XLE Options History — February 2013

In February 2013, XLE traded between $37.95 and $39.69. ATM implied volatility averaged 16.5%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.0% (HV 20d: 12.4%). Max pain ranged from $37.50 to $38.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.39.

Notable Days

2013-02-26: Highest Volume — 146,972 contracts
2013-02-25: Largest IV spike — 23.8% change
2013-02-25: Highest IV Rank — 20.1%
2013-02-25: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.98	$37.95	$39.69	$39.03	$38.92
Max Pain	$37.97	$37.50	$38.50	$37.50	$38.50
ATM IV	16.5%	13.9%	20.5%	18.4%	17.1%
Expected Move	4.7%	4.1%	5.9%	4.6%	4.9%
HV 20d	12.4%	10.0%	17.4%	10.7%	17.2%
HV 60d	16.0%	15.0%	17.4%	17.4%	16.8%
IV Rank	10.4%	4.3%	20.1%	14.9%	11.9%
IV Percentile	18.0%	2.8%	61.5%	34.1%	22.2%
Term Structure	0.3%	-1.1%	3.9%	3.9%	0.0%
VWIV	17.5%	14.9%	21.1%	18.3%	18.3%
Skew 25d	4.0%	3.1%	5.9%	3.5%	5.0%
Skew 10d	8.4%	5.8%	12.2%	7.8%	10.7%
Call IV 25d	15.0%	13.4%	18.4%	14.3%	15.2%
Put IV 25d	19.0%	16.6%	24.3%	17.8%	20.3%
Bid-Ask Spread %	26.03	12.65	76.42	34.62	76.42
Gamma HHI	0.11	0.08	0.15	0.10	0.11
Net GEX	27.0M	-13.2M	69.7M	22.5M	31.6M
Net DEX	-707.2M	-1.28B	14.7M	-875.5M	-496.2M
Net VEX	-6.0M	-6.6M	-5.5M	-5.5M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.61	2.31	1.50	1.06
Total Volume	84,197.474	32,322	146,972	111,256	43,146
Total OI	1,429,900.737	1,295,046	1,621,664	1,319,078	1,478,650

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
2013-02-01	$39.03	$37.50	18.4%	4.6%	10.7%	14.9%	18.3%	3.5%	3.9%	22.5M	-875.5M	-5.5M	1.50	34.62	44,424	66,832	558,072	761,006
2013-02-04	$38.73	$37.50	17.3%	4.9%	10.9%	12.3%	17.8%	3.7%	-0.0%	14.8M	-681.2M	-5.8M	1.70	16.10	26,854	45,534	566,442	776,340
2013-02-05	$38.99	$37.50	15.5%	4.7%	10.2%	8.1%	17.5%	3.5%	-0.0%	20.5M	-783.1M	-5.8M	1.18	14.05	18,636	22,020	574,920	797,940
2013-02-06	$38.98	$37.50	13.9%	4.7%	10.1%	4.3%	17.9%	3.8%	0.4%	24.9M	-831.9M	-5.6M	2.25	12.65	17,026	38,366	578,836	799,428
2013-02-07	$38.92	$37.50	16.4%	4.7%	10.0%	10.3%	17.1%	3.7%	0.1%	15.7M	-773.9M	-5.9M	0.99	14.17	56,462	56,130	585,958	826,596
2013-02-08	$39.29	$38.00	15.6%	4.5%	10.0%	8.4%	16.4%	3.4%	0.3%	52.0M	-1.03B	-5.9M	0.89	19.03	51,060	45,286	617,474	859,496
2013-02-11	$39.09	$38.00	16.0%	4.6%	10.4%	9.3%	16.9%	3.5%	0.1%	31.0M	-914.2M	-5.7M	2.31	13.90	9,778	22,544	601,120	856,810
2013-02-12	$39.18	$38.00	15.8%	4.5%	10.2%	8.8%	16.0%	3.5%	0.2%	38.4M	-964.2M	-5.6M	0.87	15.51	40,530	35,254	605,558	868,110
2013-02-13	$39.30	$37.50	15.1%	4.3%	10.2%	7.2%	17.0%	3.3%	0.1%	53.1M	-1.14B	-5.6M	2.01	14.69	27,284	54,840	638,686	891,142
2013-02-14	$39.63	$38.00	15.6%	4.5%	10.4%	8.3%	15.5%	3.4%	-0.0%	69.7M	-1.28B	-5.6M	0.61	16.63	80,890	49,192	645,008	914,928
2013-02-15	$39.29	$38.00	14.4%	4.1%	11.0%	5.4%	14.9%	3.6%	2.3%	52.2M	-1.06B	-6.0M	0.79	42.30	68,784	54,288	684,944	936,720
2013-02-19	$39.69	$38.00	14.9%	4.2%	11.3%	6.7%	15.7%	3.1%	0.4%	50.0M	-839.9M	-5.8M	1.09	14.21	30,122	32,940	564,354	730,692
2013-02-20	$38.84	$38.00	16.2%	4.7%	13.5%	9.7%	17.0%	3.7%	0.2%	14.7M	-420.8M	-6.2M	0.72	19.31	68,272	49,172	580,894	739,640
2013-02-21	$38.56	$38.00	17.4%	5.0%	13.8%	12.8%	18.1%	4.8%	-0.3%	3.0M	-312.5M	-6.6M	2.18	19.41	30,644	66,798	605,382	764,200
2013-02-22	$38.98	$38.50	16.6%	4.7%	14.2%	10.6%	17.2%	4.8%	-0.2%	12.2M	-447.4M	-6.6M	1.34	76.32	16,080	21,512	620,412	803,282
2013-02-25	$37.95	$38.50	20.5%	5.9%	17.0%	20.1%	20.5%	5.9%	-1.1%	-13.2M	14.7M	-6.4M	1.35	26.84	45,446	61,458	615,252	789,722
2013-02-26	$38.26	$38.50	18.8%	5.4%	17.3%	16.0%	21.1%	5.3%	-0.6%	-9.6M	-96.9M	-6.6M	1.39	21.68	61,396	85,576	637,362	822,224
2013-02-27	$38.92	$38.50	17.1%	4.9%	17.4%	11.8%	19.2%	4.5%	-0.3%	30.0M	-500.9M	-6.5M	2.23	26.73	17,090	38,086	649,478	821,036
2013-02-28	$38.92	$38.50	17.1%	4.9%	17.2%	11.9%	18.3%	5.0%	0.0%	31.6M	-496.2M	-6.5M	1.06	76.42	20,900	22,246	653,970	824,680