XLE Options History — October 2013

In October 2013, XLE traded between $40.88 and $43.61. ATM implied volatility averaged 15.8%, 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 3.4% (HV 20d: 12.5%). Max pain ranged from $40.50 to $44.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.58.

Notable Days

2013-10-18: Highest Volume — 145,932 contracts
2013-10-10: Largest IV drop — 18.9% change
2013-10-08: Highest IV Rank — 23.5%
2013-10-08: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.50	$40.88	$43.61	$41.77	$43.24
Max Pain	$42.30	$40.50	$44.00	$42.00	$43.50
ATM IV	15.8%	13.2%	22.0%	16.9%	13.7%
Expected Move	4.5%	3.8%	6.3%	4.6%	3.9%
HV 20d	12.5%	9.4%	14.2%	9.5%	13.8%
HV 60d	12.0%	11.4%	12.4%	11.5%	12.1%
IV Rank	9.0%	2.7%	23.5%	11.5%	3.9%
IV Percentile	34.6%	3.6%	94.8%	52.0%	8.7%
Term Structure	0.3%	-1.3%	1.4%	0.4%	0.4%
VWIV	16.6%	12.7%	22.7%	17.1%	13.9%
Skew 25d	4.3%	3.2%	8.0%	3.4%	3.2%
Skew 10d	8.5%	4.5%	12.7%	6.5%	6.7%
Call IV 25d	14.1%	11.0%	19.6%	14.9%	12.4%
Put IV 25d	18.4%	15.3%	25.5%	18.3%	15.6%
Bid-Ask Spread %	29.99	6.51	96.60	18.24	27.82
Gamma HHI	0.08	0.06	0.11	0.09	0.07
Net GEX	13.6M	-44.8M	87.7M	7.1M	15.6M
Net DEX	-83.9M	-870.8M	719.3M	152.1M	-261.1M
Net VEX	-7.4M	-7.8M	-6.8M	-7.0M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.73	3.44	2.13	0.97
Total Volume	76,532.609	24,240	145,932	64,396	34,586
Total OI	1,617,133.739	1,326,838	1,807,392	1,326,838	1,747,792

Daily Data (23 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
2013-10-01	$41.77	$42.00	16.9%	4.6%	9.5%	11.5%	17.1%	3.4%	0.4%	7.1M	152.1M	-7.0M	2.13	18.24	20,542	43,854	527,256	799,582
2013-10-02	$41.75	$42.00	17.3%	4.8%	9.4%	12.4%	16.2%	3.4%	0.3%	1.5M	182.4M	-7.1M	0.82	17.20	34,678	28,310	536,788	838,354
2013-10-03	$41.45	$0.00	17.8%	5.1%	9.7%	13.7%	18.1%	4.1%	-0.3%	-13.5M	348.9M	-7.4M	2.51	6.51	18,278	45,798	559,214	854,740
2013-10-04	$41.85	$40.50	17.3%	5.0%	10.3%	12.3%	18.3%	4.1%	-0.5%	7.5M	159.9M	-7.4M	1.13	33.06	24,304	27,576	567,350	881,328
2013-10-07	$41.51	$41.75	19.3%	5.5%	10.3%	17.2%	21.1%	4.9%	-0.3%	-8.1M	331.6M	-7.5M	2.02	15.60	36,036	72,680	572,754	883,560
2013-10-08	$41.05	$41.50	22.0%	6.3%	10.9%	23.5%	22.7%	5.9%	-1.3%	-36.0M	614.7M	-7.8M	1.30	15.56	50,470	65,414	575,270	938,516
2013-10-09	$40.88	$41.25	21.4%	6.1%	10.3%	22.3%	21.0%	6.2%	-1.3%	-44.8M	719.3M	-7.8M	1.66	14.56	31,646	52,542	600,782	981,820
2013-10-10	$41.65	$0.00	17.4%	5.0%	12.5%	13.0%	18.6%	5.0%	0.5%	-7.1M	299.1M	-7.8M	1.62	11.98	25,992	42,112	611,410	1,001,270
2013-10-11	$42.09	$41.25	16.2%	4.6%	13.1%	9.9%	17.0%	8.0%	0.0%	23.4M	17.3M	-7.6M	1.20	96.60	33,650	40,440	615,852	1,022,212
2013-10-14	$42.42	$41.50	15.8%	4.5%	13.4%	8.9%	17.7%	4.6%	0.7%	38.6M	-143.3M	-7.6M	1.63	31.75	47,872	78,112	619,684	1,015,818
2013-10-15	$42.27	$41.50	16.7%	4.7%	13.4%	11.3%	20.1%	5.3%	0.6%	19.9M	-23.9M	-7.8M	1.18	22.23	50,528	59,446	632,510	1,053,762
2013-10-16	$42.84	$41.50	14.5%	4.1%	13.5%	5.8%	14.9%	4.0%	0.9%	60.1M	-398.8M	-7.5M	0.85	45.49	73,092	61,888	650,366	1,068,790
2013-10-17	$42.99	$41.50	13.4%	3.9%	13.6%	3.2%	16.4%	3.9%	0.8%	87.7M	-573.7M	-7.4M	2.87	19.70	23,850	68,514	667,290	1,105,116
2013-10-18	$43.48	$42.00	13.2%	3.8%	13.0%	2.7%	16.0%	3.4%	0.0%	74.9M	-870.8M	-7.3M	1.45	72.18	59,668	86,264	671,732	1,135,660
2013-10-21	$43.27	$43.00	13.7%	4.0%	13.0%	3.8%	13.2%	4.4%	0.6%	18.6M	-334.2M	-7.0M	1.34	27.61	15,916	21,352	550,122	1,046,696
2013-10-22	$43.48	$43.00	14.1%	4.1%	13.1%	4.9%	14.3%	3.8%	1.0%	19.8M	-427.0M	-7.2M	3.44	23.00	24,548	84,478	558,928	1,057,848
2013-10-23	$42.89	$43.00	14.9%	4.3%	14.2%	6.8%	15.9%	4.5%	1.0%	-16.9M	-16.3M	-7.7M	2.00	19.75	20,474	41,016	571,270	1,112,824
2013-10-24	$43.08	$43.00	14.2%	4.1%	14.2%	5.0%	14.4%	3.9%	0.1%	-10.8M	-144.7M	-7.4M	1.29	23.28	30,096	38,890	575,938	1,131,872
2013-10-25	$43.31	$43.00	13.7%	3.9%	14.1%	3.9%	13.5%	3.7%	0.3%	728.7K	-341.1M	-7.2M	0.90	63.19	20,120	18,154	587,648	1,124,326
2013-10-28	$43.33	$43.75	13.6%	3.9%	13.8%	3.7%	13.7%	3.5%	0.9%	16.4M	-317.4M	-7.3M	2.47	30.30	6,990	17,250	588,688	1,118,152
2013-10-29	$43.61	$44.00	13.3%	3.8%	13.8%	2.9%	12.7%	3.4%	1.4%	36.6M	-542.6M	-6.8M	0.80	24.65	18,204	14,582	591,062	1,118,930
2013-10-30	$43.32	$43.75	13.9%	4.0%	14.1%	4.3%	14.3%	3.2%	0.7%	21.1M	-359.3M	-7.2M	0.73	29.62	28,866	21,172	601,572	1,121,622
2013-10-31	$43.24	$43.50	13.7%	3.9%	13.8%	3.9%	13.9%	3.2%	0.4%	15.6M	-261.1M	-7.3M	0.97	27.82	17,518	17,068	616,262	1,131,530