In December we put on the Jan 47 butterfly with great results, and we are currently in the Feb 47 butterfly, having entered on Jan 21st as the XLE touched 47. The great things about the XLE (depending on your viewpoint) are the highly liquid options and the penny spreads, although the spreads open up a bit as the strikes move away from the ATMs.For those who prefer to just trade the ETF and not play the premium decay game, the XLE triple, ERX, generates more bang for the buck (assuming you're right), as evidenced by this little backtest of the past 500 bars using a simple long/short RSI system on the ERX and XLE on 5, 10, 60 minute and daily bars (ERX has only been up since 11/6/08, so there's not really 500 days of data). Options on the ERX are thin and the spreads are humongous, so don't even think about it.
Finally, an impressive piece of work from Market Rewind providing a neat little snapshot of ETF performance metrics for a variety of time periods. Thanks Jeff.