XLE Options History — March 2013

In March 2013, XLE traded between $38.82 and $40.02. ATM implied volatility averaged 15.1%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.4% (HV 20d: 15.5%). Max pain ranged from $38.50 to $39.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.42.

Notable Days

2013-03-14: Highest Volume — 435,026 contracts
2013-03-08: Largest IV drop — 13.3% change
2013-03-04: Highest IV Rank — 11.0%
2013-03-04: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.38	$38.82	$40.02	$38.82	$39.66
Max Pain	$38.88	$38.50	$39.50	$38.50	$39.00
ATM IV	15.1%	13.1%	16.7%	16.7%	14.6%
Expected Move	4.3%	3.8%	4.8%	4.8%	4.2%
HV 20d	15.5%	10.1%	17.3%	17.3%	10.2%
HV 60d	16.3%	13.6%	16.8%	16.8%	13.6%
IV Rank	7.1%	2.3%	11.0%	10.9%	6.0%
IV Percentile	10.0%	0.8%	21.0%	17.9%	7.9%
Term Structure	1.0%	0.0%	2.4%	0.0%	1.1%
VWIV	16.0%	13.9%	18.7%	16.9%	14.7%
Skew 25d	3.7%	3.0%	4.7%	4.2%	3.3%
Skew 10d	8.1%	6.0%	10.6%	10.6%	7.9%
Call IV 25d	13.7%	12.4%	15.6%	15.6%	12.9%
Put IV 25d	17.4%	15.4%	19.8%	19.7%	16.2%
Bid-Ask Spread %	24.58	15.77	50.65	43.92	50.65
Gamma HHI	0.15	0.09	0.30	0.11	0.10
Net GEX	34.3M	-27.8M	124.8M	15.8M	5.0M
Net DEX	-380.3M	-1.00B	132.6M	-409.6M	-155.0M
Net VEX	-6.9M	-8.1M	-6.0M	-6.5M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.23	4.93	1.58	0.55
Total Volume	90,718.6	30,524	435,026	35,726	110,832
Total OI	1,406,285.1	1,092,840	1,638,780	1,492,042	1,355,974

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
2013-03-01	$38.82	$38.50	16.7%	4.8%	17.3%	10.9%	16.9%	4.2%	0.0%	15.8M	-409.6M	-6.5M	1.58	43.92	13,824	21,902	656,572	835,470
2013-03-04	$38.83	$38.50	16.7%	4.8%	17.0%	11.0%	17.4%	4.7%	0.1%	25.4M	-448.3M	-6.2M	0.80	27.36	26,700	21,404	642,316	817,838
2013-03-05	$39.06	$38.50	16.2%	4.7%	16.9%	9.8%	18.7%	4.5%	0.1%	39.7M	-601.4M	-6.2M	1.01	19.20	19,632	19,910	652,974	823,420
2013-03-06	$39.09	$38.50	16.0%	4.5%	16.8%	9.3%	16.8%	4.0%	0.1%	39.3M	-613.1M	-6.1M	2.49	24.28	11,262	28,068	654,760	828,510
2013-03-07	$39.33	$38.50	15.1%	4.1%	16.9%	7.1%	15.5%	4.0%	0.9%	54.3M	-748.5M	-6.0M	1.10	20.34	14,516	16,008	660,266	838,024
2013-03-08	$39.49	$38.50	13.1%	4.0%	16.9%	2.3%	15.8%	3.3%	0.7%	77.0M	-817.4M	-6.3M	1.17	28.92	35,336	41,316	679,966	861,368
2013-03-11	$39.47	$39.00	14.3%	4.1%	16.6%	5.2%	15.8%	3.2%	2.1%	81.7M	-817.9M	-6.3M	0.75	15.77	24,068	18,120	696,070	880,202
2013-03-12	$39.56	$39.00	14.8%	4.1%	16.5%	6.4%	15.7%	3.1%	2.1%	90.1M	-868.9M	-6.2M	1.24	18.39	32,692	40,632	700,894	886,378
2013-03-13	$39.47	$39.00	13.2%	4.0%	16.5%	2.6%	14.7%	3.2%	2.2%	89.1M	-774.6M	-6.5M	0.72	21.11	60,034	43,338	715,444	910,214
2013-03-14	$40.02	$39.00	13.4%	3.8%	17.2%	3.0%	13.9%	3.0%	2.4%	124.8M	-1.00B	-6.6M	0.23	23.24	354,434	80,592	708,114	930,666
2013-03-15	$39.81	$39.50	13.9%	4.0%	17.1%	4.4%	15.4%	3.4%	2.4%	50.0M	-188.9M	-6.9M	2.04	24.92	52,760	107,560	522,310	982,770
2013-03-18	$39.47	$39.00	15.6%	4.5%	17.1%	8.2%	16.9%	4.0%	0.9%	1.8M	-75.1M	-7.1M	1.94	20.29	21,872	42,406	466,690	626,150
2013-03-19	$39.05	$39.00	16.5%	4.7%	17.1%	10.5%	16.9%	4.6%	0.7%	-19.9M	132.6M	-7.3M	2.05	20.02	46,152	94,566	476,672	662,554
2013-03-20	$39.26	$39.00	15.3%	4.4%	15.4%	7.6%	17.2%	3.7%	0.9%	-9.4M	30.1M	-7.3M	4.93	21.63	17,702	87,264	499,296	664,514
2013-03-21	$39.09	$39.00	16.6%	4.7%	15.3%	10.6%	17.0%	4.0%	0.3%	-27.8M	130.2M	-7.7M	2.61	17.60	16,256	42,438	510,456	727,250
2013-03-22	$39.42	$39.00	15.4%	4.4%	15.1%	7.8%	16.0%	4.1%	0.8%	-15.5M	-3.0M	-7.7M	0.74	22.37	46,328	34,444	518,360	752,672
2013-03-25	$39.23	$39.00	15.9%	4.6%	11.4%	9.1%	16.0%	3.9%	0.6%	-5.5M	14.9M	-7.8M	0.69	26.65	56,838	39,272	542,028	748,136
2013-03-26	$39.66	$39.00	14.4%	4.1%	11.6%	5.5%	15.0%	3.5%	1.1%	25.8M	-175.3M	-8.1M	0.67	20.15	20,358	13,578	579,946	763,208
2013-03-27	$39.77	$39.00	13.8%	3.9%	10.1%	3.9%	14.3%	3.2%	1.4%	44.3M	-215.5M	-8.0M	1.00	24.87	19,988	19,970	580,818	766,432
2013-03-28	$39.66	$39.00	14.6%	4.2%	10.2%	6.0%	14.7%	3.3%	1.1%	5.0M	-155.0M	-8.0M	0.55	50.65	71,288	39,544	583,808	772,166