XLE Options History — April 2013

In April 2013, XLE traded between $37.09 and $39.62. ATM implied volatility averaged 17.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.2% (HV 20d: 16.5%). Max pain ranged from $38.00 to $39.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.08.

Notable Days

2013-04-15: Highest Volume — 229,956 contracts
2013-04-15: Largest IV spike — 30.2% change
2013-04-18: Highest IV Rank — 21.1%
2013-04-18: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.55	$37.09	$39.62	$39.56	$39.17
Max Pain	$38.57	$38.00	$39.50	$39.00	$38.00
ATM IV	17.7%	14.3%	20.9%	15.5%	18.0%
Expected Move	4.9%	4.1%	6.0%	4.2%	4.6%
HV 20d	16.5%	10.2%	21.1%	10.2%	21.1%
HV 60d	15.0%	13.0%	16.8%	13.0%	16.5%
IV Rank	13.3%	5.1%	21.1%	8.0%	14.0%
IV Percentile	36.6%	5.6%	69.4%	13.5%	42.1%
Term Structure	0.5%	-0.4%	1.1%	0.9%	1.0%
VWIV	18.3%	14.8%	23.7%	14.8%	19.0%
Skew 25d	4.5%	3.5%	6.6%	3.5%	4.0%
Skew 10d	9.6%	7.0%	14.3%	7.6%	7.4%
Call IV 25d	15.4%	13.0%	19.1%	13.0%	14.5%
Put IV 25d	19.8%	16.6%	24.8%	16.6%	18.4%
Bid-Ask Spread %	22.45	15.76	47.46	23.46	19.24
Gamma HHI	0.09	0.06	0.12	0.09	0.07
Net GEX	-33.8M	-81.5M	10.0M	10.0M	-20.2M
Net DEX	463.3M	-259.9M	1.48B	-128.9M	121.6M
Net VEX	-8.0M	-8.4M	-7.5M	-8.0M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.08	0.70	4.28	1.45	3.22
Total Volume	109,660.455	29,306	229,956	89,700	148,088
Total OI	1,535,222.727	1,267,038	1,804,278	1,267,038	1,682,018

Daily Data (22 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
2013-04-01	$39.56	$39.00	15.5%	4.2%	10.2%	8.0%	14.8%	3.5%	0.9%	10.0M	-128.9M	-8.0M	1.45	23.46	36,616	53,084	565,272	701,766
2013-04-02	$39.37	$39.50	16.1%	4.1%	10.4%	9.6%	14.9%	3.6%	1.1%	-3.9M	-13.9M	-8.0M	2.07	23.33	9,546	19,760	573,534	727,560
2013-04-03	$38.63	$39.50	19.8%	4.9%	12.3%	18.3%	17.2%	4.2%	-0.2%	-29.6M	374.7M	-7.9M	0.70	21.84	78,778	55,256	579,136	736,376
2013-04-04	$38.59	$39.00	17.8%	4.9%	12.3%	13.5%	17.4%	4.0%	0.0%	-25.5M	363.7M	-8.1M	2.82	20.05	26,746	75,402	616,118	763,620
2013-04-05	$38.65	$39.00	16.6%	5.0%	12.0%	10.8%	18.9%	4.8%	0.5%	-24.5M	316.7M	-8.1M	2.78	40.58	26,416	73,516	626,112	768,946
2013-04-08	$38.98	$39.00	17.6%	4.7%	12.4%	13.1%	18.7%	4.3%	0.5%	-23.0M	163.8M	-8.3M	2.48	18.31	20,870	51,664	623,644	824,470
2013-04-09	$39.23	$39.00	16.9%	4.7%	12.6%	11.4%	18.8%	4.2%	0.4%	-14.2M	25.1M	-8.3M	1.20	18.87	30,414	36,616	633,662	839,306
2013-04-10	$39.48	$38.50	14.3%	4.4%	12.8%	5.1%	18.4%	4.9%	0.8%	-1.1M	-140.9M	-8.4M	2.03	17.94	14,164	28,814	648,714	854,008
2013-04-11	$39.62	$38.50	15.5%	4.4%	12.8%	8.0%	16.3%	4.0%	0.9%	5.9M	-259.9M	-8.3M	1.42	20.62	22,218	31,442	650,684	866,586
2013-04-12	$38.98	$39.00	15.9%	4.6%	13.0%	9.0%	16.3%	4.0%	0.7%	-16.6M	173.0M	-8.1M	4.28	37.79	38,276	163,818	656,788	876,866
2013-04-15	$37.52	$39.00	20.7%	5.9%	18.5%	20.5%	21.6%	4.8%	-0.4%	-81.1M	1.31B	-7.6M	0.95	47.46	117,770	112,186	654,616	948,484
2013-04-16	$37.87	$38.50	18.2%	5.2%	18.8%	14.6%	18.9%	4.2%	-0.1%	-79.1M	1.04B	-7.9M	1.11	16.76	75,644	83,716	697,096	985,134
2013-04-17	$37.09	$38.50	20.4%	5.9%	19.7%	19.9%	20.6%	5.3%	-0.1%	-80.3M	1.48B	-7.5M	1.89	17.66	51,208	96,838	707,858	994,252
2013-04-18	$37.31	$38.50	20.9%	6.0%	19.8%	21.1%	23.7%	6.6%	-0.2%	-73.7M	1.33B	-7.7M	2.27	16.94	57,998	131,552	712,534	1,011,840
2013-04-19	$37.28	$38.00	19.5%	5.6%	19.8%	17.7%	19.5%	5.8%	0.2%	-81.5M	1.41B	-7.8M	2.16	20.00	46,238	99,760	731,026	1,073,252
2013-04-22	$37.68	$38.00	18.3%	5.2%	19.9%	14.8%	17.9%	5.3%	0.4%	-46.6M	824.1M	-7.9M	0.71	16.01	26,408	18,672	588,790	911,408
2013-04-23	$38.16	$38.00	17.3%	5.0%	20.6%	12.3%	19.1%	4.4%	0.6%	-37.0M	565.9M	-7.9M	2.06	17.73	27,732	57,108	603,710	917,548
2013-04-24	$38.63	$38.00	16.8%	4.8%	20.7%	11.1%	18.0%	4.1%	0.7%	-26.2M	330.1M	-8.0M	3.06	18.71	24,544	75,202	610,736	936,620
2013-04-25	$38.71	$38.00	17.2%	4.9%	20.7%	12.0%	17.4%	4.0%	0.7%	-26.3M	297.9M	-8.1M	1.42	16.37	38,036	54,114	621,800	969,152
2013-04-26	$38.59	$38.00	17.1%	4.8%	20.7%	11.8%	17.2%	4.6%	0.8%	-45.4M	412.4M	-8.3M	2.41	28.48	23,690	56,976	640,550	1,000,934
2013-04-29	$38.98	$38.00	18.5%	4.6%	21.1%	15.2%	17.4%	4.0%	1.1%	-23.1M	204.8M	-8.1M	3.31	15.76	22,164	73,470	634,168	1,008,206
2013-04-30	$39.17	$38.00	18.0%	4.6%	21.1%	14.0%	19.0%	4.0%	1.0%	-20.2M	121.6M	-8.2M	3.22	19.24	35,066	113,022	642,804	1,039,214