67,152	1,328,412	1,568,830
2011-10-13	$32.03	$30.00	35.7%	10.2%	44.6%	30.3%	37.4%	9.9%	1.0%	10.4M	550.6M	-11.0M	1.15	8.62	40,084	45,996	1,339,842	1,604,436
2011-10-14	$33.30	$30.00	32.3%	9.3%	47.0%	25.5%	35.6%	8.6%	0.7%	13.4M	-181.7M	-11.0M	1.55	26.08	54,206	84,014	1,331,274	1,609,176
2011-10-17	$32.64	$30.00	38.3%	11.0%	47.2%	34.0%	39.5%	10.2%	-0.5%	5.6M	294.4M	-11.1M	0.30	18.62	223,360	67,978	1,328,748	1,595,872
2011-10-18	$33.74	$31.00	35.4%	10.2%	48.6%	29.9%	37.2%	9.7%	0.3%	28.8M	-465.9M	-11.5M	0.91	17.83	66,516	60,704	1,382,596	1,616,076
2011-10-19	$33.40	$31.00	38.0%	10.9%	46.1%	33.6%	38.3%	10.3%	-0.3%	27.0M	-274.9M	-11.6M	0.87	18.44	74,610	65,028	1,383,142	1,629,610
2011-10-20	$33.67	$31.50	38.8%	11.1%	40.0%	34.7%	40.5%	11.0%	-0.6%	25.4M	-349.6M	-11.7M	1.64	19.33	50,470	82,738	1,374,660	1,646,400
2011-10-21	$34.27	$31.50	35.0%	10.0%	39.7%	29.4%	39.7%	9.7%	0.7%	23.0M	-698.5M	-11.8M	0.67	21.11	98,702	66,008	1,374,406	1,700,760
2011-10-24	$34.67	$31.50	33.0%	9.5%	39.6%	26.5%	34.5%	10.3%	1.0%	-1.3M	-82.5M	-11.3M	2.52	24.71	43,228	108,802	1,088,668	1,494,876
2011-10-25	$34.00	$31.50	36.3%	10.4%	39.1%	31.2%	38.3%	11.1%	-0.4%	-8.2M	246.7M	-11.7M	1.77	20.47	78,498	139,082	1,112,220	1,537,436
2011-10-26	$34.73	$31.50	33.3%	9.5%	36.6%	26.8%	34.6%	10.1%	0.5%	-8.2M	-106.8M	-11.7M	1.39	20.44	68,348	95,146	1,158,520	1,599,150
2011-10-27	$36.27	$31.50	28.4%	8.2%	38.7%	20.0%	31.8%	6.6%	1.4%	17.8M	-925.0M	-11.6M	1.80	17.29	72,070	129,826	1,179,612	1,617,470
2011-10-28	$36.52	$32.50	28.3%	7.9%	35.4%	19.8%	28.4%	6.6%	2.0%	18.2M	-1.05B	-11.4M	0.88	17.29	62,690	54,948	1,204,912	1,670,694
2011-10-31	$34.85	$32.50	39.0%	9.7%	37.7%	35.1%	34.5%	8.9%	0.2%	-669.7K	-74.4M	-11.6M	2.64	21.61	41,034	108,492	1,197,520	1,586,342