XLE Options History — September 2007

In September 2007, XLE traded between $35.08 and $37.85. ATM implied volatility averaged 26.0%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.7% (HV 20d: 25.2%). Max pain ranged from $31.00 to $36.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.76.

Notable Days

  • 2007-09-20: Highest Volume — 706,058 contracts
  • 2007-09-18: Largest IV drop — 14.0% change
  • 2007-09-10: Highest IV Rank — 65.0%
  • 2007-09-10: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.60$35.08$37.85$35.55$37.40
Max Pain$34.39$31.00$36.00$31.00$36.00
ATM IV26.0%22.7%30.0%24.5%22.7%
Expected Move7.5%6.5%8.6%7.0%6.5%
HV 20d25.2%18.7%30.2%30.2%19.3%
HV 60d26.9%26.3%27.4%27.3%26.6%
IV Rank44.0%26.7%65.0%36.3%26.7%
IV Percentile77.6%57.0%90.1%74.4%57.0%
Term Structure0.5%-1.5%2.9%0.9%2.9%
VWIV27.4%22.9%31.3%27.3%22.9%
Skew 25d5.8%4.4%7.0%5.9%4.5%
Skew 10d11.1%8.3%13.8%12.4%8.8%
Call IV 25d23.6%20.9%26.9%22.0%20.9%
Put IV 25d29.5%25.3%33.3%27.9%25.3%
Bid-Ask Spread %12.296.6914.0614.036.69
Gamma HHI0.080.060.100.080.07
Net GEX12.7M-21.5M45.1M13.2M-12.7M
Net DEX-1.83B-2.93B-1.03B-1.52B-1.44B
Net VEX-11.6M-12.9M-10.2M-11.9M-12.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.065.610.163.21
Total Volume128,412.84245,278706,058174,904130,396
Total OI2,656,682.6322,128,9242,944,7722,561,0062,327,516

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$35.55$31.0024.5%7.0%30.2%36.3%27.3%5.9%0.9%13.2M-1.52B-11.9M0.1614.03150,97823,9261,120,9401,440,066
2007-09-05$35.36$31.0026.7%7.6%29.4%47.8%28.1%6.9%0.2%18.9M-1.56B-12.2M1.6812.8821,85636,7701,178,2841,449,128
2007-09-06$35.90$31.0024.8%7.4%29.2%37.8%28.7%6.1%0.6%21.4M-1.73B-12.1M2.4214.0624,77459,9321,176,5421,457,302
2007-09-07$35.13$31.0028.2%8.4%28.3%56.0%30.4%7.0%-0.5%7.6M-1.36B-12.5M1.6813.9926,54844,6481,190,4461,504,630
2007-09-10$35.08$35.0030.0%8.6%28.3%65.0%31.3%6.4%-1.5%-21.5M-1.03B-12.9M5.6113.7618,342102,8981,196,1481,611,384
2007-09-11$35.67$35.0027.3%8.2%28.8%50.9%30.2%6.3%-1.0%10.3M-1.54B-12.5M2.1713.1524,06252,1901,203,3421,580,054
2007-09-12$35.92$35.0026.6%8.1%28.6%47.3%27.9%6.6%-0.8%16.8M-1.77B-12.2M0.7412.7232,40423,9621,210,6861,596,018
2007-09-13$36.15$35.0028.1%8.0%26.1%55.0%30.3%6.4%-0.6%20.5M-1.93B-12.0M1.6912.6826,31444,4921,213,9621,600,202
2007-09-14$36.25$35.0028.1%8.1%25.8%55.5%28.3%6.2%-0.6%21.6M-2.00B-11.9M1.2113.6433,70440,8021,220,9741,619,714
2007-09-17$36.33$35.0028.7%8.2%23.1%58.5%29.5%6.6%-0.4%21.1M-1.96B-11.7M0.7411.9726,09619,1821,217,8681,628,884
2007-09-18$37.42$35.0024.7%7.1%24.8%37.3%26.6%5.9%1.3%45.1M-2.75B-10.5M0.9811.7648,31047,4261,227,4581,639,264
2007-09-19$37.75$35.0026.6%7.6%23.7%47.3%27.4%5.2%0.0%42.1M-2.90B-10.4M0.9611.0476,31473,3001,234,9661,659,698
2007-09-20$37.73$35.0025.5%7.3%23.7%41.5%27.0%5.8%0.9%38.8M-2.93B-10.5M0.0612.58667,81238,2461,250,8821,693,890
2007-09-21$37.85$35.0024.2%6.9%23.7%34.6%25.3%5.2%1.3%32.4M-2.10B-10.2M1.4011.7640,18656,232998,1201,715,906
2007-09-24$37.78$35.5024.4%7.0%23.1%35.9%26.0%5.4%1.2%9.5M-1.80B-10.4M4.7912.4633,492160,560919,7021,209,222
2007-09-25$37.16$36.0025.2%7.2%23.6%39.8%24.9%5.3%1.3%-12.6M-1.44B-11.9M2.3212.1726,15660,772938,2581,407,180
2007-09-26$37.27$36.0023.8%6.8%21.0%32.8%25.0%4.7%1.5%-17.5M-1.45B-12.0M0.8911.0533,99030,326952,7861,451,508
2007-09-27$37.75$36.0023.4%6.7%18.7%30.4%23.7%4.4%2.2%-14.0M-1.64B-11.7M0.6411.0850,39232,054966,1921,467,848
2007-09-28$37.40$36.0022.7%6.5%19.3%26.7%22.9%4.5%2.9%-12.7M-1.44B-12.1M3.216.6930,97299,424932,0661,395,450