XLE Options History — January 2012

In January 2012, XLE traded between $34.72 and $36.31. ATM implied volatility averaged 22.5%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.1% (HV 20d: 22.4%). Max pain ranged from $35.00 to $35.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.82.

Notable Days

2012-01-17: Highest Volume — 181,080 contracts
2012-01-12: Largest IV spike — 21.0% change
2012-01-12: Highest IV Rank — 15.4%
2012-01-06: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.50	$34.72	$36.31	$35.52	$35.34
Max Pain	$35.15	$35.00	$35.50	$35.00	$35.50
ATM IV	22.5%	19.3%	25.6%	24.2%	25.3%
Expected Move	6.6%	5.5%	7.6%	6.8%	6.3%
HV 20d	22.4%	16.2%	30.1%	30.1%	16.5%
HV 60d	32.5%	28.1%	35.2%	35.2%	28.1%
IV Rank	9.5%	3.5%	15.4%	13.9%	12.4%
IV Percentile	29.6%	8.3%	51.6%	42.1%	48.8%
Term Structure	2.2%	1.3%	4.5%	3.2%	1.9%
VWIV	23.5%	20.2%	27.8%	24.2%	22.8%
Skew 25d	5.1%	4.1%	6.3%	5.1%	4.5%
Skew 10d	10.7%	7.7%	13.3%	10.2%	9.2%
Call IV 25d	20.6%	17.4%	23.2%	21.6%	20.5%
Put IV 25d	25.7%	22.0%	29.1%	26.8%	25.0%
Bid-Ask Spread %	16.36	13.57	28.84	16.97	13.90
Gamma HHI	0.07	0.06	0.08	0.06	0.07
Net GEX	-8.9M	-30.2M	7.0M	5.3M	-17.2M
Net DEX	-19.0M	-266.4M	403.2M	-159.3M	135.5M
Net VEX	-8.2M	-8.7M	-7.5M	-8.6M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.42	6.52	1.94	1.88
Total Volume	105,849.5	50,826	181,080	115,000	81,636
Total OI	2,305,820.4	1,502,686	2,776,578	2,478,422	1,816,766

Daily Data (20 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
2012-01-03	$35.52	$35.00	24.2%	6.8%	30.1%	13.9%	24.2%	5.1%	3.2%	5.3M	-159.3M	-8.6M	1.94	16.97	39,112	75,888	1,079,110	1,399,312
2012-01-04	$35.49	$35.00	22.3%	6.4%	29.7%	11.2%	22.6%	4.5%	4.5%	2.6M	-170.9M	-8.6M	0.71	14.91	55,210	39,020	1,092,098	1,431,426
2012-01-05	$35.43	$35.00	23.0%	6.4%	29.7%	12.2%	23.1%	4.1%	4.1%	573.6K	-73.0M	-8.6M	3.63	17.83	25,056	90,844	1,125,646	1,450,626
2012-01-06	$35.24	$35.00	22.4%	7.6%	29.6%	11.4%	27.8%	5.9%	1.3%	-2.1M	45.6M	-8.7M	1.67	19.44	25,290	42,122	1,136,174	1,508,116
2012-01-09	$35.39	$35.00	22.8%	7.2%	27.6%	12.0%	25.0%	6.2%	1.6%	-7.3M	-5.7M	-8.5M	1.60	15.00	29,450	47,052	1,133,116	1,502,486
2012-01-10	$35.70	$35.50	21.3%	7.1%	26.4%	9.8%	25.3%	6.1%	1.7%	7.0M	-209.3M	-8.5M	0.72	16.22	50,966	36,796	1,141,162	1,522,252
2012-01-11	$35.23	$35.50	20.8%	7.3%	25.1%	9.1%	24.2%	6.3%	1.6%	-16.3M	112.8M	-8.5M	0.42	18.58	35,888	14,938	1,135,790	1,530,320
2012-01-12	$34.90	$35.50	25.2%	7.2%	25.1%	15.4%	25.7%	6.1%	1.8%	-27.0M	315.3M	-8.4M	2.81	16.65	29,840	83,920	1,147,584	1,535,766
2012-01-13	$34.72	$35.00	25.6%	7.3%	22.5%	12.8%	24.9%	6.0%	1.9%	-30.2M	403.2M	-8.5M	1.88	15.71	27,784	52,340	1,153,724	1,573,440
2012-01-17	$34.99	$35.00	24.6%	7.0%	22.5%	11.2%	25.2%	5.6%	1.9%	-26.5M	278.6M	-8.1M	6.52	15.38	24,070	157,010	1,149,462	1,556,488
2012-01-18	$35.54	$35.00	24.1%	6.9%	23.0%	10.6%	25.0%	5.5%	1.8%	-10.8M	-97.1M	-8.1M	0.69	14.08	50,928	35,178	1,155,550	1,595,622
2012-01-19	$35.65	$35.00	22.6%	6.5%	21.5%	8.4%	23.6%	4.9%	2.4%	755.9K	-266.4M	-7.9M	0.72	28.84	37,580	27,016	1,170,222	1,606,356
2012-01-20	$35.53	$35.00	21.2%	6.1%	17.0%	6.3%	21.5%	5.0%	2.7%	-7.7M	-84.7M	-8.0M	0.63	17.51	64,150	40,380	1,173,208	1,598,550
2012-01-23	$35.98	$35.00	19.5%	5.6%	17.1%	3.8%	20.2%	4.4%	2.5%	-9.5M	-118.5M	-7.6M	4.06	13.57	22,832	92,756	569,478	933,208
2012-01-24	$35.87	$35.00	19.3%	5.5%	16.9%	3.5%	20.6%	4.6%	2.1%	-10.5M	-94.8M	-7.5M	1.83	16.37	24,020	43,864	580,930	940,774
2012-01-25	$36.31	$35.00	19.3%	5.5%	17.2%	3.5%	21.0%	4.7%	2.0%	-4.6M	-239.3M	-7.6M	0.63	13.72	110,732	69,804	590,934	952,888
2012-01-26	$35.81	$35.00	20.3%	5.8%	18.1%	4.9%	22.4%	4.5%	1.8%	-6.5M	-108.7M	-8.1M	1.50	14.16	70,322	105,478	654,724	983,016
2012-01-27	$35.74	$35.50	21.4%	6.0%	16.4%	6.5%	22.0%	4.6%	2.0%	-6.3M	-66.1M	-8.4M	1.05	13.62	60,740	63,524	695,208	1,047,166
2012-01-30	$35.57	$35.50	24.8%	6.2%	16.2%	11.7%	23.1%	4.5%	2.1%	-12.8M	21.9M	-8.3M	1.57	14.82	51,998	81,456	683,380	1,064,330
2012-01-31	$35.34	$35.50	25.3%	6.3%	16.5%	12.4%	22.8%	4.5%	1.9%	-17.2M	135.5M	-8.5M	1.88	13.90	28,302	53,334	704,322	1,112,444