XLE Options History — September 2012

In September 2012, XLE traded between $35.39 and $38.33. ATM implied volatility averaged 18.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.2% (HV 20d: 15.0%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.63.

Notable Days

2012-09-20: Highest Volume — 585,336 contracts
2012-09-10: Largest IV spike — 30.0% change
2012-09-11: Highest IV Rank — 14.6%
2012-09-04: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.97	$35.39	$38.33	$35.52	$36.72
Max Pain	$36.53	$35.00	$37.50	$35.00	$37.00
ATM IV	18.2%	15.4%	21.8%	21.2%	16.3%
Expected Move	5.2%	4.7%	6.1%	6.1%	4.7%
HV 20d	15.0%	9.5%	17.5%	11.1%	17.1%
HV 60d	19.6%	17.2%	21.2%	21.2%	17.2%
IV Rank	7.5%	2.1%	14.6%	13.4%	3.7%
IV Percentile	13.4%	1.2%	40.1%	32.9%	2.4%
Term Structure	1.7%	0.5%	2.6%	0.5%	1.9%
VWIV	19.0%	17.1%	23.3%	23.3%	17.2%
Skew 25d	3.9%	2.9%	6.0%	6.0%	2.9%
Skew 10d	8.6%	5.9%	12.6%	12.6%	7.1%
Call IV 25d	16.7%	15.3%	19.0%	18.8%	15.6%
Put IV 25d	20.6%	18.4%	24.8%	24.8%	18.4%
Bid-Ask Spread %	24.18	10.95	58.64	24.38	49.80
Gamma HHI	0.10	0.05	0.18	0.07	0.08
Net GEX	3.6M	-41.0M	42.7M	-29.4M	-421.4K
Net DEX	-566.9M	-1.58B	224.9M	28.3M	50.3M
Net VEX	-7.5M	-8.4M	-6.8M	-8.3M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.13	3.05	1.53	1.17
Total Volume	134,038.842	34,066	585,336	34,066	123,546
Total OI	2,172,050.737	1,692,012	2,557,032	2,172,876	1,821,042

Daily Data (19 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
2012-09-04	$35.52	$35.00	21.2%	6.1%	11.1%	13.4%	23.3%	6.0%	0.5%	-29.4M	28.3M	-8.3M	1.53	24.38	13,484	20,582	820,296	1,352,580
2012-09-05	$35.39	$35.00	21.0%	6.0%	9.5%	13.0%	20.8%	5.8%	0.8%	-41.0M	147.5M	-8.4M	2.67	23.70	14,530	38,794	824,212	1,364,174
2012-09-06	$36.09	$35.00	18.0%	5.4%	11.9%	7.1%	18.1%	4.5%	0.8%	-5.8M	-342.4M	-8.0M	1.14	25.57	40,328	45,784	824,482	1,383,540
2012-09-07	$36.77	$35.00	15.4%	4.7%	13.4%	2.1%	18.2%	3.9%	1.7%	26.5M	-751.1M	-7.6M	1.34	58.64	57,846	77,388	824,912	1,405,656
2012-09-10	$36.52	$36.50	20.1%	5.3%	13.7%	11.2%	19.2%	4.4%	2.2%	13.3M	-555.0M	-7.6M	3.05	17.69	16,000	48,824	830,530	1,412,588
2012-09-11	$36.92	$36.50	21.8%	5.4%	14.1%	14.6%	19.9%	4.8%	1.9%	9.7M	-745.6M	-7.7M	2.14	15.20	29,066	62,190	815,874	1,420,302
2012-09-12	$37.24	$36.50	19.1%	5.3%	14.3%	9.3%	19.5%	4.3%	2.2%	24.7M	-977.4M	-7.4M	2.19	16.54	23,720	51,836	825,542	1,457,830
2012-09-13	$37.90	$36.50	17.4%	5.0%	15.3%	5.9%	18.5%	3.3%	1.8%	42.7M	-1.33B	-6.8M	1.78	18.74	56,454	100,238	827,436	1,488,764
2012-09-14	$38.33	$36.75	18.1%	5.2%	15.5%	7.3%	18.8%	3.1%	1.7%	36.4M	-1.58B	-6.9M	1.51	46.28	59,350	89,840	851,514	1,535,746
2012-09-17	$37.98	$37.25	18.3%	5.3%	16.0%	7.7%	19.7%	2.9%	1.9%	34.3M	-1.36B	-7.0M	1.21	16.36	48,358	58,670	861,572	1,516,220
2012-09-18	$37.72	$37.50	18.4%	5.3%	16.2%	7.8%	19.3%	3.6%	2.0%	29.9M	-1.15B	-7.2M	1.38	16.05	68,106	93,778	883,354	1,545,212
2012-09-19	$37.34	$37.25	18.5%	5.3%	16.7%	8.1%	20.2%	3.7%	1.5%	23.9M	-917.5M	-7.3M	1.49	15.43	83,358	123,968	897,168	1,579,066
2012-09-20	$37.47	$37.25	17.1%	4.9%	16.7%	5.2%	17.4%	2.9%	2.5%	24.6M	-1.07B	-7.2M	0.13	16.62	518,624	66,712	899,768	1,657,264
2012-09-21	$37.30	$37.00	16.8%	4.8%	16.2%	4.7%	19.1%	3.2%	2.6%	-10.3M	-227.6M	-7.3M	2.64	44.52	41,774	110,172	720,812	1,665,990
2012-09-24	$37.15	$37.00	16.8%	4.8%	16.2%	4.7%	17.4%	3.8%	1.3%	-19.3M	-174.1M	-7.4M	1.82	10.95	18,032	32,894	633,086	1,058,926
2012-09-25	$36.79	$37.00	17.4%	5.0%	16.7%	5.8%	17.1%	3.6%	1.4%	-33.3M	39.8M	-7.6M	1.26	16.17	53,486	67,460	637,010	1,081,992
2012-09-26	$36.42	$37.00	17.9%	5.1%	17.2%	6.8%	18.3%	4.1%	1.4%	-37.2M	224.9M	-7.6M	1.13	11.86	64,504	72,640	668,044	1,080,436
2012-09-27	$36.91	$37.00	16.7%	4.8%	17.5%	4.6%	18.0%	3.4%	1.5%	-20.1M	-86.4M	-7.7M	1.50	14.90	21,726	32,676	691,556	1,104,468
2012-09-28	$36.72	$37.00	16.3%	4.7%	17.1%	3.7%	17.2%	2.9%	1.9%	-421.4K	50.3M	-7.8M	1.17	49.80	57,038	66,508	700,846	1,120,196