XLE Options History — April 2007

In April 2007, XLE traded between $30.43 and $32.08. ATM implied volatility averaged 20.0%. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.2% (HV 20d: 14.8%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2007-04-03: Highest Volume — 183,360 contracts
  • 2007-04-12: Largest IV spike — 12.5% change
  • 2007-04-17: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.34$30.43$32.08$30.43$31.68
Max Pain$30.48$29.00$31.00$29.00$31.00
ATM IV20.0%17.6%22.5%21.3%20.8%
Expected Move5.8%5.0%6.5%6.1%6.0%
HV 20d14.8%13.4%16.6%16.6%14.9%
HV 60d18.4%17.2%19.8%19.8%17.4%
Term Structure0.7%-0.6%3.7%1.9%0.3%
VWIV20.7%18.1%23.1%21.3%20.5%
Skew 25d2.7%1.9%3.1%2.5%2.4%
Skew 10d5.2%4.0%6.4%5.8%4.0%
Call IV 25d19.1%16.9%20.8%20.2%19.2%
Put IV 25d21.8%18.8%23.7%22.7%21.6%
Bid-Ask Spread %9.647.6213.2611.597.62
Gamma HHI0.100.080.130.080.09
Net GEX5.6M-12.3M16.9M-12.3M10.7M
Net DEX-1.36B-1.84B-758.7M-758.7M-1.18B
Net VEX-11.0M-11.5M-10.5M-10.9M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.203.640.201.66
Total Volume79,677.332,402183,36094,33832,402
Total OI2,450,751.42,082,0342,847,9162,216,8622,264,232

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$30.43$29.0021.3%6.1%16.6%0.0%21.3%2.5%1.9%-12.3M-758.7M-10.9M0.2011.5978,40215,936902,9201,313,942
2007-04-03$30.63$29.0020.3%5.8%15.8%0.0%21.2%2.6%2.1%-981.4K-962.4M-11.1M2.927.9646,804136,556969,6061,296,454
2007-04-04$30.68$29.5018.5%5.3%15.5%0.0%19.1%2.4%3.7%-3.6M-1.10B-11.1M2.157.8023,60850,8401,001,7381,407,598
2007-04-05$30.88$29.5017.6%5.0%15.4%0.0%18.1%1.9%3.5%-3.5M-1.16B-11.2M0.8110.5572,40258,3001,017,3801,426,962
2007-04-09$30.76$30.5019.5%6.2%15.4%0.0%21.8%2.9%-0.6%3.8M-1.21B-11.2M3.648.9522,77082,8481,073,4561,466,622
2007-04-10$31.23$30.5019.1%6.1%15.8%0.0%21.4%3.0%-0.4%4.4M-1.50B-10.7M2.148.2022,98449,2141,056,2361,473,444
2007-04-11$31.04$30.5018.8%6.2%14.9%0.0%22.0%3.0%-0.2%-3.6M-1.31B-11.1M1.2113.2636,30043,9721,065,6341,508,954
2007-04-12$31.51$30.5021.1%6.1%15.2%0.0%21.5%3.0%-0.4%9.8M-1.68B-10.8M1.3611.4018,00024,4301,084,4081,526,880
2007-04-13$31.52$30.5021.0%6.0%15.2%0.0%21.7%3.1%-0.2%13.0M-1.73B-10.7M1.4911.4522,33833,3201,090,2201,534,088
2007-04-16$31.71$30.5021.4%6.1%13.4%0.0%22.5%2.9%0.1%16.9M-1.84B-10.6M2.048.4418,76038,3021,103,0181,551,210
2007-04-17$31.53$30.5022.5%6.5%13.5%0.0%23.1%2.9%-0.5%13.6M-1.72B-10.9M2.7110.5935,89497,2721,106,3121,571,320
2007-04-18$31.42$31.0021.9%6.3%13.7%0.0%22.3%2.8%-0.2%6.5M-1.55B-11.3M0.698.1836,82025,4941,122,1321,654,504
2007-04-19$30.98$31.0020.6%5.9%14.2%0.0%20.5%2.8%0.4%9.9M-1.31B-11.5M1.069.2745,69048,3821,142,8181,662,938
2007-04-20$31.55$31.0019.5%5.6%14.0%0.0%19.6%2.6%1.1%2.8M-1.84B-11.0M0.6412.0239,14825,1121,161,5101,686,406
2007-04-23$31.59$31.0019.7%5.6%13.9%0.0%19.7%2.6%0.9%1.4M-1.06B-10.9M1.038.5430,52231,380902,0081,180,026
2007-04-24$31.49$31.0019.7%5.7%14.0%0.0%19.6%2.5%0.7%-1.9M-967.5M-11.1M0.349.5540,36213,678919,1341,198,476
2007-04-25$32.08$31.0019.4%5.5%15.2%0.0%19.9%2.7%0.7%13.3M-1.40B-10.5M0.639.6648,12430,520949,3741,201,532
2007-04-26$32.07$31.0019.0%5.4%15.2%0.0%19.3%2.3%0.7%16.4M-1.43B-10.7M0.788.6726,69820,770981,0741,218,914
2007-04-27$32.06$31.0019.1%5.5%15.1%0.0%19.5%2.3%0.5%16.1M-1.42B-10.9M1.139.1832,51236,680991,1321,230,416
2007-04-30$31.68$31.0020.8%6.0%14.9%0.0%20.5%2.4%0.3%10.7M-1.18B-11.2M1.667.6212,20220,2001,008,0101,256,222