XLE Options History — November 2007 In November 2007, XLE traded between $35.35 and $38.88. ATM implied volatility averaged 32.1%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 7.6% (HV 20d: 39.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.71.
Notable Days 2007-11-02 : Highest Volume — 440,948 contracts2007-11-12 : Largest IV spike — 28.5% change2007-11-12 : Highest IV Rank — 100.0%2007-11-26 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $36.71 $35.35 $38.88 $37.23 $36.73 Max Pain $37.21 $37.00 $38.00 $38.00 $37.00 ATM IV 32.1% 26.5% 41.8% 31.6% 30.0% Expected Move 9.1% 8.2% 10.5% 9.1% 8.6% HV 20d 39.7% 30.1% 45.5% 30.1% 42.9% HV 60d 29.5% 25.8% 32.0% 26.3% 31.8% IV Rank 65.0% 46.9% 100.0% 73.5% 51.2% IV Percentile 91.2% 78.4% 100.0% 92.4% 84.3% Term Structure 0.4% -1.0% 2.3% -0.9% 1.4% VWIV 32.0% 29.8% 37.0% 31.6% 30.4% Skew 25d 5.3% 4.2% 7.7% 4.4% 5.1% Skew 10d 10.1% 8.0% 13.5% 8.1% 9.9% Call IV 25d 29.1% 26.6% 33.9% 28.9% 26.8% Put IV 25d 34.4% 31.4% 39.3% 33.3% 32.0% Bid-Ask Spread % 12.77 5.27 22.53 9.24 14.39 Gamma HHI 0.14 0.09 0.17 0.09 0.15 Net GEX -114.4M -171.1M -47.5M -47.5M -142.6M Net DEX 405.7M -1.42B 1.72B -769.2M 347.6M Net VEX -18.2M -19.3M -16.6M -16.6M -17.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.71 0.45 11.52 3.93 0.83 Total Volume 168,158.286 43,574 440,948 222,642 54,522 Total OI 3,703,693.81 3,192,450 4,010,012 3,192,450 3,943,886
Daily Data (21 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 2007-11-01 $37.23 $38.00 31.6% 9.1% 30.1% 73.5% 31.6% 4.4% -0.9% -47.5M -769.2M -16.6M 3.93 9.24 45,136 177,506 1,236,932 1,955,518 2007-11-02 $37.92 $38.00 29.1% 8.3% 30.8% 60.6% 29.8% 4.4% 2.3% -52.8M -825.3M -17.2M 2.71 8.34 118,760 322,188 1,226,524 2,076,470 2007-11-05 $37.62 $37.50 30.8% 9.0% 30.7% 69.4% 31.8% 4.8% 0.2% -78.5M -488.1M -18.4M 2.15 10.48 20,158 43,330 1,283,344 2,302,594 2007-11-06 $38.88 $37.00 26.5% 8.2% 32.1% 46.9% 29.9% 4.8% 0.1% -51.4M -1.42B -16.8M 1.45 5.27 35,494 51,432 1,250,792 2,287,084 2007-11-07 $37.27 $37.00 30.8% 8.9% 35.2% 69.3% 29.9% 6.2% 0.4% -84.6M -360.0M -18.1M 1.39 10.30 42,540 59,094 1,262,068 2,317,448 2007-11-08 $37.92 $37.00 31.7% 8.8% 35.8% 74.2% 31.6% 5.2% -0.0% -76.2M -696.9M -18.2M 4.69 14.32 45,934 215,570 1,279,096 2,329,768 2007-11-09 $37.23 $37.00 32.5% 9.4% 36.2% 78.4% 33.3% 6.3% 0.2% -112.7M 154.2M -19.3M 2.46 10.81 83,250 204,792 1,292,600 2,472,782 2007-11-12 $35.42 $37.50 41.8% 10.2% 39.7% 100.0% 36.5% 7.7% -0.2% -135.1M 1.55B -19.0M 3.43 16.13 42,210 144,910 1,326,352 2,535,900 2007-11-13 $36.67 $37.50 35.3% 9.0% 42.0% 73.3% 32.1% 5.3% 0.2% -147.9M 884.7M -18.6M 1.35 12.14 75,838 102,662 1,333,140 2,512,358 2007-11-14 $36.62 $37.50 32.9% 9.0% 42.0% 63.3% 31.3% 5.4% 0.3% -151.7M 858.0M -18.5M 4.89 16.88 27,854 136,346 1,367,172 2,521,774 2007-11-15 $35.40 $37.00 33.5% 9.6% 43.2% 65.8% 32.7% 5.5% 0.2% -151.3M 1.72B -18.7M 2.02 9.04 59,418 120,280 1,394,200 2,574,406 2007-11-16 $36.33 $37.50 30.1% 8.6% 41.3% 51.8% 29.9% 4.8% 0.5% -171.1M 1.20B -18.7M 1.83 15.06 62,650 114,636 1,404,852 2,605,160 2007-11-19 $35.73 $37.00 31.9% 9.1% 41.5% 59.1% 30.8% 4.9% 0.1% -125.3M 1.13B -18.6M 0.45 14.30 64,848 29,388 1,167,090 2,401,666 2007-11-20 $36.88 $37.00 29.9% 8.6% 42.8% 51.0% 30.8% 5.5% 1.0% -113.1M 264.0M -18.5M 1.13 14.54 85,556 96,654 1,201,396 2,394,206 2007-11-21 $36.08 $37.00 31.8% 9.1% 43.4% 58.7% 31.9% 4.9% 1.2% -115.6M 762.1M -18.8M 2.56 17.10 21,908 56,158 1,251,410 2,415,510 2007-11-23 $37.02 $37.00 31.3% 9.0% 44.4% 56.8% 31.7% 4.5% -0.0% -117.2M 291.5M -18.1M 1.64 5.42 16,526 27,048 1,250,208 2,413,970 2007-11-26 $35.74 $37.00 36.2% 10.5% 45.5% 77.1% 37.0% 5.4% -1.0% -116.1M 1.05B -18.2M 11.52 12.49 28,568 329,142 1,257,260 2,432,472 2007-11-27 $35.35 $37.00 34.4% 9.8% 45.5% 69.7% 32.8% 6.2% 0.1% -131.9M 1.38B -18.0M 1.79 17.77 45,608 81,576 1,263,366 2,511,050 2007-11-28 $36.23 $37.00 32.3% 9.2% 45.1% 61.0% 34.1% 5.2% 0.5% -143.3M 1.04B -18.2M 1.52 11.53 52,392 79,796 1,283,694 2,564,520 2007-11-29 $36.63 $37.00 30.7% 8.8% 44.1% 54.4% 31.2% 4.2% 1.1% -135.6M 452.4M -18.0M 3.23 22.53 25,952 83,694 1,312,176 2,565,356 2007-11-30 $36.73 $37.00 30.0% 8.6% 42.9% 51.2% 30.4% 5.1% 1.4% -142.6M 347.6M -17.8M 0.83 14.39 29,772 24,750 1,315,394 2,628,492
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