XLE Options History — December 2011

In December 2011, XLE traded between $32.48 and $35.64. ATM implied volatility averaged 29.6%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 4.9% (HV 20d: 34.5%). Max pain ranged from $35.00 to $36.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.86.

Notable Days

2011-12-15: Highest Volume — 292,958 contracts
2011-12-09: Largest IV drop — 19.5% change
2011-12-08: Highest IV Rank — 33.1%
2011-12-08: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.38	$32.48	$35.64	$35.27	$34.56
Max Pain	$35.50	$35.00	$36.50	$36.50	$35.00
ATM IV	29.6%	21.6%	37.7%	31.1%	21.6%
Expected Move	8.4%	6.5%	9.9%	8.9%	7.2%
HV 20d	34.5%	28.4%	37.4%	37.0%	28.4%
HV 60d	38.7%	35.0%	40.8%	40.2%	35.0%
IV Rank	21.6%	10.2%	33.1%	23.7%	10.2%
IV Percentile	59.3%	25.4%	81.0%	66.3%	25.4%
Term Structure	1.9%	-0.6%	4.3%	0.6%	3.3%
VWIV	30.2%	24.2%	40.5%	32.4%	26.0%
Skew 25d	6.7%	5.1%	8.4%	8.1%	5.6%
Skew 10d	13.2%	9.8%	16.8%	14.0%	11.4%
Call IV 25d	26.4%	20.7%	31.9%	27.9%	22.4%
Put IV 25d	33.1%	26.2%	38.7%	36.0%	28.0%
Bid-Ask Spread %	20.98	9.90	38.25	23.40	9.90
Gamma HHI	0.07	0.05	0.11	0.05	0.06
Net GEX	-21.2M	-65.7M	-1.4M	-1.4M	-2.7M
Net DEX	580.4M	-152.4M	1.66B	4.4M	416.5M
Net VEX	-9.8M	-11.4M	-8.7M	-11.3M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.62	5.17	5.17	4.72
Total Volume	113,300.762	36,522	292,958	132,338	113,538
Total OI	3,020,144.571	2,580,190	3,346,878	3,073,582	2,811,848

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
2011-12-01	$35.27	$36.50	31.1%	8.9%	37.0%	23.7%	32.4%	8.1%	0.6%	-1.4M	4.4M	-11.3M	5.17	23.40	21,440	110,898	1,296,300	1,777,282
2011-12-02	$35.15	$36.50	32.0%	9.2%	35.8%	25.0%	30.9%	7.6%	0.6%	-10.5M	104.3M	-11.4M	1.41	38.25	82,288	116,344	1,295,974	1,832,184
2011-12-05	$35.62	$36.50	31.7%	9.1%	36.1%	24.6%	30.7%	7.8%	0.0%	-5.7M	-128.9M	-11.4M	1.23	27.61	45,030	55,388	1,333,798	1,859,290
2011-12-06	$35.64	$36.50	31.0%	8.9%	36.1%	23.6%	30.3%	7.1%	0.2%	-2.0M	-152.4M	-11.1M	1.16	20.94	28,854	33,484	1,350,730	1,872,876
2011-12-07	$35.30	$36.50	32.1%	9.2%	35.7%	25.2%	34.1%	6.9%	-0.4%	-7.7M	3.1M	-11.2M	1.07	22.06	40,432	43,078	1,356,372	1,883,496
2011-12-08	$34.31	$36.50	37.7%	9.9%	33.2%	33.1%	40.5%	6.8%	-0.6%	-35.7M	743.9M	-10.8M	2.97	16.69	35,304	104,922	1,365,554	1,898,008
2011-12-09	$35.18	$36.50	30.3%	8.7%	33.7%	22.7%	33.9%	6.4%	0.5%	-13.6M	120.0M	-10.8M	1.25	27.60	31,394	39,176	1,376,768	1,946,278
2011-12-12	$34.27	$35.00	34.3%	9.2%	34.1%	28.3%	33.6%	8.4%	1.7%	-39.4M	840.3M	-10.0M	2.09	21.06	30,566	63,886	1,369,014	1,898,882
2011-12-13	$33.98	$35.00	34.4%	9.1%	34.0%	28.4%	31.1%	8.3%	2.0%	-44.3M	1.04B	-9.8M	1.24	15.86	52,178	64,456	1,370,870	1,914,262
2011-12-14	$33.00	$35.00	36.1%	9.6%	35.3%	30.9%	33.6%	8.3%	2.0%	-58.6M	1.60B	-9.1M	3.06	18.39	40,402	123,470	1,384,970	1,902,130
2011-12-15	$32.93	$35.00	32.9%	9.4%	35.0%	26.3%	32.5%	6.9%	1.8%	-65.7M	1.65B	-9.0M	0.62	19.13	180,392	112,566	1,403,594	1,915,912
2011-12-16	$33.07	$35.00	30.6%	8.8%	34.3%	23.1%	29.8%	7.4%	4.3%	-42.7M	1.66B	-9.1M	1.94	23.71	57,478	111,546	1,369,602	1,977,276
2011-12-19	$32.48	$35.00	30.9%	8.9%	34.8%	23.5%	30.9%	6.6%	2.0%	-36.1M	1.30B	-8.8M	1.02	15.43	42,656	43,708	1,089,662	1,490,528
2011-12-20	$33.82	$35.00	27.0%	7.8%	37.4%	18.0%	27.7%	5.3%	2.0%	-19.8M	699.2M	-9.2M	0.67	21.79	52,684	35,110	1,116,492	1,506,696
2011-12-21	$34.20	$35.00	25.8%	7.4%	37.3%	16.2%	26.2%	5.7%	2.5%	-11.3M	532.7M	-9.2M	0.90	22.95	24,472	21,970	1,132,128	1,507,714
2011-12-22	$34.60	$35.00	24.6%	7.1%	35.5%	14.5%	25.6%	5.7%	3.0%	-2.4M	300.6M	-9.1M	2.60	17.41	61,584	160,298	1,138,348	1,515,166
2011-12-23	$34.80	$35.00	22.8%	6.5%	35.2%	11.9%	24.2%	5.5%	3.7%	-10.0M	219.6M	-9.3M	1.04	20.98	19,298	20,162	1,175,784	1,622,560
2011-12-27	$34.91	$35.00	23.6%	6.8%	33.1%	13.0%	25.7%	5.1%	3.3%	-3.1M	225.4M	-9.0M	1.42	17.31	27,120	38,562	1,164,448	1,622,076
2011-12-28	$34.23	$35.00	26.3%	7.6%	33.5%	17.0%	26.4%	5.7%	3.0%	-27.3M	620.0M	-8.9M	0.99	19.23	18,392	18,130	1,159,628	1,630,732
2011-12-29	$34.59	$35.00	24.9%	7.1%	28.4%	14.9%	27.4%	5.7%	3.3%	-6.1M	383.9M	-8.8M	2.45	20.89	16,412	40,248	1,161,040	1,626,764
2011-12-30	$34.56	$35.00	21.6%	7.2%	28.4%	10.2%	26.0%	5.6%	3.3%	-2.7M	416.5M	-8.7M	4.72	9.90	19,862	93,676	1,164,384	1,647,464