XLE Options History — May 2012

Name: XLE Options Analytics - May 2012
Creator: Options Analysis Suite

In May 2012, XLE traded between $31.82 and $36.13. ATM implied volatility averaged 26.1%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.8% (HV 20d: 18.3%). Max pain ranged from $34.00 to $35.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.32.

Notable Days

2012-05-24: Highest Volume — 234,188 contracts
2012-05-04: Largest IV spike — 16.2% change
2012-05-31: Highest IV Rank — 21.5%
2012-05-31: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.30	$31.82	$36.13	$36.13	$31.82
Max Pain	$35.07	$34.00	$35.50	$35.50	$34.00
ATM IV	26.1%	18.7%	29.5%	18.7%	29.5%
Expected Move	7.3%	5.1%	8.5%	5.1%	8.5%
HV 20d	18.3%	16.6%	20.2%	17.6%	19.8%
HV 60d	16.8%	15.5%	18.5%	15.5%	18.3%
IV Rank	16.7%	6.1%	21.5%	6.1%	21.5%
IV Percentile	50.1%	8.7%	60.7%	8.7%	60.7%
Term Structure	-0.1%	-2.0%	1.8%	1.8%	-1.5%
VWIV	25.6%	18.3%	29.7%	18.3%	29.2%
Skew 25d	6.1%	3.9%	8.2%	3.9%	7.2%
Skew 10d	12.6%	7.7%	16.6%	7.7%	16.6%
Call IV 25d	22.9%	15.9%	27.1%	15.9%	27.1%
Put IV 25d	29.1%	19.7%	34.4%	19.7%	34.4%
Bid-Ask Spread %	20.42	10.83	29.88	17.25	29.88
Gamma HHI	0.09	0.06	0.13	0.09	0.08
Net GEX	-43.6M	-66.5M	3.2M	3.2M	-46.3M
Net DEX	1.19B	-102.0M	2.04B	-102.0M	1.55B
Net VEX	-8.6M	-9.1M	-7.8M	-9.1M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.71	5.00	1.04	1.39
Total Volume	137,085.818	56,812	234,188	79,364	226,298
Total OI	2,035,460.545	1,825,802	2,263,238	1,866,218	2,146,530

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
2012-05-01	$36.13	$35.50	18.7%	5.1%	17.6%	6.1%	18.3%	3.9%	1.8%	3.2M	-102.0M	-9.1M	1.04	17.25	38,844	40,520	800,786	1,065,432
2012-05-02	$35.52	$35.50	21.3%	5.5%	18.3%	9.9%	19.3%	4.1%	1.0%	-20.5M	299.3M	-9.1M	5.00	25.77	23,012	114,954	812,036	1,084,952
2012-05-03	$34.92	$35.50	20.7%	5.8%	18.7%	9.0%	20.0%	4.5%	0.6%	-40.6M	644.1M	-9.0M	1.27	23.85	25,058	31,754	810,916	1,091,844
2012-05-04	$34.15	$35.50	24.1%	6.8%	20.2%	13.8%	23.3%	5.5%	-0.2%	-53.4M	1.09B	-8.8M	1.60	12.44	85,258	136,072	816,086	1,097,948
2012-05-07	$34.05	$35.50	25.8%	6.7%	19.6%	16.3%	23.6%	5.5%	-0.1%	-60.8M	1.11B	-8.9M	0.86	10.83	31,560	27,146	844,230	1,155,270
2012-05-08	$33.94	$35.50	26.5%	6.7%	18.8%	17.3%	24.0%	5.7%	-0.1%	-64.4M	1.19B	-8.6M	1.42	17.65	63,458	89,832	853,284	1,151,452
2012-05-09	$33.74	$35.50	25.2%	7.1%	18.9%	15.4%	25.1%	5.7%	-0.5%	-66.5M	1.26B	-8.7M	1.72	11.67	55,452	95,422	884,738	1,183,452
2012-05-10	$33.92	$35.50	23.4%	6.7%	17.4%	12.9%	23.4%	5.5%	0.3%	-65.2M	1.09B	-8.9M	1.51	15.33	35,592	53,662	896,374	1,192,578
2012-05-11	$33.65	$35.50	24.8%	7.1%	16.6%	14.9%	23.7%	5.6%	-0.4%	-61.5M	1.27B	-8.6M	0.71	14.08	54,296	38,400	905,850	1,169,860
2012-05-14	$33.08	$35.50	26.6%	7.6%	17.4%	17.4%	28.4%	6.3%	-0.4%	-66.5M	1.53B	-8.3M	0.81	15.77	69,442	56,220	922,154	1,171,280
2012-05-15	$32.56	$35.00	28.0%	8.0%	16.7%	19.4%	27.2%	6.0%	-0.4%	-60.1M	1.71B	-8.0M	1.70	18.19	33,044	56,044	960,642	1,181,394
2012-05-16	$32.38	$35.00	28.0%	8.0%	16.7%	19.5%	27.1%	7.8%	0.2%	-62.1M	1.83B	-7.8M	1.25	21.07	66,630	83,400	958,692	1,185,512
2012-05-17	$32.17	$35.00	29.3%	8.4%	16.8%	21.2%	28.6%	8.2%	0.9%	-55.9M	1.87B	-8.4M	1.48	25.71	71,868	106,092	984,494	1,224,338
2012-05-18	$31.97	$35.00	29.2%	8.4%	16.8%	21.1%	29.1%	7.1%	0.6%	-42.5M	2.04B	-8.0M	1.01	21.56	51,768	52,060	1,018,072	1,245,166
2012-05-21	$32.73	$35.00	27.4%	7.9%	19.4%	18.6%	26.6%	5.6%	1.1%	-28.0M	1.06B	-8.3M	0.72	19.48	67,916	49,044	816,702	1,009,100
2012-05-22	$32.63	$35.00	27.3%	7.8%	18.9%	18.5%	26.8%	5.9%	-0.4%	-27.0M	1.13B	-8.5M	0.83	18.57	115,306	96,162	848,322	1,034,620
2012-05-23	$32.74	$35.00	27.2%	7.6%	18.6%	18.2%	28.9%	6.9%	1.1%	-25.2M	1.08B	-8.8M	0.98	21.37	93,656	92,100	901,808	1,072,426
2012-05-24	$32.72	$34.50	27.0%	7.9%	17.9%	18.0%	27.3%	6.8%	-1.2%	-18.9M	1.02B	-9.0M	0.89	28.77	123,908	110,280	923,594	1,091,440
2012-05-25	$32.62	$34.50	28.1%	8.0%	17.9%	19.5%	26.9%	7.1%	-2.0%	-29.3M	1.18B	-8.8M	1.11	26.75	39,836	44,022	942,702	1,136,990
2012-05-29	$33.10	$34.50	27.0%	7.7%	18.6%	18.0%	26.6%	6.9%	-1.7%	-25.7M	929.1M	-8.8M	0.86	28.58	71,260	61,612	937,764	1,141,356
2012-05-30	$32.00	$34.00	28.9%	8.3%	20.2%	20.7%	29.7%	7.0%	-1.2%	-42.2M	1.44B	-8.2M	0.97	24.72	69,962	67,666	943,190	1,164,756
2012-05-31	$31.82	$34.00	29.5%	8.5%	19.8%	21.5%	29.2%	7.2%	-1.5%	-46.3M	1.55B	-8.1M	1.39	29.88	94,792	131,506	963,866	1,182,664