XLE Options History — December 2007

In December 2007, XLE traded between $36.50 and $40.27. ATM implied volatility averaged 26.2%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 6.9% (HV 20d: 33.1%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.15.

Notable Days

  • 2007-12-20: Highest Volume — 534,582 contracts
  • 2007-12-31: Largest IV spike — 42.5% change
  • 2007-12-03: Highest IV Rank — 52.0%
  • 2007-12-03: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.54$36.50$40.27$36.88$39.67
Max Pain$35.40$34.00$37.00$37.00$35.50
ATM IV26.2%18.0%30.1%30.1%25.6%
Expected Move7.6%6.2%8.6%8.6%7.3%
HV 20d33.1%24.4%42.4%42.4%25.2%
HV 60d32.7%31.5%33.3%31.5%33.2%
IV Rank35.6%1.6%52.0%52.0%33.2%
IV Percentile65.7%0.8%85.3%85.3%64.4%
Term Structure2.0%0.3%4.3%0.3%1.3%
VWIV27.6%23.3%33.5%29.5%25.6%
Skew 25d5.2%4.3%6.4%5.5%5.8%
Skew 10d9.6%7.9%11.2%10.0%9.7%
Call IV 25d24.2%20.2%27.7%27.5%23.1%
Put IV 25d29.5%25.0%33.0%33.0%29.0%
Bid-Ask Spread %13.129.4817.6712.0310.60
Gamma HHI0.150.070.210.160.07
Net GEX-92.3M-181.4M13.9M-140.2M8.8M
Net DEX-1.41B-2.43B462.3M105.5M-1.86B
Net VEX-13.4M-17.1M-10.0M-17.1M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.156.410.902.31
Total Volume119,229.234,862534,58246,82258,674
Total OI3,794,874.42,528,8884,259,6863,887,9262,528,888

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$36.88$37.0030.1%8.6%42.4%52.0%29.5%5.5%0.3%-140.2M105.5M-17.1M0.9012.0324,61222,2101,315,3782,572,548
2007-12-04$36.50$37.0029.7%8.5%42.4%50.1%33.5%5.2%0.7%-153.4M462.3M-17.0M6.4110.447,24846,4781,324,6642,576,016
2007-12-05$37.30$37.0028.0%8.0%41.4%42.9%28.2%4.8%1.4%-142.1M-262.1M-16.6M1.2912.8244,12057,0161,323,4762,610,468
2007-12-06$38.33$37.0026.3%7.5%39.8%36.1%29.9%4.8%1.3%-112.4M-1.28B-15.6M1.3211.9254,14871,4541,331,4582,604,254
2007-12-07$38.09$37.0025.9%7.4%39.4%34.6%27.3%4.5%1.5%-117.3M-1.25B-15.3M1.8712.9016,19430,3101,345,5622,624,670
2007-12-10$38.48$37.0026.2%7.4%38.9%35.8%27.6%4.6%1.4%-108.1M-1.61B-14.2M1.6113.7021,72034,9001,340,1082,630,112
2007-12-11$37.52$34.0027.7%8.1%35.5%41.9%29.3%6.4%1.1%-142.1M-810.6M-14.8M1.7816.8529,37252,2161,343,0942,635,884
2007-12-12$38.75$34.0028.4%8.0%35.2%44.7%29.2%6.2%1.8%-101.9M-1.82B-13.7M1.9816.6442,78084,8981,349,5622,640,874
2007-12-13$38.84$34.0027.0%7.7%35.1%39.1%28.9%5.9%2.3%-93.5M-1.99B-13.6M3.1117.6717,18253,4041,365,3642,677,578
2007-12-14$38.23$34.0028.4%8.1%33.2%44.6%28.8%6.0%2.0%-122.1M-1.43B-14.0M2.5711.5323,11259,3021,373,0002,697,246
2007-12-17$37.54$34.5029.9%8.6%33.0%51.0%30.8%4.9%1.6%-181.4M-475.7M-14.1M6.1611.6523,990147,8321,377,7842,718,232
2007-12-18$37.90$34.5029.0%8.3%32.3%47.1%30.0%5.7%1.7%-155.4M-1.14B-13.5M2.3212.9432,93276,4641,384,4162,762,924
2007-12-19$38.27$35.0026.5%7.6%30.6%36.7%27.3%4.7%3.2%-134.4M-1.57B-12.7M0.7815.04115,72090,6361,398,4762,783,754
2007-12-20$38.75$35.0026.5%7.6%29.5%36.9%27.4%5.3%3.3%-113.8M-2.43B-12.2M0.1512.56465,02269,5601,470,5942,789,092
2007-12-21$39.65$35.0023.3%6.7%29.2%23.5%23.4%5.7%4.3%-43.3M-2.19B-10.9M0.9416.8086,64681,8001,176,2002,819,068
2007-12-24$39.83$35.0021.6%6.2%25.4%16.4%23.4%4.7%3.6%-16.9M-2.05B-10.5M1.819.5112,40422,4581,003,4422,204,878
2007-12-26$40.27$35.0022.3%6.4%24.7%19.4%23.3%4.3%2.7%2.1M-2.30B-10.0M1.1512.7341,73247,8741,008,0282,211,140
2007-12-27$39.85$35.0023.4%6.7%24.5%23.8%24.8%5.1%3.2%8.2M-2.12B-10.4M3.079.4833,154101,8941,033,7642,226,034
2007-12-28$40.19$35.5018.0%6.9%24.4%1.6%24.5%5.0%1.7%13.9M-2.28B-10.5M1.4114.5934,45048,6661,054,5642,264,894
2007-12-31$39.67$35.5025.6%7.3%25.2%33.2%25.6%5.8%1.3%8.8M-1.86B-10.8M2.3110.6017,74040,9341,024,0761,504,812