XLE Options History — January 2007

In January 2007, XLE traded between $27.03 and $29.05. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.4% (HV 20d: 24.7%). Max pain ranged from $28.00 to $29.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2007-01-09: Highest Volume — 522,542 contracts
  • 2007-01-19: Largest IV drop — 8.1% change
  • 2007-01-10: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$27.03$29.05$28.29$29.05
Max Pain$28.75$28.00$29.50$29.50$28.50
ATM IV24.2%21.2%26.5%26.4%21.2%
Expected Move7.1%6.1%7.8%7.6%6.1%
HV 20d24.7%24.0%25.7%25.7%24.0%
Term Structure0.2%-1.4%1.7%1.2%1.7%
VWIV24.8%21.7%26.8%26.8%21.7%
Skew 25d2.0%1.3%3.0%3.0%2.0%
Skew 10d4.0%1.1%6.3%6.3%4.8%
Call IV 25d23.8%20.2%26.4%25.2%20.2%
Put IV 25d25.8%22.2%28.2%28.2%22.2%
Bid-Ask Spread %10.775.7214.576.9611.28
Gamma HHI0.210.130.460.210.16
Net GEX-35.4M-144.0M36.4M-52.8M36.4M
Net DEX316.7M-877.6M1.53B610.1M-877.6M
Net VEX-11.7M-12.5M-11.1M-12.5M-11.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.294.064.060.82
Total Volume199,006.246,814522,542377,04475,016
Total OI3,049,966.32,173,6543,762,5643,248,2962,403,870

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$28.29$29.5026.4%7.6%0.0%0.0%26.8%3.0%1.2%-52.8M610.1M-12.5M4.066.9674,544302,5001,479,7501,768,546
2007-01-04$27.77$29.5026.0%7.5%0.0%0.0%25.6%2.3%1.5%-76.3M1.40B-12.2M2.525.72122,716309,7941,512,7281,934,360
2007-01-05$27.96$29.5024.0%7.7%0.0%0.0%26.4%1.6%-0.6%-58.0M873.6M-12.3M1.2310.63192,506236,5861,563,4401,844,212
2007-01-08$27.96$29.5025.2%7.7%0.0%0.0%26.8%1.6%-0.6%-80.8M933.3M-12.0M0.2910.25132,53837,9901,522,9041,922,960
2007-01-09$27.72$29.5024.8%7.7%0.0%0.0%26.8%1.5%-0.8%-69.5M1.01B-11.8M0.9213.89272,406250,1361,634,0641,823,280
2007-01-10$27.18$29.5025.2%7.8%0.0%0.0%26.6%2.0%-1.4%-69.9M1.41B-11.6M1.818.1468,704124,6381,687,1761,845,088
2007-01-11$27.03$29.5026.5%7.6%0.0%0.0%26.5%1.3%-0.4%-66.1M1.53B-11.1M1.6011.2793,250149,4121,661,1141,801,368
2007-01-12$27.72$29.5025.4%7.3%0.0%0.0%25.3%1.9%-0.1%-69.7M648.0M-12.0M0.3512.69173,19460,1221,726,0261,840,906
2007-01-16$27.43$28.5026.3%7.5%0.0%0.0%26.4%1.9%-1.1%-84.8M1.04B-11.3M1.257.5476,54896,0341,815,8681,852,188
2007-01-17$27.74$28.5026.3%7.5%0.0%0.0%26.5%2.3%-1.1%-97.0M550.1M-11.5M1.6910.6363,128106,6101,832,6361,886,458
2007-01-18$27.54$28.5025.9%7.4%0.0%0.0%25.9%1.6%-0.7%-144.0M869.3M-11.3M0.7710.4570,66054,1301,867,4201,895,144
2007-01-19$28.29$28.0023.8%6.8%0.0%0.0%24.6%2.3%-0.0%-4.5M-431.6M-11.5M1.1712.55111,402129,8761,874,6701,877,136
2007-01-22$28.09$28.0023.4%6.7%0.0%0.0%23.7%1.9%0.7%14.5M-225.6M-11.4M2.5911.2632,82084,8481,164,3181,009,336
2007-01-23$28.82$28.0022.5%6.4%0.0%0.0%23.2%2.6%0.6%21.0M-658.6M-11.5M0.6111.73123,44474,6981,179,7861,053,504
2007-01-24$28.95$28.0022.8%6.5%0.0%0.0%22.9%2.9%0.6%24.5M-720.5M-11.8M0.3011.0853,18615,8461,212,2661,084,180
2007-01-25$28.36$28.5023.0%6.6%25.7%0.0%23.2%2.6%0.6%10.0M-281.3M-11.8M1.3314.5720,08026,7341,230,2161,115,420
2007-01-26$28.43$28.5022.0%6.3%24.9%0.0%22.1%1.8%1.5%13.3M-321.8M-11.8M0.5614.3135,56219,9941,232,5361,099,804
2007-01-29$28.29$28.0022.3%6.4%24.2%0.0%22.5%2.2%1.3%13.3M-257.5M-11.5M0.7012.8129,44220,5881,258,2981,101,882
2007-01-30$28.86$28.0021.6%6.2%24.6%0.0%21.8%1.5%1.5%31.7M-763.3M-11.6M0.927.6730,50027,9421,275,5541,108,914
2007-01-31$29.05$28.5021.2%6.1%24.0%0.0%21.7%2.0%1.7%36.4M-877.6M-11.6M0.8211.2841,29833,7181,285,1641,118,706