XLE Options History — October 2012

In October 2012, XLE traded between $35.65 and $37.56. ATM implied volatility averaged 20.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.0% (HV 20d: 16.4%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.12.

Notable Days

2012-10-19: Highest Volume — 191,010 contracts
2012-10-05: Largest IV spike — 228.8% change
2012-10-05: Highest IV Rank — 100.0%
2012-10-23: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.58	$35.65	$37.56	$36.94	$35.97
Max Pain	$36.54	$36.00	$37.00	$37.00	$36.50
ATM IV	20.4%	16.4%	53.9%	18.8%	21.3%
Expected Move	5.3%	4.7%	6.0%	5.0%	5.7%
HV 20d	16.4%	13.5%	19.0%	16.8%	18.1%
HV 60d	16.6%	15.4%	17.1%	17.1%	15.4%
IV Rank	15.0%	5.4%	100.0%	8.6%	17.4%
IV Percentile	25.7%	3.2%	100.0%	19.0%	47.6%
Term Structure	1.1%	0.1%	2.3%	1.1%	0.5%
VWIV	19.3%	17.3%	22.9%	17.9%	20.8%
Skew 25d	4.0%	2.3%	6.2%	3.5%	4.1%
Skew 10d	8.0%	2.0%	10.8%	6.9%	7.6%
Call IV 25d	16.8%	15.2%	18.8%	16.4%	18.8%
Put IV 25d	20.8%	18.2%	23.4%	19.8%	22.9%
Bid-Ask Spread %	25.03	9.24	85.43	23.95	30.83
Gamma HHI	0.08	0.06	0.13	0.06	0.08
Net GEX	-31.3M	-79.1M	36.1M	-15.4M	-31.9M
Net DEX	26.4M	-675.0M	483.9M	-200.9M	398.8M
Net VEX	-7.3M	-7.6M	-6.9M	-7.6M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	0.94	5.47	1.13	1.42
Total Volume	92,150.286	37,842	191,010	63,936	90,250
Total OI	1,858,472.762	1,612,108	2,080,786	1,745,100	1,792,788

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
2012-10-01	$36.94	$37.00	18.8%	5.0%	16.8%	8.6%	17.9%	3.5%	1.1%	-15.4M	-200.9M	-7.6M	1.13	23.95	30,030	33,906	696,908	1,048,192
2012-10-02	$37.03	$37.00	18.6%	4.9%	16.5%	8.2%	17.8%	3.2%	1.4%	-19.3M	-224.5M	-7.5M	1.04	13.16	25,098	26,028	696,378	1,058,446
2012-10-03	$36.49	$37.00	20.4%	5.0%	17.5%	13.8%	17.9%	3.1%	1.4%	-33.2M	63.0M	-7.5M	1.15	15.60	31,402	35,974	708,934	1,066,902
2012-10-04	$36.90	$37.00	16.4%	4.7%	16.5%	5.4%	17.7%	2.9%	1.5%	-19.9M	-193.8M	-7.4M	4.83	14.80	15,628	75,496	721,976	1,080,434
2012-10-05	$36.73	$36.25	53.9%	5.3%	15.2%	100.0%	19.2%	6.2%	0.4%	-43.2M	31.8M	-7.5M	5.47	85.43	15,900	87,002	726,756	1,146,366
2012-10-08	$36.83	$36.50	17.8%	5.2%	15.0%	8.7%	20.0%	4.0%	1.0%	-37.1M	-88.9M	-7.4M	2.87	14.96	9,776	28,066	722,652	1,135,754
2012-10-09	$36.92	$36.50	18.3%	5.3%	14.5%	9.8%	18.9%	3.9%	1.0%	-37.0M	-115.5M	-7.5M	0.94	15.12	26,880	25,222	726,580	1,153,258
2012-10-10	$36.21	$36.50	17.9%	5.5%	15.7%	8.8%	19.3%	4.4%	1.2%	-63.5M	363.6M	-7.4M	1.00	14.16	63,024	63,090	733,536	1,162,404
2012-10-11	$36.46	$36.50	18.3%	5.3%	14.4%	10.0%	21.2%	4.0%	1.4%	-56.2M	179.8M	-7.5M	2.35	15.12	23,978	56,286	755,566	1,186,568
2012-10-12	$36.20	$36.25	18.5%	5.3%	13.6%	10.5%	19.1%	4.1%	1.8%	-79.1M	315.6M	-7.4M	2.36	42.55	20,898	49,370	766,540	1,221,842
2012-10-15	$36.28	$36.25	18.4%	5.3%	13.5%	10.1%	19.7%	4.2%	0.8%	-66.6M	184.7M	-7.1M	4.17	15.18	18,182	75,760	761,468	1,227,694
2012-10-16	$37.06	$36.00	17.3%	5.0%	15.8%	7.5%	17.8%	3.6%	1.4%	-22.5M	-290.3M	-7.1M	2.36	15.65	49,270	116,408	768,432	1,243,098
2012-10-17	$37.56	$36.50	16.8%	4.8%	16.2%	6.1%	17.8%	3.7%	1.7%	24.7M	-675.0M	-6.9M	1.00	17.18	47,862	47,668	779,486	1,277,370
2012-10-18	$37.51	$36.50	16.9%	4.8%	16.1%	6.3%	17.3%	3.2%	1.7%	36.1M	-634.5M	-6.9M	1.00	15.37	46,718	46,808	792,384	1,273,826
2012-10-19	$36.84	$36.50	17.8%	5.1%	17.3%	8.8%	18.3%	2.3%	2.3%	-73.3M	-26.2M	-7.0M	0.94	54.61	98,462	92,548	794,332	1,286,454
2012-10-22	$36.75	$36.50	18.0%	5.2%	17.3%	9.1%	18.2%	4.1%	1.5%	-5.8M	-141.9M	-7.0M	1.39	16.85	39,078	54,364	659,350	952,758
2012-10-23	$35.87	$36.50	20.8%	6.0%	19.0%	16.1%	20.9%	4.7%	0.2%	-24.5M	369.9M	-7.3M	2.08	14.04	27,922	58,206	680,532	983,718
2012-10-24	$35.65	$36.50	20.4%	5.9%	18.8%	15.3%	22.9%	4.6%	0.8%	-31.4M	483.9M	-7.3M	3.72	13.82	20,520	76,428	689,458	1,010,110
2012-10-25	$35.91	$36.50	20.2%	5.8%	18.3%	14.7%	21.1%	4.5%	0.5%	-36.4M	393.8M	-7.4M	2.10	9.24	24,462	51,344	691,816	1,066,450
2012-10-26	$35.97	$36.50	22.3%	5.9%	18.2%	20.0%	20.5%	4.7%	0.1%	-22.2M	361.5M	-7.4M	1.15	67.97	51,112	58,730	696,240	1,084,172
2012-10-31	$35.97	$36.50	21.3%	5.7%	18.1%	17.4%	20.8%	4.1%	0.5%	-31.9M	398.8M	-7.0M	1.42	30.83	37,260	52,990	714,598	1,078,190