XLE Options History — April 2012

In April 2012, XLE traded between $34.09 and $36.23. ATM implied volatility averaged 21.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.7% (HV 20d: 17.6%). Max pain ranged from $35.50 to $36.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.58.

Notable Days

2012-04-03: Highest Volume — 222,008 contracts
2012-04-09: Largest IV spike — 29.4% change
2012-04-10: Highest IV Rank — 19.7%
2012-04-16: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.91	$34.09	$36.23	$36.23	$35.62
Max Pain	$35.92	$35.50	$36.50	$36.50	$35.50
ATM IV	21.3%	16.8%	28.2%	19.6%	20.2%
Expected Move	6.0%	5.0%	7.0%	5.2%	5.3%
HV 20d	17.6%	16.2%	19.8%	17.2%	17.1%
HV 60d	15.4%	14.6%	16.0%	14.6%	15.6%
IV Rank	9.9%	3.4%	19.7%	7.4%	8.3%
IV Percentile	24.8%	1.6%	59.1%	15.9%	15.9%
Term Structure	1.3%	0.4%	1.9%	1.5%	1.5%
VWIV	21.1%	17.6%	24.5%	18.2%	18.4%
Skew 25d	4.7%	3.6%	5.9%	4.0%	3.7%
Skew 10d	9.9%	6.8%	13.1%	8.4%	6.8%
Call IV 25d	18.8%	16.2%	21.9%	16.2%	16.5%
Put IV 25d	23.5%	19.7%	27.6%	20.2%	20.2%
Bid-Ask Spread %	17.82	13.19	48.00	16.55	19.52
Gamma HHI	0.09	0.08	0.10	0.08	0.08
Net GEX	-55.2M	-91.7M	-9.6M	-14.7M	-9.6M
Net DEX	906.0M	184.6M	1.53B	198.2M	184.6M
Net VEX	-9.4M	-10.2M	-8.8M	-10.2M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.72	4.17	1.18	1.13
Total Volume	112,206.1	40,928	222,008	91,108	48,304
Total OI	2,043,751.6	1,709,166	2,284,934	1,974,768	1,855,334

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
2012-04-02	$36.23	$36.50	19.6%	5.2%	17.2%	7.4%	18.2%	4.0%	1.5%	-14.7M	198.2M	-10.2M	1.18	16.55	41,866	49,242	882,850	1,091,918
2012-04-03	$35.91	$36.50	18.2%	5.0%	16.4%	5.5%	17.6%	3.6%	1.9%	-25.7M	368.0M	-10.1M	1.05	18.51	108,192	113,816	899,166	1,097,860
2012-04-04	$35.43	$36.50	21.4%	5.4%	16.6%	10.0%	20.4%	3.6%	1.6%	-60.2M	701.1M	-10.1M	4.17	48.00	33,722	140,478	909,000	1,117,748
2012-04-05	$35.25	$36.50	18.2%	5.6%	16.2%	5.5%	19.0%	3.6%	1.7%	-68.8M	1.01B	-10.0M	2.11	20.38	26,780	56,460	906,340	1,198,870
2012-04-09	$34.76	$36.00	23.6%	6.4%	16.7%	13.1%	23.7%	4.8%	0.7%	-79.7M	1.23B	-9.5M	1.51	13.85	48,636	73,394	910,620	1,189,844
2012-04-10	$34.20	$36.00	28.2%	6.9%	17.3%	19.7%	24.4%	5.3%	1.1%	-82.8M	1.49B	-9.2M	2.41	15.51	48,158	116,058	918,474	1,196,366
2012-04-11	$34.22	$36.00	22.9%	6.9%	16.6%	12.2%	23.5%	5.6%	0.8%	-91.7M	1.53B	-9.2M	2.72	14.53	55,916	152,292	929,566	1,224,962
2012-04-12	$34.92	$36.00	21.8%	6.3%	18.6%	10.6%	22.3%	5.3%	1.5%	-89.3M	1.06B	-9.8M	1.49	14.54	54,660	81,426	953,016	1,257,638
2012-04-13	$34.35	$36.00	23.6%	6.8%	19.1%	13.1%	23.5%	5.8%	0.8%	-83.4M	1.41B	-9.5M	1.20	15.87	50,866	60,974	981,728	1,249,864
2012-04-16	$34.09	$36.00	24.4%	7.0%	18.5%	14.3%	24.5%	5.9%	0.4%	-80.0M	1.51B	-9.1M	1.61	15.73	32,084	51,730	991,272	1,226,728
2012-04-17	$34.66	$36.00	22.3%	6.4%	19.8%	11.2%	22.3%	5.6%	1.2%	-77.4M	1.16B	-9.2M	1.14	23.82	70,072	80,074	990,744	1,226,494
2012-04-18	$34.60	$36.00	22.3%	6.4%	19.3%	11.2%	22.2%	4.9%	1.4%	-72.8M	1.20B	-9.1M	1.06	15.13	25,542	27,008	1,033,828	1,237,952
2012-04-19	$34.56	$36.00	21.8%	6.3%	19.1%	10.6%	20.9%	5.3%	1.2%	-73.0M	1.25B	-9.0M	1.41	15.67	56,336	79,364	1,033,166	1,241,680
2012-04-20	$34.48	$35.50	20.9%	6.0%	17.5%	9.4%	21.2%	5.0%	1.5%	-72.1M	1.27B	-9.0M	1.04	13.19	45,198	46,850	1,041,974	1,242,960
2012-04-23	$34.43	$35.50	21.3%	6.1%	16.9%	9.8%	22.1%	4.8%	1.2%	-36.7M	793.8M	-8.9M	1.33	15.82	28,130	37,346	722,330	986,836
2012-04-24	$34.73	$35.50	21.3%	6.1%	17.0%	9.9%	21.0%	4.8%	1.2%	-30.4M	651.7M	-9.0M	1.65	15.59	15,472	25,456	735,902	994,036
2012-04-25	$35.05	$35.50	19.3%	5.5%	17.2%	7.0%	19.7%	4.3%	1.4%	-25.9M	502.3M	-8.8M	0.72	14.49	67,036	48,356	738,772	1,000,492
2012-04-26	$35.41	$35.50	17.9%	5.1%	17.2%	5.0%	18.4%	4.0%	1.5%	-12.0M	292.0M	-9.1M	1.11	13.56	45,856	50,788	775,354	1,022,838
2012-04-27	$35.35	$35.50	16.8%	5.1%	17.2%	3.4%	18.7%	3.9%	1.6%	-17.0M	313.5M	-9.3M	1.59	16.08	19,408	30,776	804,596	1,055,914
2012-04-30	$35.62	$35.50	20.2%	5.3%	17.1%	8.3%	18.4%	3.7%	1.5%	-9.6M	184.6M	-9.0M	1.13	19.52	22,672	25,632	798,418	1,056,916