XLE Options History — February 2009 In February 2009, XLE traded between $20.20 and $24.82. ATM implied volatility averaged 48.6%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 1.6% (HV 20d: 47.1%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.48.
Notable Days 2009-02-20 : Highest Volume — 368,312 contracts2009-02-17 : Largest IV spike — 16.2% change2009-02-23 : Highest IV Rank — 36.3%2009-02-23 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.56 $20.20 $24.82 $23.09 $20.57 Max Pain $24.39 $23.00 $26.00 $23.00 $26.00 ATM IV 48.6% 40.7% 59.1% 49.1% 50.1% Expected Move 14.2% 11.7% 17.3% 14.1% 14.4% HV 20d 47.1% 41.4% 51.9% 51.5% 43.1% HV 60d 63.4% 48.7% 73.0% 73.0% 48.7% IV Rank 27.5% 20.8% 36.3% 27.9% 28.8% IV Percentile 67.6% 59.1% 76.2% 69.0% 67.5% Term Structure 0.0% -3.8% 4.9% 2.2% 0.4% VWIV 49.7% 42.5% 57.8% 50.2% 48.3% Skew 25d 10.5% 8.9% 12.4% 10.2% 12.2% Skew 10d 20.0% 17.2% 22.7% 20.7% 22.5% Call IV 25d 44.2% 38.2% 52.9% 44.1% 44.7% Put IV 25d 54.7% 47.1% 64.5% 54.2% 56.9% Bid-Ask Spread % 8.13 5.24 14.96 7.86 14.96 Gamma HHI 0.08 0.06 0.11 0.09 0.07 Net GEX -14.4M -33.2M -3.4M -11.0M -20.8M Net DEX 957.4M 184.7M 1.62B 757.7M 1.47B Net VEX -8.2M -9.2M -6.7M -9.0M -6.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.55 2.50 2.37 2.07 Total Volume 130,134.526 60,202 368,312 60,202 123,300 Total OI 2,828,754.737 2,664,042 3,076,098 2,682,104 2,827,952
Daily Data (19 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 2009-02-02 $23.09 $23.00 49.1% 14.1% 51.5% 27.9% 50.2% 10.2% 2.2% -11.0M 757.7M -9.0M 2.37 7.86 17,872 42,330 1,134,582 1,547,522 2009-02-03 $23.48 $23.00 44.9% 12.9% 51.1% 24.3% 45.6% 8.9% 2.8% -8.3M 638.9M -8.9M 1.84 6.42 32,388 59,564 1,137,632 1,526,410 2009-02-04 $23.70 $23.00 43.6% 12.5% 51.1% 23.3% 43.6% 9.2% 3.7% -7.0M 580.6M -9.0M 2.27 8.22 29,952 67,892 1,152,282 1,549,578 2009-02-05 $24.29 $23.00 41.0% 11.7% 49.9% 21.1% 42.5% 8.9% 4.9% -6.8M 411.9M -9.2M 0.81 9.94 44,850 36,286 1,158,468 1,583,352 2009-02-06 $24.73 $24.50 40.7% 13.1% 50.1% 20.8% 47.5% 9.9% -0.5% -3.7M 217.5M -9.2M 1.19 6.50 31,758 37,812 1,159,070 1,588,972 2009-02-09 $24.82 $24.50 41.6% 13.2% 48.6% 21.6% 45.7% 10.0% -0.6% -3.4M 184.7M -9.0M 1.39 8.25 31,778 44,108 1,163,930 1,589,870 2009-02-10 $23.67 $25.00 47.6% 14.4% 49.5% 26.7% 49.5% 10.3% -1.4% -8.9M 601.8M -8.8M 1.11 7.26 63,044 70,154 1,177,088 1,605,882 2009-02-11 $23.40 $25.00 44.4% 14.0% 48.8% 23.9% 48.8% 9.5% -0.5% -9.2M 710.4M -8.7M 1.00 5.24 60,698 60,846 1,202,946 1,618,630 2009-02-12 $23.44 $25.00 49.1% 14.1% 45.4% 27.9% 48.5% 10.2% -1.8% -8.1M 674.8M -8.8M 0.92 10.22 117,348 107,750 1,218,292 1,627,360 2009-02-13 $23.50 $24.50 46.1% 13.2% 45.2% 25.4% 46.4% 9.6% 0.5% -5.3M 705.2M -8.8M 1.45 7.01 30,644 44,322 1,270,054 1,663,024 2009-02-17 $21.87 $24.50 53.5% 15.4% 51.9% 31.7% 52.6% 10.8% -1.9% -21.7M 1.35B -7.8M 0.55 5.40 151,766 82,918 1,275,738 1,681,632 2009-02-18 $21.75 $24.50 53.7% 15.4% 48.2% 31.8% 51.8% 10.9% -1.3% -24.4M 1.45B -7.7M 0.85 6.89 46,166 39,092 1,343,296 1,704,052 2009-02-19 $21.75 $24.50 54.4% 15.6% 41.5% 32.4% 52.6% 12.4% -3.8% -24.7M 1.37B -7.7M 0.90 10.17 47,314 42,596 1,344,912 1,709,550 2009-02-20 $21.19 $24.50 53.6% 15.4% 41.4% 31.7% 51.4% 11.5% 0.9% -33.2M 1.62B -7.2M 1.82 8.86 130,702 237,610 1,360,958 1,715,140 2009-02-23 $20.20 $23.50 59.1% 17.3% 42.3% 36.3% 57.8% 11.6% -2.3% -18.8M 1.49B -6.9M 2.50 7.23 57,828 144,666 1,186,138 1,565,034 2009-02-24 $21.15 $23.50 52.4% 14.9% 45.6% 30.7% 52.3% 11.2% 0.2% -18.8M 1.32B -7.3M 1.73 6.14 38,212 66,244 1,194,876 1,567,888 2009-02-25 $21.02 $26.00 50.5% 14.5% 45.5% 29.1% 55.2% 11.8% -1.2% -19.1M 1.33B -7.2M 0.98 8.07 64,002 62,712 1,206,648 1,570,348 2009-02-26 $21.07 $26.00 48.9% 14.1% 43.9% 27.8% 53.9% 10.6% -0.3% -19.5M 1.31B -7.2M 2.34 9.90 31,716 74,316 1,226,810 1,590,424 2009-02-27 $20.57 $26.00 50.1% 14.4% 43.1% 28.8% 48.3% 12.2% 0.4% -20.8M 1.47B -6.7M 2.07 14.96 40,140 83,160 1,235,348 1,592,604
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