XLE Options History — July 2012

In July 2012, XLE traded between $32.48 and $35.21. ATM implied volatility averaged 22.0%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 3.7% (HV 20d: 25.7%). Max pain ranged from $32.00 to $33.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.47.

Notable Days

2012-07-19: Highest Volume — 154,898 contracts
2012-07-30: Largest IV spike — 19.1% change
2012-07-31: Highest IV Rank — 20.3%
2012-07-24: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.76	$32.48	$35.21	$33.17	$34.83
Max Pain	$33.20	$32.00	$33.50	$32.00	$33.50
ATM IV	22.0%	19.2%	28.6%	19.2%	28.6%
Expected Move	6.1%	5.5%	6.8%	5.7%	6.7%
HV 20d	25.7%	21.5%	28.4%	27.5%	22.1%
HV 60d	23.5%	22.9%	24.3%	23.0%	23.7%
IV Rank	10.9%	6.8%	20.3%	6.8%	20.3%
IV Percentile	27.3%	11.1%	57.9%	11.1%	57.9%
Term Structure	1.6%	0.0%	3.0%	1.6%	0.0%
VWIV	22.2%	19.6%	24.8%	20.9%	23.6%
Skew 25d	4.7%	3.0%	6.7%	3.1%	4.7%
Skew 10d	9.9%	6.4%	14.3%	8.4%	9.4%
Call IV 25d	19.3%	17.4%	21.4%	18.8%	21.4%
Put IV 25d	24.0%	21.1%	27.4%	21.9%	26.1%
Bid-Ask Spread %	17.72	11.97	34.34	15.22	34.34
Gamma HHI	0.06	0.04	0.09	0.04	0.05
Net GEX	9.0M	-28.8M	39.0M	11.3M	9.6M
Net DEX	-50.6M	-557.0M	566.5M	77.4M	-251.7M
Net VEX	-8.5M	-8.8M	-8.3M	-8.8M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.46	3.09	1.26	1.66
Total Volume	88,691.048	46,842	154,898	105,864	111,640
Total OI	1,865,650.762	1,663,940	2,144,204	1,740,630	1,739,466

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
2012-07-02	$33.17	$32.00	19.2%	5.7%	27.5%	6.8%	20.9%	3.1%	1.6%	11.3M	77.4M	-8.8M	1.26	15.22	46,744	59,120	806,464	934,166
2012-07-03	$33.99	$32.00	20.9%	5.5%	28.4%	9.3%	20.5%	3.2%	1.5%	23.9M	-255.6M	-8.8M	1.80	32.67	29,008	52,080	819,544	957,906
2012-07-05	$33.55	$32.00	20.8%	5.7%	27.3%	9.1%	20.3%	3.0%	1.1%	15.9M	-17.7M	-8.7M	0.95	16.93	27,586	26,228	822,878	979,218
2012-07-06	$33.23	$33.50	20.9%	6.1%	27.6%	9.3%	22.1%	5.0%	1.5%	10.9M	136.3M	-8.6M	2.77	14.43	38,880	107,848	827,682	985,764
2012-07-09	$33.03	$33.50	24.5%	6.3%	27.7%	14.4%	22.0%	5.1%	1.4%	-2.7M	240.4M	-8.5M	1.75	15.43	19,942	34,838	831,922	1,055,670
2012-07-10	$32.48	$33.50	25.8%	6.6%	27.9%	16.3%	23.8%	5.6%	1.4%	-21.6M	566.5M	-8.3M	1.41	13.18	26,738	37,732	835,294	1,065,698
2012-07-11	$32.92	$33.50	21.1%	6.4%	27.9%	9.6%	22.9%	4.9%	1.6%	-6.5M	304.1M	-8.4M	1.04	11.97	45,084	47,036	837,050	1,077,382
2012-07-12	$32.79	$33.50	23.4%	6.7%	27.6%	12.9%	24.2%	5.1%	1.1%	-6.6M	366.0M	-8.5M	1.26	12.46	27,224	34,336	861,186	1,098,634
2012-07-13	$33.37	$33.25	21.7%	6.2%	27.8%	10.4%	22.4%	4.7%	1.7%	18.0M	-8.1M	-8.5M	1.81	28.00	42,830	77,360	870,502	1,112,320
2012-07-16	$33.48	$33.00	22.1%	6.3%	27.4%	10.9%	22.9%	4.7%	1.2%	22.3M	-72.9M	-8.5M	0.68	14.15	34,142	23,232	874,350	1,160,358
2012-07-17	$33.91	$33.00	20.5%	5.9%	27.5%	8.8%	22.6%	4.5%	1.6%	34.1M	-326.4M	-8.4M	1.21	14.72	47,372	57,376	879,542	1,149,770
2012-07-18	$34.17	$33.25	20.1%	5.7%	27.3%	8.1%	20.9%	4.4%	1.8%	36.2M	-477.5M	-8.4M	0.71	16.16	47,326	33,542	885,128	1,168,260
2012-07-19	$34.31	$33.25	19.9%	5.7%	27.3%	7.8%	21.5%	4.5%	1.9%	39.0M	-557.0M	-8.4M	3.09	15.11	37,860	117,038	891,740	1,180,056
2012-07-20	$34.38	$33.50	19.5%	5.6%	21.8%	7.3%	19.6%	4.6%	2.7%	23.8M	-508.4M	-8.6M	0.46	14.07	52,920	24,182	894,028	1,250,176
2012-07-23	$33.48	$33.50	21.6%	6.2%	24.4%	10.2%	21.8%	6.7%	3.0%	-6.6M	73.3M	-8.3M	1.84	15.45	19,138	35,152	719,500	944,440
2012-07-24	$33.47	$33.50	23.6%	6.8%	22.5%	13.1%	24.8%	6.5%	0.9%	-21.5M	382.9M	-8.5M	1.34	17.82	39,330	52,704	728,936	963,506
2012-07-25	$33.58	$33.50	22.6%	6.5%	22.3%	11.8%	24.6%	5.3%	1.4%	-28.8M	302.5M	-8.6M	2.62	16.08	12,934	33,908	750,420	988,098
2012-07-26	$34.43	$33.50	19.9%	5.7%	22.9%	7.9%	22.0%	4.7%	2.1%	6.1M	-125.4M	-8.6M	1.03	16.03	40,794	41,912	752,892	974,230
2012-07-27	$35.10	$33.50	20.8%	5.6%	23.5%	9.2%	21.1%	4.4%	2.0%	18.1M	-453.9M	-8.5M	1.14	23.60	49,754	56,616	770,174	988,008
2012-07-30	$35.21	$33.50	24.8%	6.0%	21.5%	14.9%	21.3%	4.1%	1.4%	14.7M	-456.6M	-8.5M	1.13	14.36	53,002	60,024	768,994	977,314
2012-07-31	$34.83	$33.50	28.6%	6.7%	22.1%	20.3%	23.6%	4.7%	0.0%	9.6M	-251.7M	-8.5M	1.66	34.34	42,032	69,608	765,062	974,404