XLE Options History — June 2008

In June 2008, XLE traded between $41.70 and $44.57. ATM implied volatility averaged 33.0%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 0.1% (HV 20d: 32.9%). Max pain ranged from $42.50 to $44.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2008-06-25: Highest Volume — 2,103,162 contracts
  • 2008-06-27: Largest IV drop — 24.8% change
  • 2008-06-12: Highest IV Rank — 78.9%
  • 2008-06-12: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.44$41.70$44.57$43.26$44.24
Max Pain$43.88$42.50$44.50$44.00$43.00
ATM IV33.0%25.3%36.3%30.8%29.4%
Expected Move9.6%8.4%10.4%8.8%8.4%
HV 20d32.9%27.2%35.9%27.3%34.0%
HV 60d29.3%26.9%32.1%31.7%28.5%
IV Rank66.0%36.4%78.9%57.5%52.0%
IV Percentile78.8%19.8%94.4%71.0%48.8%
Term Structure0.7%-0.3%2.7%0.4%2.7%
VWIV34.2%30.9%38.7%30.9%31.9%
Skew 25d4.7%3.5%6.0%4.3%4.2%
Skew 10d8.4%6.6%11.1%7.5%7.6%
Call IV 25d31.3%27.7%34.3%29.2%27.7%
Put IV 25d36.0%31.9%38.6%33.5%31.9%
Bid-Ask Spread %11.413.7634.3713.5111.47
Gamma HHI0.110.070.230.100.07
Net GEX-274.5M-416.6M-114.0M-220.7M-114.0M
Net DEX605.0M-1.15B2.63B656.5M-1.03B
Net VEX-27.0M-29.5M-23.3M-28.1M-28.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.1711.683.511.23
Total Volume513,022114,2142,103,162192,190512,886
Total OI5,540,923.3334,256,0066,104,5305,247,6705,564,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$43.26$44.0030.8%8.8%27.3%57.5%30.9%4.3%0.4%-220.7M656.5M-28.1M3.5113.5142,622149,5681,696,9303,550,740
2008-06-03$42.33$44.0031.7%9.1%28.2%61.1%31.9%4.1%0.2%-256.6M1.87B-28.4M3.8410.5258,544225,0841,708,3063,611,114
2008-06-04$41.70$44.0033.0%9.5%27.2%66.1%32.7%4.1%-0.3%-269.9M2.61B-27.9M2.664.88106,086282,2461,724,0903,629,154
2008-06-05$43.87$44.0030.1%8.6%31.9%54.8%32.3%4.1%1.0%-221.3M-103.9M-27.5M6.018.1962,824377,4941,751,3503,699,174
2008-06-06$43.01$44.0036.0%10.3%32.2%77.6%35.6%4.6%-0.3%-247.6M1.20B-29.5M3.1234.3775,336235,0021,766,5903,882,642
2008-06-09$44.27$44.0033.6%9.9%33.7%68.3%38.7%5.5%-0.1%-217.4M-478.3M-28.2M0.6610.76100,46666,3721,778,8024,000,548
2008-06-10$43.19$44.5035.2%10.1%35.0%74.7%35.3%5.3%-0.0%-270.2M1.10B-28.7M1.394.3880,210111,5041,810,5444,009,212
2008-06-11$43.45$44.5034.4%10.1%34.6%71.4%35.7%4.8%0.1%-252.8M336.1M-28.3M1.823.76140,464255,1381,841,6544,055,168
2008-06-12$42.79$44.5036.3%10.4%34.8%78.9%36.4%4.3%0.2%-292.2M1.57B-28.4M1.5210.93245,134371,5381,843,6524,081,086
2008-06-13$43.30$44.0034.2%9.8%34.7%70.9%34.2%4.1%0.8%-301.9M1.06B-27.9M1.184.2652,40861,8061,863,6304,186,466
2008-06-16$43.45$44.0034.1%9.8%32.1%70.4%34.6%3.5%0.8%-276.1M346.1M-26.0M1.479.8267,27498,7601,878,4484,160,840
2008-06-17$44.17$44.0033.5%9.6%32.7%67.9%33.2%4.1%1.2%-216.8M-943.4M-25.2M1.029.0157,54458,5961,885,4704,186,780
2008-06-18$44.34$44.0033.6%9.6%32.5%68.5%33.8%4.2%1.1%-201.7M-1.15B-24.7M1.197.8592,448110,1381,898,0324,198,656
2008-06-19$43.28$44.0034.6%9.9%33.2%72.2%35.0%4.0%0.5%-324.1M756.2M-25.0M0.198.341,686,366326,9241,899,7704,204,760
2008-06-20$42.88$44.0033.9%9.7%32.9%69.6%35.1%4.3%1.1%-416.6M2.63B-24.9M2.1412.27108,812232,9081,702,5224,319,542
2008-06-23$44.57$44.0033.8%9.7%35.2%69.3%36.8%6.0%-0.1%-250.2M-48.0M-23.3M2.4614.51136,462336,3361,243,9803,012,026
2008-06-24$43.73$44.0034.2%9.8%35.9%70.7%34.4%5.9%0.4%-301.4M702.4M-24.5M1.897.12141,630267,0921,328,4103,080,972
2008-06-25$43.56$44.0031.4%9.0%35.2%60.0%32.9%6.0%1.1%-369.1M1.06B-25.7M0.1711.071,800,728302,4341,423,1883,252,264
2008-06-26$43.24$42.5033.7%9.7%33.8%68.7%35.3%5.9%1.5%-353.8M724.4M-28.8M11.6824.3193,0701,086,7301,903,6663,410,360
2008-06-27$43.63$42.5025.3%9.0%33.7%36.4%31.8%4.9%2.2%-391.0M-159.6M-27.9M1.3818.2865,71690,7621,903,6663,410,360
2008-06-30$44.24$43.0029.4%8.4%34.0%52.0%31.9%4.2%2.7%-114.0M-1.03B-28.0M1.2311.47230,336282,5501,793,7523,771,074