XLE Options History — December 2012

In December 2012, XLE traded between $34.58 and $36.62. ATM implied volatility averaged 20.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.0% (HV 20d: 14.6%). Max pain ranged from $35.50 to $37.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.20.

Notable Days

2012-12-20: Highest Volume — 514,396 contracts
2012-12-28: Largest IV spike — 166.8% change
2012-12-28: Highest IV Rank — 97.0%
2012-12-28: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.77	$34.58	$36.62	$35.34	$35.76
Max Pain	$36.15	$35.50	$37.00	$37.00	$36.00
ATM IV	20.6%	17.3%	52.7%	18.4%	24.8%
Expected Move	5.4%	5.0%	6.2%	5.3%	5.6%
HV 20d	14.6%	12.4%	20.1%	19.2%	20.1%
HV 60d	17.2%	16.5%	19.2%	18.2%	19.2%
IV Rank	15.6%	7.5%	97.0%	10.2%	26.3%
IV Percentile	32.3%	11.5%	99.6%	23.4%	82.5%
Term Structure	1.2%	-4.4%	3.2%	0.7%	0.3%
VWIV	19.8%	18.2%	23.2%	20.4%	20.3%
Skew 25d	4.0%	3.1%	8.2%	4.0%	4.0%
Skew 10d	8.3%	6.5%	16.9%	8.2%	8.2%
Call IV 25d	16.8%	9.9%	20.2%	16.8%	18.4%
Put IV 25d	20.8%	13.4%	28.4%	20.9%	22.4%
Bid-Ask Spread %	28.77	4.83	119.53	18.60	4.83
Gamma HHI	0.08	0.05	0.12	0.06	0.06
Net GEX	-21.6M	-83.1M	15.1M	-38.7M	-5.5M
Net DEX	247.0M	-506.8M	954.8M	511.6M	269.7M
Net VEX	-5.2M	-5.8M	-4.6M	-5.8M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.29	1.91	1.91	0.72
Total Volume	105,116.2	21,142	514,396	76,742	119,040
Total OI	1,800,217.3	1,413,346	1,986,470	1,813,090	1,542,724

Daily Data (20 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
2012-12-03	$35.34	$37.00	18.4%	5.3%	19.2%	10.2%	20.4%	4.0%	0.7%	-38.7M	511.6M	-5.8M	1.91	18.60	26,334	50,408	721,048	1,092,042
2012-12-04	$35.21	$37.00	19.8%	5.7%	18.9%	13.6%	19.5%	4.3%	0.7%	-42.8M	591.8M	-5.8M	1.14	24.54	40,260	45,848	724,254	1,099,070
2012-12-05	$35.48	$37.00	18.7%	5.4%	18.1%	11.0%	18.8%	3.7%	0.7%	-35.0M	439.5M	-5.8M	1.42	21.11	31,254	44,468	744,198	1,114,196
2012-12-06	$35.55	$37.00	18.5%	5.3%	14.6%	10.4%	20.5%	3.7%	0.7%	-27.5M	373.9M	-5.8M	1.61	22.53	8,112	13,030	752,958	1,122,802
2012-12-07	$35.78	$37.00	20.3%	5.8%	13.5%	15.1%	23.2%	3.5%	3.2%	5.4M	255.3M	-5.7M	1.28	119.53	26,722	34,228	756,160	1,126,870
2012-12-10	$35.80	$37.00	18.5%	5.0%	13.5%	10.3%	18.9%	3.1%	1.0%	-14.8M	204.5M	-5.3M	0.82	80.18	25,000	20,406	762,618	1,121,328
2012-12-11	$36.05	$35.50	18.4%	5.2%	13.6%	10.2%	19.3%	3.2%	1.8%	-13.9M	54.0M	-5.4M	1.48	20.39	24,710	36,656	770,046	1,133,328
2012-12-12	$36.08	$35.50	17.5%	5.1%	13.4%	7.8%	19.6%	3.4%	2.3%	-12.8M	23.8M	-5.4M	0.72	19.24	42,662	30,734	779,544	1,136,890
2012-12-13	$35.75	$35.50	18.7%	5.4%	13.0%	10.9%	22.1%	3.7%	1.8%	-16.6M	250.8M	-5.2M	0.76	20.44	50,874	38,762	785,362	1,139,794
2012-12-14	$35.61	$35.50	18.6%	5.3%	13.2%	10.7%	19.9%	3.7%	1.8%	-20.2M	321.0M	-5.3M	1.31	21.08	21,860	28,720	797,550	1,159,766
2012-12-17	$35.94	$35.50	17.9%	5.1%	13.4%	9.0%	19.2%	3.2%	2.0%	-13.8M	105.8M	-5.0M	1.81	20.51	36,014	65,044	794,726	1,158,442
2012-12-18	$36.60	$35.50	17.3%	5.0%	12.4%	7.5%	18.7%	3.2%	1.9%	15.1M	-439.6M	-4.7M	1.82	19.71	40,302	73,286	813,922	1,147,430
2012-12-19	$36.32	$35.50	18.1%	5.2%	12.8%	9.3%	19.4%	3.8%	1.8%	-2.0M	-261.6M	-4.9M	0.95	17.59	41,154	39,116	815,642	1,158,372
2012-12-20	$36.62	$35.50	17.9%	5.1%	12.9%	8.8%	18.4%	3.6%	1.9%	1.7M	-506.8M	-4.6M	0.29	21.33	397,796	116,600	815,442	1,171,028
2012-12-21	$36.03	$36.50	18.1%	5.2%	13.6%	9.4%	18.2%	4.4%	2.3%	-83.1M	493.3M	-4.9M	1.43	20.49	72,284	103,392	657,380	1,223,372
2012-12-24	$35.76	$36.50	18.1%	5.2%	13.3%	9.5%	18.9%	4.1%	1.5%	-19.3M	378.1M	-4.8M	1.26	11.42	33,008	41,506	565,422	847,924
2012-12-26	$35.58	$36.00	19.0%	5.4%	13.1%	11.7%	18.7%	4.4%	1.0%	-25.6M	436.3M	-4.9M	1.27	13.60	28,858	36,782	585,316	864,864
2012-12-27	$35.53	$36.00	19.8%	5.7%	12.6%	13.6%	19.7%	4.1%	0.5%	-30.8M	483.3M	-5.0M	1.07	15.24	49,878	53,596	600,654	883,272
2012-12-28	$34.58	$36.00	52.7%	6.2%	15.9%	97.0%	21.3%	8.2%	-4.4%	-51.0M	954.8M	-4.7M	0.88	63.08	60,540	53,080	617,088	901,502
2012-12-31	$35.76	$36.00	24.8%	5.6%	20.1%	26.3%	20.3%	4.0%	0.3%	-5.5M	269.7M	-4.9M	0.72	4.83	69,200	49,840	629,028	913,696