XLE Options History — August 2012

In August 2012, XLE traded between $34.40 and $36.30. ATM implied volatility averaged 18.8%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.4% (HV 20d: 18.4%). Max pain ranged from $33.50 to $35.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.18.

Notable Days

2012-08-17: Highest Volume — 141,570 contracts
2012-08-02: Largest IV drop — 29.2% change
2012-08-01: Highest IV Rank — 24.0%
2012-08-01: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.82	$34.40	$36.30	$35.02	$35.77
Max Pain	$34.16	$33.50	$35.00	$34.00	$35.00
ATM IV	18.8%	14.4%	31.2%	31.2%	20.1%
Expected Move	5.5%	4.8%	6.3%	6.3%	5.8%
HV 20d	18.4%	10.7%	22.3%	20.5%	10.7%
HV 60d	23.2%	21.0%	24.6%	23.7%	21.1%
IV Rank	7.7%	0.1%	24.0%	24.0%	11.1%
IV Percentile	13.8%	0.4%	63.1%	63.1%	23.4%
Term Structure	0.7%	-0.0%	2.3%	0.3%	1.3%
VWIV	20.9%	18.7%	23.7%	22.8%	21.6%
Skew 25d	3.9%	-2.9%	5.5%	4.4%	5.5%
Skew 10d	8.9%	6.2%	11.3%	8.5%	11.3%
Call IV 25d	17.7%	15.6%	20.2%	20.2%	18.2%
Put IV 25d	21.6%	12.7%	24.7%	24.7%	23.6%
Bid-Ask Spread %	21.36	7.64	66.20	15.53	41.38
Gamma HHI	0.07	0.05	0.15	0.05	0.06
Net GEX	4.6M	-44.5M	70.7M	11.6M	-37.6M
Net DEX	-488.5M	-987.1M	173.4M	-331.7M	-57.7M
Net VEX	-8.2M	-8.8M	-7.7M	-8.7M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.76	6.37	1.44	0.90
Total Volume	81,123.739	41,784	141,570	57,342	61,698
Total OI	1,988,109.826	1,778,414	2,181,880	1,840,856	2,181,880

Daily Data (23 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
2012-08-01	$35.02	$34.00	31.2%	6.3%	20.5%	24.0%	22.8%	4.4%	0.3%	11.6M	-331.7M	-8.7M	1.44	15.53	23,460	33,882	806,480	1,034,376
2012-08-02	$34.40	$34.00	22.1%	6.1%	21.0%	11.0%	23.7%	4.5%	1.3%	-203.4K	-21.4M	-8.6M	2.08	16.82	32,464	67,406	814,308	1,047,834
2012-08-03	$35.29	$34.00	17.8%	5.2%	22.3%	4.9%	18.9%	3.2%	2.3%	38.3M	-528.2M	-8.4M	0.76	24.52	38,862	29,576	829,002	1,063,734
2012-08-06	$35.30	$33.50	20.8%	5.7%	22.1%	9.1%	21.1%	4.3%	0.2%	22.1M	-555.2M	-8.2M	1.33	12.73	21,154	28,126	829,204	1,053,842
2012-08-07	$35.87	$33.50	20.6%	5.8%	21.2%	8.9%	22.3%	4.0%	0.2%	30.8M	-814.0M	-8.0M	2.01	13.85	31,718	63,776	837,842	1,068,386
2012-08-08	$35.88	$33.50	17.4%	5.8%	21.0%	5.9%	21.0%	4.0%	-0.0%	24.2M	-797.7M	-8.2M	1.07	14.43	20,198	21,586	847,286	1,104,676
2012-08-09	$36.15	$33.75	15.7%	5.8%	20.8%	2.5%	20.9%	3.4%	0.0%	33.7M	-973.3M	-7.9M	1.47	16.97	45,178	66,494	855,428	1,117,388
2012-08-10	$36.17	$33.75	14.4%	5.5%	20.3%	0.1%	20.4%	3.3%	0.3%	70.7M	-987.1M	-8.0M	2.12	12.31	23,960	50,834	880,434	1,164,008
2012-08-13	$36.05	$33.75	16.4%	5.6%	20.4%	3.9%	21.0%	3.3%	0.3%	23.9M	-823.4M	-8.0M	1.46	7.64	17,746	25,974	869,672	1,190,424
2012-08-14	$35.98	$33.75	16.5%	5.5%	20.2%	4.1%	21.1%	4.0%	0.3%	22.0M	-808.5M	-7.9M	2.44	12.71	12,274	30,004	870,032	1,196,490
2012-08-15	$35.99	$33.75	14.6%	5.3%	20.2%	0.4%	21.1%	3.5%	0.4%	11.6M	-751.3M	-7.9M	3.14	23.66	26,676	83,844	870,054	1,220,094
2012-08-16	$36.30	$34.00	18.5%	5.3%	20.3%	8.1%	20.4%	4.1%	0.4%	10.7M	-862.5M	-8.1M	1.07	33.27	31,800	34,034	872,380	1,282,256
2012-08-17	$36.28	$34.00	16.8%	4.8%	20.3%	4.8%	19.0%	-2.9%	0.9%	16.1M	-938.1M	-7.7M	2.06	66.20	46,310	95,260	885,792	1,295,256
2012-08-20	$36.16	$34.50	17.7%	5.1%	17.4%	6.6%	19.6%	3.9%	0.6%	6.0M	-402.6M	-7.8M	3.32	13.78	18,964	62,900	717,742	1,060,672
2012-08-21	$36.07	$34.50	18.1%	5.2%	17.5%	7.3%	19.6%	4.2%	0.7%	534.8K	-351.7M	-8.0M	1.75	16.57	30,160	52,634	731,922	1,094,854
2012-08-22	$36.16	$34.50	17.8%	5.1%	17.5%	6.7%	18.7%	4.1%	0.9%	-3.4M	-371.7M	-8.0M	4.70	15.50	16,060	75,460	741,862	1,130,572
2012-08-23	$35.76	$34.50	18.5%	5.3%	16.3%	8.1%	19.2%	4.9%	0.9%	-40.7M	-132.6M	-8.3M	1.78	14.62	30,330	53,930	747,506	1,164,500
2012-08-24	$35.99	$34.50	18.1%	5.1%	15.0%	7.3%	19.5%	4.6%	1.1%	-38.0M	-296.2M	-8.2M	2.26	29.76	41,530	93,790	766,140	1,191,474
2012-08-27	$35.98	$34.50	18.9%	5.5%	15.0%	8.8%	20.2%	4.7%	1.1%	-7.6M	-278.0M	-8.2M	6.37	21.61	12,316	78,434	764,592	1,214,048
2012-08-28	$36.05	$34.50	19.7%	5.7%	14.3%	10.4%	23.0%	5.0%	0.8%	-16.4M	-237.3M	-8.5M	0.95	23.19	58,530	55,786	770,090	1,281,906
2012-08-29	$35.80	$35.00	19.9%	5.7%	14.6%	10.8%	22.1%	5.4%	1.3%	-26.7M	-89.7M	-8.8M	3.56	22.48	9,992	35,584	803,534	1,315,090
2012-08-30	$35.40	$35.00	21.0%	6.0%	13.6%	13.0%	23.1%	5.4%	0.8%	-44.5M	173.4M	-8.8M	2.08	21.81	24,394	50,758	807,278	1,334,186
2012-08-31	$35.77	$35.00	20.1%	5.8%	10.7%	11.1%	21.6%	5.5%	1.3%	-37.6M	-57.7M	-8.7M	0.90	41.38	32,412	29,286	818,532	1,363,348