XLE Options History — August 2007 In August 2007, XLE traded between $32.55 and $34.91. ATM implied volatility averaged 31.1%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.6% (HV 20d: 30.5%). Max pain ranged from $31.00 to $36.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.48.
Notable Days 2007-08-07 : Highest Volume — 237,130 contracts2007-08-09 : Largest IV spike — 16.3% change2007-08-03 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.83 $32.55 $34.91 $34.41 $34.91 Max Pain $33.67 $31.00 $36.00 $36.00 $31.00 ATM IV 31.1% 24.0% 36.6% 34.7% 25.3% Expected Move 8.8% 6.8% 10.5% 9.9% 7.3% HV 20d 30.5% 27.2% 33.7% 27.2% 29.8% HV 60d 25.4% 23.1% 27.3% 23.1% 27.1% IV Rank 72.1% 33.5% 100.0% 98.6% 40.5% IV Percentile 91.4% 72.8% 100.0% 99.3% 80.2% Term Structure -0.1% -1.7% 1.1% -1.5% 0.8% VWIV 31.4% 24.1% 38.0% 34.9% 26.8% Skew 25d 6.0% 4.3% 7.5% 4.8% 5.9% Skew 10d 11.7% 7.9% 16.4% 9.4% 10.4% Call IV 25d 27.9% 21.2% 33.6% 32.6% 23.4% Put IV 25d 33.9% 26.5% 40.5% 37.4% 29.3% Bid-Ask Spread % 15.73 9.77 23.23 16.06 15.88 Gamma HHI 0.13 0.05 0.27 0.22 0.08 Net GEX -58.5M -144.1M 1.0M -74.6M 1.0M Net DEX 25.7M -1.07B 1.43B 44.0M -1.07B Net VEX -13.3M -14.2M -12.2M -13.9M -12.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.31 2.74 2.18 1.07 Total Volume 105,499.217 36,898 237,130 110,098 54,156 Total OI 2,626,753.043 2,260,304 2,970,378 2,607,996 2,555,568
Daily Data (23 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 2007-08-01 $34.41 $36.00 34.7% 9.9% 27.2% 98.6% 34.9% 4.8% -1.5% -74.6M 44.0M -13.9M 2.18 16.06 34,604 75,494 965,774 1,642,222 2007-08-02 $34.17 $36.00 33.1% 9.5% 27.3% 89.7% 33.7% 4.3% -0.8% -86.7M 271.7M -14.0M 1.73 14.07 49,502 85,492 977,756 1,682,030 2007-08-03 $33.06 $36.00 36.3% 10.4% 28.9% 100.0% 35.7% 5.3% -1.7% -89.4M 1.03B -14.2M 2.05 23.23 37,360 76,444 998,632 1,734,210 2007-08-06 $33.25 $34.50 35.7% 9.8% 28.7% 96.9% 34.8% 6.0% 0.7% -98.5M 927.5M -14.0M 2.68 14.89 60,438 162,114 1,015,304 1,730,038 2007-08-07 $34.03 $34.00 30.3% 8.8% 30.2% 67.6% 30.4% 5.9% 0.3% -108.2M 404.0M -13.9M 1.96 15.59 80,076 157,054 1,032,380 1,740,776 2007-08-08 $34.67 $34.50 29.4% 8.4% 31.1% 63.0% 29.8% 5.6% 0.2% -87.1M -205.7M -13.8M 0.93 18.18 43,948 40,912 1,068,674 1,711,900 2007-08-09 $33.68 $34.50 34.2% 9.6% 31.5% 88.6% 35.5% 6.7% -0.0% -88.7M 460.4M -14.0M 2.23 18.17 22,978 51,200 1,073,452 1,698,610 2007-08-10 $33.86 $34.00 34.1% 9.7% 31.2% 88.0% 36.0% 7.5% 0.2% -88.8M 241.7M -14.0M 1.38 16.36 51,402 71,000 1,082,636 1,729,206 2007-08-13 $33.90 $34.00 36.5% 9.3% 31.1% 100.0% 31.6% 6.6% 0.3% -105.6M 385.9M -13.7M 0.90 14.81 56,902 50,966 1,113,500 1,742,162 2007-08-14 $33.67 $34.00 33.9% 9.5% 31.0% 86.3% 32.7% 6.2% -0.5% -119.7M 655.9M -13.8M 0.98 14.56 41,256 40,462 1,145,440 1,761,028 2007-08-15 $32.75 $34.00 36.6% 10.2% 30.6% 100.0% 33.7% 6.1% -1.5% -93.6M 1.17B -13.6M 1.68 19.43 46,852 78,558 1,162,644 1,770,460 2007-08-16 $32.55 $34.00 36.6% 10.5% 30.0% 100.0% 38.0% 7.3% -0.7% -71.4M 1.43B -13.6M 1.69 21.15 55,048 93,114 1,181,256 1,776,970 2007-08-17 $33.75 $34.00 33.2% 9.5% 33.7% 82.2% 33.3% 6.4% -0.7% -144.1M 556.7M -13.6M 1.29 16.59 87,998 113,742 1,200,042 1,770,336 2007-08-20 $33.67 $34.00 32.3% 9.3% 33.5% 77.5% 32.8% 6.9% -0.7% -11.3M -502.1M -13.1M 1.86 16.39 45,768 85,000 982,160 1,278,144 2007-08-21 $33.20 $34.00 31.7% 9.1% 32.5% 74.0% 32.6% 6.2% -0.3% -18.8M -226.4M -13.3M 1.51 14.94 19,172 28,966 1,005,868 1,331,012 2007-08-22 $33.60 $34.00 28.5% 8.2% 32.2% 57.1% 27.9% 6.4% -0.1% -16.5M -446.4M -12.9M 1.52 11.80 25,652 39,038 1,011,784 1,331,850 2007-08-23 $33.90 $34.00 25.8% 7.4% 29.9% 43.0% 26.4% 5.9% 0.8% -13.0M -579.6M -12.6M 1.22 13.36 16,594 20,304 1,017,546 1,312,430 2007-08-24 $34.63 $34.00 24.0% 6.8% 29.1% 33.5% 24.1% 5.3% 0.5% -4.3M -958.9M -12.2M 0.65 9.77 50,326 32,470 1,026,760 1,317,410 2007-08-27 $34.20 $31.00 24.6% 7.1% 28.7% 37.0% 29.4% 6.0% 1.1% -5.8M -810.2M -12.2M 0.39 14.50 41,286 16,080 1,049,966 1,330,668 2007-08-28 $33.38 $31.00 27.5% 7.9% 29.8% 52.2% 27.5% 6.6% 0.1% -13.9M -402.5M -12.5M 2.74 14.60 15,376 42,146 1,067,294 1,339,664 2007-08-29 $34.48 $31.00 25.1% 7.2% 32.2% 39.2% 25.8% 5.1% 0.9% -3.7M -919.0M -12.3M 0.31 14.15 60,686 18,740 1,063,426 1,348,974 2007-08-30 $34.46 $31.00 26.0% 7.4% 32.1% 44.1% 28.2% 5.9% 0.5% -3.3M -874.6M -12.7M 1.11 13.34 23,590 26,216 1,114,206 1,423,152 2007-08-31 $34.91 $31.00 25.3% 7.3% 29.8% 40.5% 26.8% 5.9% 0.8% 1.0M -1.07B -12.7M 1.07 15.88 26,100 28,056 1,123,146 1,432,422
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