XLE Options History — June 2007

In June 2007, XLE traded between $33.80 and $35.57. ATM implied volatility averaged 21.1%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.2% (HV 20d: 20.9%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.80.

Notable Days

  • 2007-06-14: Highest Volume — 1,885,278 contracts
  • 2007-06-14: Largest IV spike — 18.2% change
  • 2007-06-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.62$33.80$35.57$34.46$34.49
Max Pain$34.12$32.50$35.00$32.50$35.00
ATM IV21.1%17.6%22.8%21.2%21.6%
Expected Move6.2%5.7%6.7%6.1%6.2%
HV 20d20.9%18.0%23.7%18.0%22.9%
HV 60d17.1%15.9%18.7%15.9%18.7%
Term Structure0.8%-0.8%1.7%-0.1%1.7%
VWIV22.0%20.1%24.9%23.8%22.0%
Skew 25d3.1%2.4%3.7%3.7%3.4%
Skew 10d5.9%4.5%7.0%7.0%5.9%
Call IV 25d20.2%18.6%22.6%19.7%19.7%
Put IV 25d23.3%21.7%25.6%23.4%23.0%
Bid-Ask Spread %12.857.3718.6313.3610.58
Gamma HHI0.150.090.310.140.15
Net GEX-40.2M-171.5M40.0M-77.7M-21.9M
Net DEX-1.42B-2.59B-591.4M-1.75B-882.6M
Net VEX-11.0M-13.1M-9.7M-11.2M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.0111.041.632.37
Total Volume232,230.95246,4241,885,27849,36287,506
Total OI2,785,734.0951,987,1783,695,3123,173,5122,164,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$34.46$32.5021.2%6.1%18.0%0.0%23.8%3.7%-0.1%-77.7M-1.75B-11.2M1.6313.3618,75630,6061,097,8962,075,616
2007-06-04$35.00$32.5021.8%6.3%18.5%0.0%23.6%3.1%-0.8%-43.8M-2.20B-10.1M0.3512.93126,26643,8521,109,4062,070,174
2007-06-05$34.88$32.5021.9%6.3%18.7%0.0%22.4%2.9%-0.3%-32.3M-2.32B-10.9M8.8611.0839,722351,7501,221,2702,074,052
2007-06-06$34.43$32.5022.5%6.5%19.5%0.0%22.5%2.8%0.1%-113.3M-1.43B-12.5M1.9114.2623,37444,7121,170,6242,385,876
2007-06-07$33.82$32.5022.6%6.7%20.9%0.0%24.9%3.0%-0.2%-162.5M-703.7M-13.1M4.3018.6317,74076,3401,180,6822,411,772
2007-06-08$33.96$32.5018.7%6.4%19.7%0.0%22.3%3.6%0.6%-155.5M-987.3M-12.6M11.0417.2061,868683,0221,184,6042,421,598
2007-06-11$34.22$34.5019.6%6.3%18.4%0.0%22.0%3.1%1.0%-171.5M-1.46B-11.5M2.1912.3732,54871,2601,204,8802,490,432
2007-06-12$33.80$34.5019.8%6.3%19.1%0.0%21.3%3.4%0.8%-110.1M-1.29B-11.4M0.6111.8029,35417,7701,212,2202,170,734
2007-06-13$34.48$34.5017.6%6.0%20.2%0.0%21.4%2.6%1.1%-3.3M-2.08B-10.6M1.3513.3253,62672,5721,221,1821,994,380
2007-06-14$35.05$34.5020.8%6.0%20.8%0.0%21.2%3.0%1.0%40.0M-2.59B-10.1M0.0113.051,863,34021,9381,221,9422,026,812
2007-06-15$35.49$34.5020.0%5.7%20.5%0.0%20.4%3.3%1.5%24.4M-1.77B-9.8M0.9912.45113,194112,448924,8902,047,650
2007-06-18$35.53$34.5020.5%5.9%20.0%0.0%20.6%2.9%1.2%19.0M-1.67B-9.7M0.2212.74137,24830,856881,2601,105,918
2007-06-19$35.57$34.5020.3%5.8%19.8%0.0%20.1%2.6%1.3%24.2M-1.67B-10.0M1.5315.4918,38228,042914,6481,115,298
2007-06-20$34.53$35.0021.3%6.1%22.5%0.0%21.3%2.4%1.3%5.9M-1.09B-10.8M4.3915.7229,012127,284930,2861,131,628
2007-06-21$35.23$35.0021.1%6.0%23.5%0.0%21.6%2.8%1.0%5.5M-1.41B-10.6M1.8610.2222,34841,636941,5981,215,672
2007-06-22$34.88$35.0022.1%6.3%22.7%0.0%22.1%3.5%0.7%1.4M-1.25B-10.9M5.8411.2420,634120,572949,3321,220,850
2007-06-25$34.59$35.0022.5%6.5%22.4%0.0%21.9%3.2%0.9%-9.0M-1.00B-11.1M4.107.3714,88461,028951,8341,248,756
2007-06-26$33.85$35.0022.8%6.5%23.7%0.0%22.7%3.3%0.3%-25.3M-591.4M-11.3M2.839.6225,33871,724955,2601,269,494
2007-06-27$34.38$35.0022.0%6.3%23.1%0.0%22.3%3.2%1.0%-17.2M-893.4M-11.1M1.2312.2337,35245,928967,4121,307,910
2007-06-28$34.38$35.0021.3%6.1%23.1%0.0%21.4%3.3%1.7%-20.6M-776.6M-11.3M1.1214.1924,04626,972986,7861,323,406
2007-06-29$34.49$35.0021.6%6.2%22.9%0.0%22.0%3.4%1.7%-21.9M-882.6M-11.3M2.3710.5825,97061,536957,5641,206,812