XLE Options History — February 2007 In February 2007, XLE traded between $28.32 and $29.50. ATM implied volatility averaged 21.1%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.9% (HV 20d: 19.2%). Max pain ranged from $28.00 to $29.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.58.
Notable Days 2007-02-09 : Highest Volume — 336,850 contracts2007-02-27 : Largest IV spike — 26.3% change2007-02-27 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $29.06 $28.32 $29.50 $29.15 $28.45 Max Pain $28.55 $28.00 $29.50 $28.50 $29.50 ATM IV 21.1% 19.5% 25.5% 20.2% 23.1% Expected Move 6.2% 5.6% 7.3% 5.8% 6.6% HV 20d 19.2% 13.7% 23.4% 23.4% 19.1% Term Structure 0.4% -1.5% 2.3% 2.3% 0.0% VWIV 21.5% 19.1% 23.0% 21.5% 22.6% Skew 25d 2.2% 1.4% 2.9% 2.2% 1.4% Skew 10d 3.6% 2.3% 5.1% 4.9% 3.7% Call IV 25d 20.6% 18.9% 24.0% 19.4% 22.3% Put IV 25d 22.7% 20.7% 26.5% 21.6% 23.7% Bid-Ask Spread % 13.08 8.00 40.61 10.12 21.60 Gamma HHI 0.20 0.12 0.30 0.18 0.12 Net GEX 50.1M 15.3M 81.4M 46.3M 15.3M Net DEX -765.6M -1.19B 68.1M -1.14B 66.5M Net VEX -11.4M -12.0M -10.8M -11.4M -11.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.58 0.17 6.41 2.18 1.00 Total Volume 110,236.421 23,466 336,850 113,916 56,722 Total OI 2,594,853.368 2,333,000 2,889,406 2,424,602 2,636,030
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 2007-02-01 $29.15 $28.50 20.2% 5.8% 23.4% 0.0% 21.5% 2.2% 2.3% 46.3M -1.14B -11.4M 2.18 10.12 35,848 78,068 1,299,830 1,124,772 2007-02-02 $29.32 $28.00 19.5% 6.4% 22.2% 0.0% 21.6% 2.4% 0.2% 44.5M -1.19B -11.4M 0.27 11.08 67,604 18,566 1,306,666 1,167,020 2007-02-05 $29.29 $28.00 19.9% 6.4% 22.2% 0.0% 22.9% 2.6% 0.7% 56.0M -1.19B -11.3M 0.80 10.40 13,020 10,446 1,360,250 1,143,730 2007-02-06 $29.20 $28.00 20.1% 6.5% 22.2% 0.0% 22.5% 2.4% 0.0% 54.0M -1.10B -11.2M 1.94 8.00 24,478 47,400 1,360,796 1,145,720 2007-02-07 $29.02 $28.50 20.2% 6.5% 22.1% 0.0% 22.5% 2.5% 0.5% 49.0M -909.9M -11.2M 6.41 10.65 25,950 166,392 1,360,236 1,155,868 2007-02-08 $29.32 $28.50 22.2% 6.4% 20.7% 0.0% 22.6% 2.0% 0.5% 49.8M -980.2M -12.0M 1.10 9.22 43,884 48,092 1,368,996 1,299,100 2007-02-09 $29.20 $28.50 23.0% 6.6% 20.6% 0.0% 22.6% 2.1% 0.6% 48.7M -929.2M -11.9M 0.17 11.27 288,504 48,346 1,386,860 1,287,862 2007-02-12 $28.79 $28.00 22.8% 6.5% 19.9% 0.0% 23.0% 1.8% 0.4% 54.3M -752.7M -12.0M 1.96 11.92 27,334 53,614 1,578,400 1,311,006 2007-02-13 $29.21 $28.50 21.8% 6.3% 19.8% 0.0% 21.8% 2.5% 0.4% 67.9M -946.6M -11.6M 1.15 11.39 33,130 38,214 1,474,114 1,321,416 2007-02-14 $29.21 $28.50 21.1% 6.1% 19.6% 0.0% 21.8% 2.6% 0.4% 79.1M -1.04B -11.5M 2.68 9.00 33,302 89,382 1,473,314 1,328,148 2007-02-15 $29.00 $28.50 21.0% 6.0% 19.6% 0.0% 21.0% 1.4% 0.5% 35.5M -610.0M -11.3M 2.34 11.43 27,268 63,834 1,471,096 1,366,142 2007-02-16 $29.00 $28.50 20.6% 5.9% 17.3% 0.0% 20.3% 1.9% 0.3% 45.4M -610.6M -11.4M 0.88 9.41 48,378 42,680 1,484,294 1,388,960 2007-02-20 $28.68 $28.50 20.0% 5.7% 17.7% 0.0% 19.9% 1.8% 1.2% 31.5M -229.8M -10.8M 0.80 9.39 46,156 37,028 1,264,828 1,068,172 2007-02-21 $28.99 $28.50 20.4% 5.7% 15.6% 0.0% 20.1% 1.8% 0.5% 47.0M -485.8M -11.1M 2.57 8.53 35,772 91,842 1,288,958 1,081,720 2007-02-22 $29.25 $29.00 19.8% 5.7% 15.8% 0.0% 19.1% 2.1% -0.1% 57.3M -697.9M -11.3M 0.25 15.55 67,202 17,116 1,304,164 1,134,888 2007-02-23 $29.32 $29.00 19.7% 5.6% 13.7% 0.0% 20.0% 2.0% -0.1% 69.9M -840.8M -11.4M 0.99 13.60 46,612 46,258 1,346,116 1,135,572 2007-02-26 $29.50 $29.00 20.2% 5.8% 13.8% 0.0% 19.5% 2.9% 0.1% 81.4M -1.04B -11.4M 0.82 15.40 31,150 25,652 1,366,044 1,164,820 2007-02-27 $28.32 $29.00 25.5% 7.3% 20.4% 0.0% 22.9% 2.4% -1.5% 19.2M 68.1M -11.3M 1.75 40.61 79,854 139,394 1,373,830 1,172,476 2007-02-28 $28.45 $29.50 23.1% 6.6% 19.1% 0.0% 22.6% 1.4% 0.0% 15.3M 66.5M -11.5M 1.00 21.60 28,358 28,364 1,409,670 1,226,360
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