XLE Options History — June 2012

In June 2012, XLE traded between $31.00 and $33.19. ATM implied volatility averaged 25.7%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.9% (HV 20d: 24.8%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2012-06-15: Highest Volume — 252,506 contracts
2012-06-29: Largest IV drop — 18.8% change
2012-06-01: Highest IV Rank — 27.3%
2012-06-01: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.02	$31.00	$33.19	$31.02	$33.19
Max Pain	$32.57	$32.00	$34.00	$34.00	$32.00
ATM IV	25.7%	18.8%	33.5%	33.5%	18.8%
Expected Move	7.5%	5.7%	9.6%	9.6%	5.7%
HV 20d	24.8%	19.8%	29.0%	20.7%	27.5%
HV 60d	20.5%	18.6%	23.0%	18.8%	23.0%
IV Rank	16.1%	6.3%	27.3%	27.3%	6.3%
IV Percentile	44.0%	9.5%	67.5%	67.5%	9.5%
Term Structure	0.2%	-3.0%	2.3%	-3.0%	2.3%
VWIV	26.6%	20.7%	34.6%	34.6%	21.4%
Skew 25d	6.1%	3.6%	8.2%	8.2%	3.6%
Skew 10d	12.3%	6.6%	16.6%	15.0%	6.6%
Call IV 25d	23.3%	18.2%	29.9%	29.9%	18.9%
Put IV 25d	29.4%	22.5%	38.1%	38.1%	22.5%
Bid-Ask Spread %	21.46	13.96	47.58	26.62	33.15
Gamma HHI	0.06	0.05	0.10	0.09	0.05
Net GEX	-18.0M	-45.6M	18.0M	-45.6M	16.5M
Net DEX	977.8M	-59.2M	1.81B	1.81B	-59.2M
Net VEX	-8.7M	-9.5M	-7.9M	-8.0M	-8.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.36	3.26	0.84	1.01
Total Volume	141,455.524	59,350	252,506	207,694	211,190
Total OI	2,162,686.286	1,770,190	2,599,316	2,237,672	1,906,510

Daily Data (21 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
2012-06-01	$31.02	$34.00	33.5%	9.6%	20.7%	27.3%	34.6%	8.2%	-3.0%	-45.6M	1.81B	-8.0M	0.84	26.62	112,922	94,772	1,004,440	1,233,232
2012-06-04	$31.00	$34.00	33.4%	9.6%	19.8%	27.1%	33.5%	7.6%	-2.8%	-42.8M	1.77B	-8.2M	1.71	24.54	72,884	124,928	1,065,078	1,225,106
2012-06-05	$31.26	$34.00	30.6%	8.8%	20.3%	23.1%	30.5%	7.2%	-1.4%	-41.7M	1.62B	-8.2M	1.12	20.57	72,454	81,218	1,083,466	1,240,602
2012-06-06	$32.23	$34.00	28.8%	8.3%	23.8%	20.5%	32.1%	6.5%	-1.7%	-35.4M	1.25B	-8.9M	0.90	20.46	80,718	72,476	1,102,058	1,291,074
2012-06-07	$32.30	$34.00	25.2%	7.9%	23.8%	15.4%	29.4%	6.3%	-1.4%	-32.5M	1.22B	-9.1M	0.93	22.94	77,434	72,230	1,136,784	1,321,106
2012-06-08	$32.25	$34.00	25.0%	7.9%	23.6%	15.1%	26.9%	6.3%	-2.2%	-36.3M	1.21B	-8.9M	0.84	47.58	99,896	84,408	1,150,254	1,324,196
2012-06-11	$31.81	$32.00	29.5%	8.2%	23.9%	21.5%	28.3%	7.3%	0.1%	-39.0M	1.45B	-8.8M	0.82	16.10	51,854	42,568	1,163,474	1,323,056
2012-06-12	$32.26	$32.00	26.2%	7.7%	24.0%	16.9%	27.1%	6.9%	0.8%	-29.1M	1.16B	-9.1M	3.26	13.96	38,972	127,008	1,187,360	1,331,994
2012-06-13	$31.89	$32.00	27.0%	8.1%	23.7%	17.9%	27.9%	7.8%	0.5%	-43.1M	1.47B	-9.0M	0.77	15.15	55,462	42,444	1,187,728	1,365,004
2012-06-14	$32.35	$32.00	27.2%	7.8%	24.3%	18.2%	27.9%	7.2%	0.8%	-29.5M	1.15B	-9.0M	0.36	19.36	174,434	62,818	1,207,642	1,366,430
2012-06-15	$32.81	$32.00	24.7%	7.1%	24.6%	14.6%	25.9%	7.0%	1.9%	-12.4M	945.3M	-9.5M	1.23	31.10	113,488	139,018	1,207,360	1,391,956
2012-06-18	$32.55	$32.00	22.8%	6.5%	24.7%	12.0%	23.6%	6.3%	0.8%	9.0M	424.4M	-8.9M	1.30	19.67	34,684	45,232	834,030	936,160
2012-06-19	$32.94	$32.00	21.7%	6.2%	23.6%	10.5%	22.9%	5.9%	1.3%	18.0M	248.2M	-9.0M	1.64	17.45	40,170	65,922	842,774	929,670
2012-06-20	$32.85	$32.00	21.2%	6.1%	23.6%	9.8%	20.7%	5.4%	1.5%	16.6M	253.0M	-8.9M	0.64	15.91	65,648	42,258	850,540	945,564
2012-06-21	$31.51	$32.00	24.7%	7.1%	27.9%	14.7%	23.3%	5.6%	0.9%	-12.6M	857.0M	-8.2M	0.75	18.80	125,068	93,470	877,056	966,016
2012-06-22	$31.72	$32.00	23.3%	6.7%	28.0%	12.7%	24.3%	4.9%	1.5%	-8.9M	780.7M	-8.6M	1.24	21.92	31,324	38,902	895,958	999,302
2012-06-25	$31.01	$32.00	25.4%	7.3%	29.0%	15.6%	25.4%	4.9%	0.8%	-21.5M	1.03B	-7.9M	1.02	17.25	33,950	34,752	873,264	993,296
2012-06-26	$31.34	$32.00	24.5%	7.0%	28.8%	14.4%	24.7%	4.5%	1.0%	-16.9M	881.3M	-8.2M	2.04	15.15	24,576	50,024	875,614	1,002,324
2012-06-27	$32.00	$32.00	23.2%	6.7%	27.4%	12.6%	23.7%	5.0%	1.4%	137.9K	585.6M	-8.6M	0.81	15.27	32,702	26,648	884,286	998,392
2012-06-28	$32.22	$32.00	23.2%	6.6%	27.4%	12.5%	23.9%	4.3%	1.2%	8.8M	487.8M	-8.6M	1.32	17.64	34,324	45,316	892,460	1,003,796
2012-06-29	$33.19	$32.00	18.8%	5.7%	27.5%	6.3%	21.4%	3.6%	2.3%	16.5M	-59.2M	-8.8M	1.01	33.15	105,136	106,054	897,496	1,009,014