XLE Options History — July 2013

In July 2013, XLE traded between $39.41 and $41.89. ATM implied volatility averaged 15.9%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.1% (HV 20d: 15.8%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.82.

Notable Days

2013-07-19: Highest Volume — 118,848 contracts
2013-07-05: Largest IV drop — 16.4% change
2013-07-31: Highest IV Rank — 18.0%
2013-07-08: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.83	$39.41	$41.89	$39.41	$41.23
Max Pain	$39.70	$38.50	$40.00	$39.50	$40.00
ATM IV	15.9%	14.0%	19.6%	17.2%	19.6%
Expected Move	4.5%	4.0%	5.0%	4.9%	4.6%
HV 20d	15.8%	11.2%	19.5%	19.2%	12.6%
HV 60d	17.2%	15.8%	19.2%	19.0%	15.8%
IV Rank	9.0%	4.4%	18.0%	12.2%	18.0%
IV Percentile	25.9%	6.0%	79.0%	38.5%	79.0%
Term Structure	1.6%	0.7%	2.0%	1.3%	0.7%
VWIV	16.6%	14.3%	18.7%	18.7%	14.6%
Skew 25d	3.3%	2.8%	4.0%	4.0%	3.5%
Skew 10d	6.7%	5.5%	8.1%	7.5%	6.9%
Call IV 25d	14.2%	12.9%	16.0%	15.6%	14.1%
Put IV 25d	17.5%	16.0%	19.7%	19.7%	17.6%
Bid-Ask Spread %	24.68	8.42	79.46	13.18	79.46
Gamma HHI	0.07	0.05	0.09	0.05	0.09
Net GEX	10.0M	-21.7M	34.8M	-21.1M	17.7M
Net DEX	-91.1M	-708.5M	451.5M	451.5M	-54.8M
Net VEX	-7.8M	-8.1M	-7.5M	-8.0M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.20	5.86	1.18	0.85
Total Volume	53,534.455	32,190	118,848	47,004	42,382
Total OI	1,515,744.909	1,413,300	1,663,738	1,413,300	1,569,684

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
2013-07-01	$39.41	$39.50	17.2%	4.9%	19.2%	12.2%	18.7%	4.0%	1.3%	-21.1M	451.5M	-8.0M	1.18	13.18	21,604	25,400	604,102	809,198
2013-07-02	$39.52	$39.50	17.9%	4.9%	19.0%	13.8%	18.0%	3.9%	1.6%	-20.6M	403.5M	-8.0M	1.29	11.58	17,940	23,170	616,002	819,728
2013-07-03	$39.49	$39.50	17.5%	4.8%	18.6%	12.9%	18.3%	3.4%	1.6%	-21.7M	404.4M	-8.1M	1.65	8.89	12,170	20,020	622,978	833,246
2013-07-05	$40.23	$39.50	14.6%	5.0%	19.5%	6.0%	17.8%	3.4%	1.5%	-18.0M	101.3M	-7.7M	1.07	12.01	19,584	20,882	629,290	833,212
2013-07-08	$40.23	$39.50	16.8%	5.0%	19.1%	11.1%	16.5%	3.8%	1.3%	-5.4M	61.4M	-7.7M	2.08	13.58	21,928	45,682	631,020	831,896
2013-07-09	$40.62	$39.50	16.7%	4.7%	19.4%	11.1%	17.0%	3.4%	1.7%	5.6M	-90.5M	-7.7M	1.05	16.29	16,434	17,228	637,600	823,736
2013-07-10	$40.40	$39.50	14.0%	4.6%	18.6%	4.6%	16.6%	3.5%	1.5%	794.5K	-18.7M	-7.6M	1.44	16.07	18,036	25,954	645,410	831,030
2013-07-11	$40.80	$39.50	15.2%	4.4%	18.6%	7.4%	17.5%	3.1%	1.7%	13.1M	-222.9M	-7.5M	3.22	20.40	20,840	67,086	651,800	842,422
2013-07-12	$40.92	$40.00	15.1%	4.3%	17.5%	7.1%	16.1%	3.0%	2.0%	5.5M	-248.7M	-7.6M	5.86	51.12	10,380	60,846	657,390	888,600
2013-07-15	$40.93	$40.00	15.0%	4.3%	17.0%	7.0%	15.6%	3.0%	1.8%	16.0M	-202.2M	-7.8M	1.81	13.15	16,314	29,544	651,946	905,814
2013-07-16	$40.63	$40.00	15.8%	4.5%	16.4%	8.7%	18.7%	3.0%	1.8%	4.8M	-70.6M	-7.9M	1.01	17.80	37,066	37,554	659,844	929,692
2013-07-17	$40.85	$40.00	14.9%	4.3%	16.4%	6.6%	17.5%	2.9%	1.9%	13.7M	-163.2M	-7.8M	0.20	16.95	50,866	10,372	668,328	953,084
2013-07-18	$41.21	$38.50	15.3%	4.4%	16.3%	7.6%	16.6%	2.9%	1.5%	32.5M	-411.4M	-7.9M	0.92	19.06	34,008	31,206	689,604	951,968
2013-07-19	$41.89	$39.00	14.0%	4.0%	13.2%	4.5%	14.9%	2.8%	1.7%	34.8M	-708.5M	-7.9M	0.70	66.05	69,712	49,136	695,812	967,926
2013-07-22	$41.73	$40.00	14.6%	4.2%	13.2%	5.9%	15.9%	3.1%	1.6%	28.8M	-279.3M	-8.0M	2.21	17.55	15,014	33,214	619,672	815,862
2013-07-23	$41.80	$40.00	14.0%	4.0%	11.2%	4.4%	14.9%	3.2%	1.7%	27.8M	-347.9M	-7.9M	0.80	18.64	25,700	20,432	627,020	840,508
2013-07-24	$41.33	$40.00	14.6%	4.2%	11.9%	5.9%	15.1%	3.5%	1.6%	22.7M	-153.2M	-8.0M	1.20	8.42	26,342	31,554	638,962	848,980
2013-07-25	$41.60	$40.00	14.5%	4.1%	12.0%	5.6%	18.5%	2.8%	1.7%	28.1M	-245.5M	-8.1M	3.10	18.82	8,096	25,074	652,742	867,980
2013-07-26	$41.34	$40.00	15.2%	4.0%	12.4%	7.4%	14.3%	3.2%	2.0%	28.7M	-212.9M	-7.8M	1.43	70.76	14,054	20,078	656,200	863,474
2013-07-29	$41.16	$40.00	17.7%	4.4%	12.5%	13.4%	16.4%	3.4%	1.3%	15.9M	-39.7M	-7.8M	4.97	14.62	8,592	42,664	651,678	863,342
2013-07-30	$41.06	$40.00	18.9%	4.4%	12.5%	16.2%	15.6%	3.6%	1.1%	10.0M	43.3M	-8.0M	2.08	18.52	10,924	22,676	655,944	891,662
2013-07-31	$41.23	$40.00	19.6%	4.6%	12.6%	18.0%	14.6%	3.5%	0.7%	17.7M	-54.8M	-7.8M	0.85	79.46	22,870	19,512	660,856	908,828