XLE Options History — March 2007

In March 2007, XLE traded between $27.70 and $30.56. ATM implied volatility averaged 21.8%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.2% (HV 20d: 20.6%). Max pain ranged from $29.00 to $29.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.03.

Notable Days

  • 2007-03-15: Highest Volume — 591,946 contracts
  • 2007-03-06: Largest IV drop — 11.7% change
  • 2007-03-05: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.07$27.70$30.56$28.36$30.14
Max Pain$29.11$29.00$29.50$29.50$29.00
ATM IV21.8%18.1%28.2%24.5%21.0%
Expected Move6.3%5.2%8.1%7.0%6.0%
HV 20d20.6%17.2%23.4%18.9%17.5%
HV 60d20.6%20.1%21.1%21.1%20.2%
Term Structure0.2%-2.5%2.0%-0.8%2.0%
VWIV22.2%18.0%28.4%23.6%21.4%
Skew 25d2.7%2.0%3.7%3.0%2.6%
Skew 10d5.2%3.4%7.2%5.1%4.5%
Call IV 25d20.8%17.2%26.6%23.1%19.7%
Put IV 25d23.5%19.5%29.8%26.2%22.3%
Bid-Ask Spread %15.318.9250.7022.0311.01
Gamma HHI0.120.070.200.120.08
Net GEX-13.5M-83.7M19.2M19.2M-12.8M
Net DEX-106.4M-977.8M979.8M33.5M-588.7M
Net VEX-10.8M-11.5M-10.3M-11.4M-11.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.187.840.403.43
Total Volume165,513.36437,718591,946151,44088,708
Total OI2,646,8632,040,5623,230,0182,636,7582,158,150

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$28.36$29.5024.5%7.0%18.9%0.0%23.6%3.0%-0.8%19.2M33.5M-11.4M0.4022.03108,36443,0761,414,7461,222,012
2007-03-02$28.02$29.5027.0%7.7%19.2%0.0%26.7%3.2%-2.5%90.5K483.7M-11.1M4.5622.7257,120260,4821,420,5121,241,168
2007-03-05$27.70$29.5028.2%8.1%19.3%0.0%28.4%3.2%-2.1%-23.9M847.4M-10.8M2.7850.7043,196120,0461,433,6481,337,958
2007-03-06$28.23$29.5024.9%7.1%20.7%0.0%23.9%3.6%-1.1%-22.9M473.4M-11.2M1.2118.6826,05831,5861,435,7821,432,288
2007-03-07$28.57$29.5023.7%6.8%21.3%0.0%22.4%3.1%0.1%-10.0M-6.3M-11.1M0.5717.75168,61696,1221,436,4441,457,244
2007-03-08$28.82$29.0021.4%6.6%21.5%0.0%24.0%3.7%-0.5%10.4M-196.2M-11.5M1.3417.2220,48627,4821,562,4701,506,470
2007-03-09$28.70$29.0020.5%6.6%21.2%0.0%20.8%3.6%0.4%9.9M-213.7M-11.1M0.6317.33130,59682,1481,533,7301,474,500
2007-03-12$28.66$29.0022.5%6.5%21.2%0.0%23.0%2.5%-0.6%-9.3M-3.1M-11.0M1.2211.1533,60441,0001,610,2321,527,388
2007-03-13$28.27$29.0023.2%6.8%21.1%0.0%23.7%2.3%-1.1%-28.8M519.5M-10.9M1.1411.5157,01065,1361,621,1701,554,328
2007-03-14$28.60$29.0021.0%6.8%20.8%0.0%23.7%2.9%-0.7%-26.7M1.1M-10.8M0.6512.9253,07434,4401,619,4441,578,858
2007-03-15$28.59$29.0022.1%6.3%20.8%0.0%22.2%2.5%-0.1%-7.7M158.4M-10.6M0.1815.17499,80892,1381,642,7661,587,252
2007-03-16$28.20$29.0021.8%6.2%21.2%0.0%21.4%2.7%-0.0%-83.7M979.8M-10.3M7.8412.2848,836383,1021,507,8481,610,712
2007-03-19$28.64$29.0020.2%5.8%22.1%0.0%19.7%2.1%0.3%-67.2M200.5M-10.5M0.759.7332,95424,592783,4241,257,138
2007-03-20$28.85$29.0019.2%5.5%21.9%0.0%19.6%3.0%1.1%-56.3M58.8M-10.4M3.9212.3117,26667,674804,5861,250,254
2007-03-21$29.37$29.0018.1%5.2%22.5%0.0%18.0%2.3%1.7%-22.3M-282.5M-10.3M0.5614.8081,62245,714816,1941,283,362
2007-03-22$29.96$29.0018.9%5.4%23.3%0.0%20.1%2.2%1.7%6.4M-667.4M-10.3M3.399.7446,130156,466861,1481,296,918
2007-03-23$30.11$29.0019.9%5.7%23.4%0.0%21.3%2.5%1.7%-3.7M-673.3M-10.6M1.849.6256,496103,944865,2801,408,398
2007-03-26$30.32$29.0020.2%5.8%23.4%0.0%21.8%2.4%1.1%5.8M-826.0M-10.6M2.8710.9532,12692,072894,3161,450,944
2007-03-27$30.38$29.0019.8%5.7%17.3%0.0%20.3%2.0%1.3%5.2M-840.6M-10.6M0.689.4622,41815,300905,9541,515,880
2007-03-28$30.37$29.0020.4%5.9%17.4%0.0%21.4%2.1%1.7%10.8M-820.6M-10.7M1.398.9244,81262,076919,3421,500,064
2007-03-29$30.56$29.0020.6%5.9%17.2%0.0%21.7%2.3%1.3%11.1M-977.8M-10.7M3.2510.7029,94497,454941,4901,549,174
2007-03-30$30.14$29.0021.0%6.0%17.5%0.0%21.4%2.6%2.0%-12.8M-588.7M-11.1M3.4311.0120,03268,676893,3201,264,830