XLE Options History — October 2008 In October 2008, XLE traded between $20.43 and $31.13. ATM implied volatility averaged 87.2%, placing in the 65.8% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 22.1% (HV 20d: 109.3%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.44.
Notable Days 2008-10-15 : Highest Volume — 457,564 contracts2008-10-13 : Largest IV drop — 32.5% change2008-10-09 : Highest IV Rank — 100.0%2008-10-27 : Largest Expected Move — 28.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.68 $20.43 $31.13 $31.13 $25.70 Max Pain $29.20 $25.00 $35.00 $35.00 $25.50 ATM IV 87.2% 60.9% 134.8% 60.9% 70.8% Expected Move 22.8% 17.5% 28.7% 17.5% 20.3% HV 20d 109.3% 76.2% 136.4% 76.2% 136.4% HV 60d 74.5% 54.4% 91.7% 54.4% 91.7% IV Rank 65.8% 44.8% 100.0% 51.9% 46.1% IV Percentile 97.3% 92.9% 100.0% 99.6% 92.9% Term Structure -8.3% -15.1% 0.9% -15.1% 0.9% VWIV 80.2% 57.8% 95.3% 57.8% 74.1% Skew 25d 18.9% 6.6% 32.5% 6.6% 15.2% Skew 10d 34.1% 13.7% 53.2% 13.7% 30.0% Call IV 25d 69.3% 53.9% 84.7% 53.9% 66.3% Put IV 25d 88.2% 60.5% 110.0% 60.5% 81.5% Bid-Ask Spread % 35.65 12.03 83.54 25.73 19.13 Gamma HHI 0.06 0.04 0.09 0.07 0.04 Net GEX -19.7M -35.5M -12.8M -35.5M -13.9M Net DEX 2.84B 1.93B 3.50B 2.24B 1.93B Net VEX -10.8M -15.8M -7.7M -15.8M -12.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 0.93 2.35 1.17 1.50 Total Volume 253,071.043 122,070 457,564 208,876 223,308 Total OI 4,006,263.826 3,342,514 4,479,758 3,342,514 4,339,716
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 2008-10-01 $31.13 $35.00 60.9% 17.5% 76.2% 51.9% 57.8% 6.6% -15.1% -35.5M 2.24B -15.8M 1.17 25.73 96,102 112,774 1,520,478 1,822,036 2008-10-02 $29.36 $35.00 70.3% 20.2% 78.2% 62.8% 74.2% 13.7% -14.0% -31.1M 2.79B -13.9M 1.68 19.00 144,608 242,286 1,557,906 1,852,170 2008-10-03 $29.00 $35.00 69.8% 20.0% 78.2% 62.3% 66.8% 14.5% -10.8% -34.6M 2.98B -13.8M 1.99 12.63 101,020 201,034 1,627,346 1,995,222 2008-10-06 $27.45 $33.50 91.6% 20.7% 80.0% 87.4% 70.5% 15.7% -9.4% -31.0M 3.11B -13.0M 1.26 38.70 150,024 189,720 1,648,266 2,065,954 2008-10-07 $25.94 $32.00 89.9% 19.6% 78.6% 85.4% 65.6% 12.4% -8.3% -27.2M 3.40B -11.1M 1.09 22.09 91,822 100,432 1,710,104 2,082,170 2008-10-08 $26.43 $31.50 91.3% 22.4% 77.3% 87.1% 77.4% 32.5% -11.4% -25.6M 3.32B -11.7M 1.17 75.80 109,918 128,812 1,730,256 2,065,080 2008-10-09 $22.63 $30.50 115.0% 28.6% 92.0% 100.0% 93.2% 19.7% -13.7% -16.3M 3.25B -9.3M 1.33 62.22 93,040 124,040 1,780,596 2,088,460 2008-10-10 $21.70 $30.50 134.8% 26.8% 90.2% 100.0% 90.2% 26.0% -10.0% -12.8M 3.50B -7.9M 1.16 79.62 197,298 228,072 1,817,966 2,126,988 2008-10-13 $25.27 $29.50 91.0% 21.0% 107.0% 63.2% 79.8% 20.2% -6.3% -24.5M 3.22B -10.7M 1.13 83.54 126,114 142,058 1,922,728 2,204,014 2008-10-14 $25.30 $29.50 98.0% 20.8% 105.3% 69.1% 73.0% 16.1% -6.7% -21.1M 3.20B -11.0M 1.16 13.95 124,274 144,034 1,974,458 2,247,148 2008-10-15 $21.65 $29.50 115.3% 26.4% 116.8% 83.6% 92.7% 23.4% -9.1% -13.0M 3.43B -7.7M 1.67 25.85 171,668 285,896 2,007,328 2,245,946 2008-10-16 $22.48 $28.00 92.1% 26.4% 117.3% 64.1% 95.3% 24.4% -9.1% -16.8M 3.21B -9.4M 1.72 31.11 118,114 203,200 2,081,168 2,329,440 2008-10-17 $22.97 $28.00 83.0% 23.8% 114.3% 56.4% 80.8% 24.5% -6.5% -17.3M 3.14B -9.7M 1.66 83.43 112,402 186,586 2,127,298 2,352,460 2008-10-20 $25.64 $27.50 69.2% 19.8% 123.6% 44.8% 70.9% 15.9% -5.6% -15.1M 2.28B -11.7M 0.93 13.68 78,182 72,504 1,793,844 2,043,490 2008-10-21 $24.48 $27.50 70.3% 20.2% 123.9% 45.8% 73.2% 14.6% -6.9% -15.0M 2.52B -10.2M 1.18 24.31 70,176 82,818 1,829,574 2,077,658 2008-10-22 $22.10 $27.50 84.9% 24.3% 127.3% 58.0% 85.0% 15.9% -7.4% -13.1M 2.71B -8.7M 1.60 16.19 71,924 115,114 1,863,152 2,097,068 2008-10-23 $23.27 $27.50 82.8% 23.7% 129.0% 56.3% 86.3% 17.9% -5.9% -14.5M 2.60B -10.0M 1.23 20.08 107,166 131,716 1,890,852 2,157,442 2008-10-24 $21.82 $26.50 90.5% 25.9% 130.0% 62.8% 90.7% 26.1% -7.1% -14.1M 2.68B -9.0M 1.36 22.47 87,822 119,170 1,923,248 2,207,178 2008-10-27 $20.43 $26.00 100.1% 28.7% 125.2% 70.9% 95.3% 25.3% -11.0% -13.7M 2.79B -7.7M 1.80 42.26 58,382 105,148 1,942,852 2,225,166 2008-10-28 $23.55 $25.50 75.7% 21.7% 135.1% 50.3% 84.5% 20.2% -3.4% -16.1M 2.51B -10.2M 2.35 16.64 48,814 114,694 1,956,748 2,226,776 2008-10-29 $24.07 $25.50 81.5% 23.4% 135.7% 55.2% 83.6% 16.4% -8.5% -17.4M 2.46B -10.5M 1.14 59.61 133,872 152,406 1,967,604 2,288,792 2008-10-30 $25.18 $25.00 76.5% 21.9% 136.0% 51.0% 83.2% 16.5% -5.6% -13.8M 1.95B -12.4M 1.95 12.03 41,414 80,656 2,042,160 2,287,762 2008-10-31 $25.70 $25.50 70.8% 20.3% 136.4% 46.1% 74.1% 15.2% 0.9% -13.9M 1.93B -12.6M 1.50 19.13 89,164 134,144 2,051,586 2,288,130
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