XLE Options History — February 2012

In February 2012, XLE traded between $35.48 and $38.12. ATM implied volatility averaged 21.0%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.8% (HV 20d: 13.2%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.23.

Notable Days

2012-02-07: Highest Volume — 248,476 contracts
2012-02-02: Largest IV drop — 21.5% change
2012-02-01: Highest IV Rank — 11.5%
2012-02-10: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.10	$35.48	$38.12	$35.48	$37.44
Max Pain	$35.55	$35.00	$37.50	$35.00	$37.50
ATM IV	21.0%	17.2%	24.7%	24.7%	20.6%
Expected Move	6.1%	5.6%	6.9%	6.1%	5.9%
HV 20d	13.2%	10.7%	15.1%	13.3%	11.4%
HV 60d	24.7%	19.7%	27.8%	27.6%	19.9%
IV Rank	5.9%	0.4%	11.5%	11.5%	5.5%
IV Percentile	16.9%	0.4%	45.2%	45.2%	12.3%
Term Structure	0.9%	0.2%	2.9%	1.8%	0.4%
VWIV	22.8%	20.4%	27.0%	20.8%	22.6%
Skew 25d	5.2%	4.1%	6.3%	4.5%	5.7%
Skew 10d	11.0%	8.5%	13.2%	9.4%	11.0%
Call IV 25d	19.1%	17.5%	21.2%	19.5%	18.5%
Put IV 25d	24.3%	21.8%	27.4%	24.0%	24.3%
Bid-Ask Spread %	13.84	9.15	20.92	13.06	17.96
Gamma HHI	0.11	0.07	0.31	0.07	0.10
Net GEX	28.2M	-12.6M	93.1M	-12.6M	14.4M
Net DEX	-693.0M	-1.15B	52.3M	52.3M	-546.4M
Net VEX	-8.9M	-9.7M	-8.3M	-8.4M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.55	2.55	0.60	0.85
Total Volume	111,830.4	41,854	248,476	108,928	76,590
Total OI	2,108,280.3	1,830,754	2,367,788	1,830,754	2,222,508

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
2012-02-01	$35.48	$35.00	24.7%	6.1%	13.3%	11.5%	20.8%	4.5%	1.8%	-12.6M	52.3M	-8.4M	0.60	13.06	68,216	40,712	710,494	1,120,260
2012-02-02	$35.76	$35.50	19.4%	5.6%	13.6%	3.6%	20.4%	4.3%	2.9%	3.5M	-141.9M	-8.6M	0.74	14.69	85,934	63,674	751,862	1,135,772
2012-02-03	$36.40	$35.00	17.2%	6.0%	14.8%	0.4%	23.1%	4.7%	0.7%	30.3M	-533.4M	-8.8M	1.21	13.54	35,250	42,800	802,716	1,169,508
2012-02-06	$36.82	$35.00	20.0%	6.2%	15.0%	4.5%	22.6%	4.6%	0.2%	33.6M	-726.2M	-8.6M	2.55	11.81	22,116	56,366	796,776	1,165,128
2012-02-07	$37.01	$35.00	21.2%	6.3%	15.1%	6.2%	22.0%	5.1%	0.4%	34.6M	-836.5M	-8.6M	1.90	13.69	85,788	162,688	801,908	1,198,832
2012-02-08	$36.91	$35.00	18.5%	6.2%	15.0%	2.3%	22.7%	5.2%	0.9%	17.7M	-641.8M	-9.3M	1.22	18.56	40,424	49,224	836,336	1,340,326
2012-02-09	$36.89	$35.00	22.1%	6.3%	13.9%	7.7%	23.0%	5.3%	0.8%	22.7M	-649.8M	-9.3M	0.67	20.92	34,018	22,718	843,806	1,346,142
2012-02-10	$36.52	$35.00	24.2%	6.9%	13.9%	10.7%	26.9%	6.3%	0.9%	7.5M	-381.3M	-9.7M	0.87	17.24	44,746	38,852	861,614	1,365,702
2012-02-13	$36.81	$35.00	22.9%	6.6%	13.8%	8.8%	24.4%	5.5%	0.6%	25.5M	-622.9M	-9.3M	1.60	12.19	30,868	49,276	860,318	1,353,566
2012-02-14	$36.88	$35.00	23.2%	6.6%	13.7%	9.2%	23.4%	5.7%	0.8%	24.2M	-652.9M	-9.3M	0.55	12.32	116,562	63,958	863,828	1,376,648
2012-02-15	$36.81	$35.00	23.4%	6.7%	12.9%	9.6%	27.0%	6.1%	0.9%	19.5M	-594.0M	-9.4M	1.53	12.46	35,086	53,592	885,950	1,389,188
2012-02-16	$37.30	$35.00	21.8%	6.2%	13.5%	7.1%	24.7%	5.3%	0.9%	38.1M	-906.6M	-9.1M	0.71	11.76	48,182	34,104	858,534	1,441,762
2012-02-17	$37.44	$35.00	19.7%	5.7%	13.3%	4.1%	21.9%	4.7%	1.5%	93.1M	-1.15B	-9.1M	1.00	12.09	86,106	85,842	919,834	1,447,954
2012-02-21	$37.69	$35.00	19.6%	5.6%	12.9%	4.0%	21.3%	4.2%	1.7%	32.7M	-854.5M	-8.5M	1.73	9.15	42,100	72,820	776,194	1,206,448
2012-02-22	$37.82	$35.00	20.2%	5.7%	12.8%	4.9%	21.5%	4.1%	1.1%	30.8M	-835.7M	-8.7M	2.54	11.81	40,164	101,860	791,742	1,223,280
2012-02-23	$37.97	$36.50	19.2%	5.7%	12.3%	3.4%	21.9%	5.2%	0.2%	37.9M	-966.3M	-8.4M	1.33	9.80	17,962	23,892	798,140	1,228,362
2012-02-24	$38.12	$36.50	20.3%	5.8%	10.7%	5.0%	22.6%	5.4%	0.3%	44.9M	-1.04B	-8.3M	1.16	15.01	66,770	77,762	803,996	1,238,046
2012-02-27	$37.99	$37.50	20.7%	5.9%	10.8%	5.6%	21.9%	5.5%	0.3%	30.9M	-940.0M	-8.6M	0.68	13.23	37,548	25,438	830,474	1,287,694
2012-02-28	$37.87	$37.50	20.2%	5.8%	10.7%	4.9%	21.3%	5.9%	0.5%	34.4M	-891.0M	-8.5M	1.14	15.46	73,206	83,394	842,998	1,270,960
2012-02-29	$37.44	$37.50	20.6%	5.9%	11.4%	5.5%	22.6%	5.7%	0.4%	14.4M	-546.4M	-9.0M	0.85	17.96	41,438	35,152	893,782	1,328,726