XLE Options History — March 2012

In March 2012, XLE traded between $35.59 and $37.81. ATM implied volatility averaged 18.2%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.1% (HV 20d: 14.1%). Max pain ranged from $36.50 to $37.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.34.

Notable Days

2012-03-15: Highest Volume — 370,760 contracts
2012-03-13: Largest IV drop — 19.5% change
2012-03-06: Highest IV Rank — 7.7%
2012-03-06: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.73	$35.59	$37.81	$37.81	$35.88
Max Pain	$37.00	$36.50	$37.50	$37.50	$36.50
ATM IV	18.2%	14.4%	22.1%	19.1%	17.3%
Expected Move	5.3%	4.5%	6.4%	5.5%	5.1%
HV 20d	14.1%	11.6%	17.2%	11.7%	16.7%
HV 60d	16.8%	14.4%	20.2%	19.9%	14.5%
IV Rank	4.2%	0.0%	7.7%	3.3%	4.1%
IV Percentile	6.3%	0.0%	25.4%	5.6%	4.4%
Term Structure	1.6%	-0.2%	3.5%	0.8%	1.8%
VWIV	19.3%	15.7%	23.3%	23.3%	18.4%
Skew 25d	4.4%	3.6%	5.8%	5.1%	4.0%
Skew 10d	9.3%	6.9%	11.4%	10.0%	7.7%
Call IV 25d	16.8%	14.1%	20.0%	17.5%	16.5%
Put IV 25d	21.3%	17.6%	25.8%	22.6%	20.5%
Bid-Ask Spread %	22.41	10.90	69.17	14.17	16.68
Gamma HHI	0.18	0.09	0.47	0.10	0.47
Net GEX	-36.2M	-261.2M	131.6M	39.5M	-261.2M
Net DEX	54.9M	-894.1M	1.13B	-894.1M	962.1M
Net VEX	-9.3M	-10.3M	-8.5M	-8.6M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.18	5.51	0.42	3.46
Total Volume	177,977.545	72,122	370,760	255,380	144,240
Total OI	2,308,132.091	1,666,448	2,749,166	2,247,640	2,325,362

Daily Data (22 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
2012-03-01	$37.81	$37.50	19.1%	5.5%	11.7%	3.3%	23.3%	5.1%	0.8%	39.5M	-894.1M	-8.6M	0.42	14.17	180,020	75,360	901,860	1,345,780
2012-03-02	$37.37	$37.00	19.7%	5.7%	12.7%	4.1%	21.2%	4.8%	0.6%	22.1M	-581.0M	-9.0M	1.26	19.43	61,580	77,310	1,032,388	1,390,324
2012-03-05	$37.13	$37.00	20.5%	5.9%	11.6%	5.2%	20.1%	5.0%	0.5%	11.9M	-418.2M	-8.8M	1.28	19.10	40,882	52,210	1,031,956	1,416,152
2012-03-06	$36.52	$37.00	22.1%	6.4%	12.5%	7.7%	22.5%	5.8%	0.3%	-38.2M	124.0M	-9.0M	1.16	17.18	55,294	64,360	1,052,554	1,415,100
2012-03-07	$36.83	$37.00	21.0%	6.0%	12.7%	6.0%	22.2%	5.7%	0.2%	-13.5M	-141.9M	-9.0M	0.85	19.02	62,684	53,338	1,071,008	1,436,632
2012-03-08	$37.13	$37.00	18.9%	5.9%	13.0%	3.0%	20.4%	5.2%	-0.2%	13.8M	-381.9M	-9.2M	0.88	15.64	52,820	46,736	1,107,638	1,455,778
2012-03-09	$37.12	$37.00	17.0%	5.4%	13.0%	0.1%	20.5%	5.3%	1.0%	23.0M	-497.5M	-9.0M	1.40	69.17	30,108	42,014	1,122,722	1,475,192
2012-03-12	$36.95	$37.00	17.9%	5.4%	12.6%	1.4%	22.1%	4.6%	3.2%	-3.3M	-265.6M	-8.6M	5.51	13.96	29,866	164,484	1,119,082	1,470,904
2012-03-13	$37.34	$37.00	14.4%	4.9%	12.8%	0.0%	18.1%	5.0%	3.2%	49.7M	-602.5M	-8.5M	0.63	68.88	153,638	96,882	1,124,730	1,521,376
2012-03-14	$36.95	$37.00	16.6%	5.3%	13.4%	3.1%	18.4%	4.4%	3.3%	-9.6M	-268.2M	-9.3M	0.89	16.04	56,980	50,482	1,158,152	1,589,894
2012-03-15	$37.05	$37.00	17.9%	5.1%	13.4%	5.1%	18.2%	3.9%	3.4%	2.0M	-369.9M	-8.9M	0.18	13.94	314,260	56,500	1,144,820	1,604,346
2012-03-16	$37.40	$37.00	16.6%	4.8%	13.0%	3.2%	17.1%	3.6%	3.5%	131.6M	-315.4M	-9.1M	0.92	16.88	107,106	98,140	1,038,474	1,628,664
2012-03-19	$37.57	$37.00	15.7%	4.5%	13.0%	1.9%	15.7%	3.6%	2.5%	-14.7M	-265.6M	-9.1M	0.72	19.45	81,206	58,592	672,376	994,072
2012-03-20	$37.01	$37.00	17.1%	4.9%	13.9%	3.9%	17.8%	3.8%	2.0%	-38.1M	37.4M	-9.2M	2.17	12.75	60,544	131,598	685,384	1,000,156
2012-03-21	$36.56	$37.00	17.1%	4.9%	14.3%	3.8%	17.0%	3.8%	1.7%	-67.6M	332.0M	-9.7M	0.96	15.34	87,254	83,704	743,174	1,085,508
2012-03-22	$35.74	$37.50	18.8%	5.4%	16.0%	6.3%	18.9%	4.2%	1.0%	-117.8M	989.2M	-9.5M	0.94	59.17	125,770	118,710	789,522	1,128,610
2012-03-23	$36.13	$37.00	18.6%	5.3%	16.5%	6.0%	18.9%	4.2%	1.2%	-80.1M	548.0M	-10.0M	1.34	10.90	67,794	90,558	868,932	1,191,088
2012-03-26	$36.40	$37.00	17.2%	4.9%	16.9%	4.1%	17.0%	3.6%	1.5%	-71.1M	270.0M	-9.9M	0.78	12.10	69,740	54,736	858,042	1,211,536
2012-03-27	$36.03	$37.00	18.6%	5.3%	17.2%	6.0%	18.5%	4.0%	1.4%	-121.5M	703.8M	-9.9M	0.91	12.87	162,884	148,094	873,986	1,233,602
2012-03-28	$35.59	$37.00	18.8%	5.4%	17.2%	6.3%	18.6%	3.9%	1.2%	-128.8M	1.11B	-10.1M	1.09	15.72	110,894	121,294	921,412	1,269,496
2012-03-29	$35.59	$36.50	19.4%	5.6%	16.6%	7.2%	19.4%	4.0%	1.1%	-123.7M	1.13B	-10.3M	1.82	14.66	61,956	112,884	959,116	1,312,006
2012-03-30	$35.88	$36.50	17.3%	5.1%	16.7%	4.1%	18.4%	4.0%	1.8%	-261.2M	962.1M	-10.3M	3.46	16.68	32,330	111,910	990,974	1,334,388