XLE Options History — February 2014

In February 2014, XLE traded between $40.88 and $43.90. ATM implied volatility averaged 15.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.7% (HV 20d: 16.4%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.72.

Notable Days

2014-02-05: Highest Volume — 201,380 contracts
2014-02-28: Largest IV drop — 9.6% change
2014-02-03: Highest IV Rank — 75.5%
2014-02-03: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.67	$40.88	$43.90	$40.88	$43.85
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	15.7%	13.9%	19.6%	19.6%	13.9%
Expected Move	5.5%	5.3%	5.9%	5.9%	5.5%
HV 20d	16.4%	15.2%	17.6%	15.2%	15.7%
HV 60d	13.3%	12.7%	13.7%	12.7%	13.7%
IV Rank	45.2%	30.9%	75.5%	75.5%	30.9%
IV Percentile	48.8%	15.9%	92.5%	92.5%	15.9%
Term Structure	0.1%	-1.5%	1.9%	-0.6%	1.9%
VWIV	20.1%	18.2%	23.0%	20.2%	18.9%
Skew 25d	3.7%	2.7%	5.0%	5.0%	3.4%
Skew 10d	7.3%	5.7%	10.4%	10.4%	9.5%
Call IV 25d	14.1%	12.9%	17.2%	17.2%	13.8%
Put IV 25d	17.8%	15.8%	22.2%	22.2%	17.2%
Bid-Ask Spread %	6.06	3.68	23.25	7.73	6.57
Gamma HHI	0.09	0.06	0.13	0.12	0.07
Net GEX	-45.1M	-99.4M	28.0M	-94.2M	28.0M
Net DEX	388.6M	-354.9M	1.47B	1.47B	-282.9M
Net VEX	-6.2M	-6.7M	-5.8M	-6.0M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.24	6.83	6.83	1.02
Total Volume	83,040.947	30,780	201,380	158,732	60,758
Total OI	1,280,380.105	994,966	1,488,138	1,176,766	1,168,770

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
2014-02-03	$40.88	$44.00	19.6%	5.9%	15.2%	75.5%	20.2%	5.0%	-0.6%	-94.2M	1.47B	-6.0M	6.83	7.73	20,282	138,450	420,458	756,308
2014-02-04	$41.37	$44.00	18.2%	5.7%	16.1%	64.6%	18.9%	4.9%	-0.3%	-93.9M	1.24B	-6.1M	1.42	23.25	36,664	52,084	429,128	739,704
2014-02-05	$40.96	$44.00	18.9%	5.9%	15.8%	70.0%	20.5%	4.7%	0.3%	-94.3M	1.39B	-6.0M	2.06	3.68	65,890	135,490	452,306	766,310
2014-02-06	$41.55	$44.00	17.3%	5.8%	16.9%	57.8%	21.1%	4.2%	0.5%	-98.5M	1.16B	-6.5M	1.64	5.19	47,012	77,194	474,386	827,326
2014-02-07	$42.03	$44.00	15.8%	5.7%	17.6%	45.8%	20.2%	4.9%	0.4%	-88.1M	883.5M	-6.7M	1.14	5.21	27,198	31,010	496,390	852,676
2014-02-10	$41.83	$44.00	16.1%	5.7%	17.6%	48.3%	18.2%	3.8%	0.0%	-99.4M	1.01B	-6.4M	0.94	5.63	15,894	14,886	485,628	833,316
2014-02-11	$42.36	$44.00	15.0%	5.5%	17.0%	39.8%	19.0%	3.2%	0.2%	-89.0M	671.4M	-6.4M	0.24	4.93	74,500	17,992	491,384	841,360
2014-02-12	$42.29	$44.00	14.9%	5.5%	16.3%	39.0%	18.2%	2.9%	0.1%	-79.7M	663.4M	-6.4M	0.39	4.97	26,638	10,334	537,578	845,134
2014-02-13	$42.41	$44.00	14.9%	5.5%	16.3%	38.7%	0.0%	2.9%	0.5%	-71.4M	544.8M	-6.5M	3.82	4.15	22,236	84,878	548,926	849,004
2014-02-14	$42.97	$44.00	14.4%	5.4%	17.0%	35.4%	0.0%	2.7%	0.4%	-46.0M	145.7M	-6.4M	0.87	4.21	47,434	41,046	557,722	901,942
2014-02-18	$43.20	$44.00	15.0%	5.4%	17.2%	39.3%	19.3%	3.3%	-0.2%	-51.6M	35.7M	-6.2M	0.92	4.74	21,666	19,860	547,280	887,968
2014-02-19	$43.48	$44.00	14.8%	5.4%	17.1%	38.3%	18.6%	3.1%	-0.2%	-12.5M	-196.7M	-5.8M	1.61	5.88	31,114	50,230	555,122	894,882
2014-02-20	$43.55	$44.00	14.9%	5.4%	17.0%	38.6%	20.8%	3.2%	-0.1%	5.7M	-247.8M	-5.9M	0.51	4.89	42,138	21,332	554,224	894,232
2014-02-21	$43.17	$44.00	14.9%	5.4%	16.8%	39.0%	20.2%	3.3%	-0.5%	-49.8M	-43.7M	-6.1M	1.42	5.95	19,130	27,226	579,600	908,538
2014-02-24	$43.85	$44.00	14.7%	5.3%	15.8%	37.2%	20.4%	3.5%	-1.5%	20.0M	-313.8M	-5.9M	0.53	4.74	65,952	35,104	385,132	609,834
2014-02-25	$43.90	$44.00	14.9%	5.4%	15.6%	38.9%	23.0%	3.4%	-1.2%	24.7M	-354.9M	-6.0M	2.03	5.04	17,934	36,440	412,672	629,064
2014-02-26	$43.56	$44.00	15.0%	5.4%	15.8%	39.8%	21.2%	3.5%	1.4%	16.1M	-193.6M	-6.3M	2.87	4.31	19,954	57,188	422,280	648,858
2014-02-27	$43.56	$44.00	15.3%	5.4%	15.6%	42.4%	22.2%	3.9%	1.5%	17.5M	-197.3M	-6.4M	2.49	4.06	18,544	46,096	431,958	689,822
2014-02-28	$43.85	$44.00	13.9%	5.5%	15.7%	30.9%	18.9%	3.4%	1.9%	28.0M	-282.9M	-6.7M	1.02	6.57	30,056	30,702	441,486	727,284