XLE Options History — May 2007 In May 2007, XLE traded between $31.82 and $34.33. ATM implied volatility averaged 20.4%. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.9% (HV 20d: 15.5%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.46.
Notable Days 2007-05-22 : Highest Volume — 410,810 contracts2007-05-10 : Largest IV spike — 11.1% change2007-05-31 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $33.05 $31.82 $34.33 $31.82 $34.15 Max Pain $31.57 $31.00 $33.00 $31.00 $32.00 ATM IV 20.4% 18.9% 22.1% 20.4% 22.1% Expected Move 5.9% 5.4% 6.3% 5.8% 6.3% HV 20d 15.5% 13.7% 18.0% 14.6% 18.0% HV 60d 17.1% 15.5% 17.9% 17.4% 16.0% Term Structure 0.4% -0.5% 1.9% 1.1% -0.5% VWIV 21.6% 19.2% 24.5% 21.3% 24.5% Skew 25d 3.2% 1.9% 4.0% 2.8% 3.6% Skew 10d 6.1% 3.8% 7.3% 5.7% 6.0% Call IV 25d 19.2% 17.7% 20.5% 19.5% 20.5% Put IV 25d 22.4% 20.9% 24.1% 22.2% 24.1% Bid-Ask Spread % 10.41 7.24 13.44 7.76 9.63 Gamma HHI 0.15 0.09 0.21 0.09 0.14 Net GEX -36.2M -111.2M 20.2M 12.0M -89.4M Net DEX -1.47B -2.46B -865.5M -1.24B -1.47B Net VEX -10.9M -11.9M -9.3M -11.1M -11.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.46 0.54 11.52 4.63 3.18 Total Volume 119,190.364 23,640 410,810 338,728 75,800 Total OI 2,665,210.273 2,271,174 3,123,306 2,271,174 3,123,306
Daily Data (22 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 2007-05-01 $31.82 $31.00 20.4% 5.8% 14.6% 0.0% 21.3% 2.8% 1.1% 12.0M -1.24B -11.1M 4.63 7.76 60,196 278,532 1,010,966 1,260,208 2007-05-02 $32.09 $31.00 19.9% 5.7% 14.7% 0.0% 19.2% 2.9% 1.4% -14.0M -1.20B -11.9M 1.06 9.16 32,984 34,914 1,028,242 1,482,002 2007-05-03 $32.35 $31.00 18.9% 5.4% 14.9% 0.0% 19.6% 2.4% 1.9% -14.5M -1.40B -11.5M 1.22 7.74 19,184 23,348 1,009,920 1,483,998 2007-05-04 $32.33 $31.50 19.0% 6.0% 14.9% 0.0% 21.5% 4.0% 0.1% -15.9M -1.37B -11.5M 3.84 9.46 26,780 102,956 1,013,366 1,490,950 2007-05-07 $32.41 $31.50 20.1% 6.1% 14.7% 0.0% 23.1% 4.0% 0.0% -22.9M -1.35B -11.3M 0.96 11.92 17,004 16,354 1,017,628 1,528,148 2007-05-08 $32.41 $31.50 19.9% 6.0% 13.9% 0.0% 22.1% 4.0% 0.4% -21.1M -1.39B -11.3M 1.60 9.16 18,620 29,862 1,023,152 1,534,094 2007-05-09 $32.40 $31.50 19.3% 6.0% 13.7% 0.0% 21.1% 3.7% 0.3% -22.5M -1.41B -11.2M 1.41 9.21 18,622 26,178 1,029,842 1,548,192 2007-05-10 $31.88 $31.50 21.5% 6.2% 14.2% 0.0% 21.9% 3.8% 0.3% -34.7M -960.2M -11.8M 2.82 11.12 18,734 52,774 1,041,888 1,559,798 2007-05-11 $32.60 $31.50 20.6% 5.9% 16.3% 0.0% 21.4% 3.3% 0.2% -24.7M -1.50B -11.1M 2.53 11.40 17,884 45,298 1,045,868 1,590,322 2007-05-14 $32.62 $31.50 21.1% 6.0% 16.2% 0.0% 21.0% 3.3% 0.0% -23.6M -1.60B -10.7M 1.02 10.91 11,720 11,920 1,047,992 1,608,946 2007-05-15 $32.73 $31.50 20.8% 6.0% 16.0% 0.0% 20.5% 3.2% 0.8% -23.8M -1.66B -10.5M 1.54 12.43 46,156 71,202 1,052,520 1,595,460 2007-05-16 $32.85 $31.50 20.2% 5.8% 15.9% 0.0% 20.8% 3.4% 0.6% -18.6M -1.78B -10.5M 2.17 12.46 26,928 58,524 1,084,544 1,633,008 2007-05-17 $33.38 $31.50 19.7% 5.7% 15.3% 0.0% 20.7% 3.1% 0.5% -532.2K -2.16B -9.9M 0.54 9.74 42,642 23,088 1,094,608 1,652,762 2007-05-18 $33.91 $31.50 19.4% 5.6% 15.1% 0.0% 20.2% 3.6% 0.6% 20.2M -2.46B -9.4M 1.49 10.44 51,214 76,314 1,099,074 1,660,942 2007-05-21 $34.20 $31.50 20.3% 5.8% 15.1% 0.0% 21.4% 3.4% 0.2% -7.8M -1.78B -9.3M 3.37 10.44 40,844 137,830 882,408 1,399,216 2007-05-22 $33.88 $31.50 20.7% 5.9% 15.7% 0.0% 21.0% 1.9% 0.5% -20.6M -1.64B -9.8M 11.52 7.24 32,814 377,996 908,488 1,492,310 2007-05-23 $33.95 $33.00 21.2% 6.1% 14.7% 0.0% 21.5% 2.4% 0.5% -80.9M -1.32B -10.7M 1.29 9.80 59,276 76,650 927,274 1,811,740 2007-05-24 $33.33 $31.50 21.5% 6.2% 16.5% 0.0% 23.6% 3.1% -0.2% -100.6M -865.5M -11.7M 1.60 11.76 123,294 197,744 967,094 1,834,658 2007-05-25 $33.85 $31.50 20.5% 5.9% 17.1% 0.0% 23.2% 2.9% 0.3% -98.3M -1.20B -11.6M 3.80 11.36 19,624 74,614 1,023,488 1,957,154 2007-05-29 $33.63 $32.00 21.4% 6.1% 16.6% 0.0% 21.4% 3.5% 0.0% -111.2M -993.6M -11.6M 1.77 13.44 17,266 30,592 1,038,034 1,986,708 2007-05-30 $34.33 $32.00 20.6% 5.9% 17.8% 0.0% 23.2% 2.9% -0.2% -83.6M -1.57B -11.0M 0.74 12.36 56,368 41,544 1,045,272 2,009,036 2007-05-31 $34.15 $32.00 22.1% 6.3% 18.0% 0.0% 24.5% 3.6% -0.5% -89.4M -1.47B -11.4M 3.18 9.63 18,124 57,676 1,090,656 2,032,650
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