XLE Options History — January 2009

In January 2009, XLE traded between $22.03 and $25.95. ATM implied volatility averaged 50.3%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 1.9% (HV 20d: 48.4%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2009-01-16: Highest Volume — 266,382 contracts
  • 2009-01-12: Largest IV spike — 22.5% change
  • 2009-01-20: Highest IV Rank — 37.0%
  • 2009-01-20: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.96$22.03$25.95$25.07$23.46
Max Pain$23.57$23.00$26.00$26.00$23.00
ATM IV50.3%43.0%60.0%45.7%46.2%
Expected Move14.4%12.3%17.2%13.1%13.2%
HV 20d48.4%41.9%54.6%50.5%54.6%
HV 60d85.3%74.1%102.2%102.1%74.1%
IV Rank28.9%22.8%37.0%25.0%25.5%
IV Percentile72.1%63.1%77.0%73.0%67.9%
Term Structure1.9%0.0%4.5%2.5%4.1%
VWIV51.0%43.5%59.7%47.2%48.8%
Skew 25d11.0%6.0%13.0%6.0%9.9%
Skew 10d21.0%10.9%26.1%10.9%20.5%
Call IV 25d45.1%38.6%52.8%43.4%41.7%
Put IV 25d56.1%48.0%65.8%49.4%51.6%
Bid-Ask Spread %10.056.0614.006.068.74
Gamma HHI0.080.060.100.070.08
Net GEX-10.7M-24.6M-1.4M-7.5M-8.2M
Net DEX701.6M264.4M1.36B642.9M632.1M
Net VEX-8.4M-9.4M-7.5M-8.2M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.603.241.152.07
Total Volume163,711.258,946266,382222,438122,650
Total OI3,061,475.72,164,7723,779,6963,395,2642,631,160

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$25.07$26.0045.7%13.1%50.5%25.0%47.2%6.0%2.5%-7.5M642.9M-8.2M1.156.06103,372119,0661,662,0081,733,256
2009-01-05$25.66$23.0047.7%13.8%42.2%26.7%46.9%9.9%0.0%-4.2M430.8M-8.1M0.8412.3961,31651,2401,683,2681,732,462
2009-01-06$25.95$23.5046.0%13.5%42.0%25.3%46.3%11.2%1.1%-1.4M264.4M-8.2M1.0111.4488,55089,0281,710,5841,712,844
2009-01-07$24.84$24.0052.6%14.6%43.6%30.9%50.3%11.7%0.3%-6.6M660.9M-8.1M2.189.3862,100135,2181,754,9761,725,482
2009-01-08$25.16$24.0050.4%14.6%43.6%29.0%53.7%11.4%0.5%-3.6M528.1M-8.2M2.8314.0027,69078,3681,778,6501,764,404
2009-01-09$24.32$24.0045.7%14.5%41.9%25.1%52.8%10.9%1.2%-12.4M881.4M-7.9M2.7810.1645,210125,7801,784,6601,784,232
2009-01-12$23.36$24.0056.0%15.5%44.3%33.7%52.8%11.0%0.4%-22.4M1.24B-7.6M1.519.9042,27863,6561,781,5021,832,726
2009-01-13$23.95$24.0052.0%15.0%45.2%30.4%52.9%10.9%0.7%-19.5M1.00B-7.9M0.6010.08150,35289,8261,788,5141,826,934
2009-01-14$22.80$24.0059.3%16.5%48.3%36.5%57.3%11.6%0.5%-24.6M1.36B-8.0M2.6710.3071,062189,9961,853,9841,849,702
2009-01-15$23.09$24.0057.3%16.4%47.1%34.8%57.2%12.0%0.6%-24.4M1.30B-8.3M1.8011.5382,966149,6581,882,7841,896,912
2009-01-16$23.27$24.0052.5%15.1%47.3%30.8%53.3%11.7%2.3%-19.0M1.13B-7.7M0.7912.08148,824117,5581,802,9121,824,394
2009-01-20$22.03$23.0060.0%17.2%46.5%37.0%59.7%13.0%0.1%-7.7M714.8M-7.5M3.247.2561,392199,100985,2561,179,516
2009-01-21$23.51$23.0049.9%14.3%52.2%28.6%51.2%11.7%3.2%-7.9M486.7M-8.5M0.838.6145,04637,5201,007,7261,302,756
2009-01-22$22.86$23.0051.4%14.7%52.0%29.8%52.3%11.4%2.2%-8.9M616.1M-8.2M2.788.0853,552148,9901,020,3481,304,486
2009-01-23$23.53$23.0049.1%14.1%52.9%27.9%50.0%11.6%3.2%-9.4M531.1M-9.1M1.1010.2855,18660,9561,036,9881,403,748
2009-01-26$23.96$23.0048.6%13.9%53.2%27.5%49.1%11.7%3.0%-7.0M388.9M-9.3M1.2910.5644,18856,9801,061,0521,421,328
2009-01-27$24.00$23.0045.8%13.1%53.0%25.1%47.0%11.3%4.2%-7.2M407.0M-9.2M1.5512.9352,50081,2261,073,0401,440,816
2009-01-28$24.66$23.0043.0%12.3%53.3%22.8%43.5%9.5%4.5%-4.5M289.3M-9.4M1.3210.3825,39033,5561,096,4901,493,804
2009-01-29$23.79$23.0046.4%13.3%54.5%25.7%46.7%10.9%3.9%-7.5M533.8M-9.3M1.326.9244,31658,5621,103,4821,500,328
2009-01-30$23.46$23.0046.2%13.2%54.6%25.5%48.8%9.9%4.1%-8.2M632.1M-9.2M2.078.7439,94282,7081,118,7421,512,418