XLE Options History — April 2009 In April 2009, XLE traded between $21.68 and $23.27. ATM implied volatility averaged 40.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 3.0% (HV 20d: 44.0%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.27.
Notable Days 2009-04-28 : Highest Volume — 140,328 contracts2009-04-27 : Largest IV spike — 12.7% change2009-04-01 : Highest IV Rank — 25.8%2009-04-07 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $22.50 $21.68 $23.27 $21.68 $22.89 Max Pain $22.86 $22.00 $23.00 $22.00 $22.50 ATM IV 40.9% 34.6% 46.6% 46.6% 36.3% Expected Move 12.0% 9.9% 13.4% 13.4% 10.4% HV 20d 44.0% 35.4% 50.0% 50.0% 36.4% HV 60d 48.8% 46.6% 51.8% 51.1% 46.9% IV Rank 21.1% 15.7% 25.8% 25.8% 17.1% IV Percentile 41.5% 22.6% 57.5% 57.5% 28.2% Term Structure 0.6% -0.8% 3.2% 3.1% 0.9% VWIV 42.3% 35.8% 47.9% 47.9% 35.8% Skew 25d 6.7% 5.2% 8.0% 6.0% 5.6% Skew 10d 13.0% 11.0% 14.8% 12.3% 12.7% Call IV 25d 38.7% 31.6% 43.8% 43.8% 34.0% Put IV 25d 45.4% 39.3% 51.2% 49.7% 39.6% Bid-Ask Spread % 15.37 7.47 31.93 16.92 12.04 Gamma HHI 0.08 0.06 0.15 0.06 0.08 Net GEX -349.0K -10.9M 15.9M -3.9M -7.2M Net DEX 325.2M 91.8M 609.9M 455.2M 401.6M Net VEX -7.8M -9.6M -7.0M -9.6M -7.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.51 2.41 1.53 1.74 Total Volume 100,637.524 67,220 140,328 97,162 93,288 Total OI 2,275,844.952 2,030,424 2,414,140 2,321,260 2,414,140
Daily Data (21 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 2009-04-01 $21.68 $22.00 46.6% 13.4% 50.0% 25.8% 47.9% 6.0% 3.1% -3.9M 455.2M -9.6M 1.53 16.92 38,410 58,752 994,596 1,326,664 2009-04-02 $22.57 $22.00 45.2% 12.9% 48.1% 24.6% 44.4% 7.0% 3.2% -74.5K 217.9M -8.1M 0.51 29.53 87,456 44,974 927,314 1,202,350 2009-04-03 $23.01 $23.00 40.7% 13.1% 48.2% 20.8% 46.8% 7.8% -0.2% 2.9M 91.8M -8.2M 0.69 26.88 57,348 39,434 952,160 1,221,322 2009-04-06 $22.55 $23.00 42.0% 13.2% 49.3% 22.0% 47.0% 8.0% 0.2% 3.8M 197.6M -8.0M 1.60 26.59 50,004 79,946 984,412 1,231,450 2009-04-07 $21.87 $23.00 40.9% 13.4% 48.4% 21.0% 46.7% 7.8% 0.8% -3.4M 441.8M -8.0M 1.27 31.93 45,370 57,410 1,013,352 1,281,918 2009-04-08 $22.15 $23.00 40.6% 13.0% 48.4% 20.7% 45.9% 6.5% -0.4% 763.1K 308.2M -8.1M 1.28 30.65 29,476 37,744 1,037,842 1,302,848 2009-04-09 $22.80 $23.00 42.4% 12.2% 48.4% 22.3% 42.9% 7.0% 1.2% 7.2M 127.4M -8.2M 1.50 11.02 33,970 50,940 1,037,414 1,317,252 2009-04-13 $22.55 $23.00 43.8% 12.6% 48.4% 23.5% 43.2% 6.9% 0.1% 5.0M 266.5M -7.9M 1.13 11.26 38,680 43,658 1,047,240 1,333,662 2009-04-14 $22.49 $23.00 44.2% 12.7% 48.4% 23.8% 45.2% 6.3% -0.5% 5.9M 268.0M -7.9M 1.35 13.20 31,788 42,842 1,055,568 1,356,162 2009-04-15 $22.52 $23.00 44.1% 12.7% 47.0% 23.7% 45.2% 6.4% 0.2% 7.9M 270.3M -7.8M 1.48 9.17 35,482 52,480 1,050,660 1,358,314 2009-04-16 $22.63 $23.00 42.5% 12.2% 46.9% 22.4% 40.6% 6.1% 0.8% 15.7M 208.0M -7.5M 0.99 9.23 40,848 40,362 1,028,074 1,337,942 2009-04-17 $22.89 $23.00 38.9% 11.2% 46.3% 19.3% 39.6% 5.6% 1.4% 15.9M 145.9M -7.5M 0.66 10.02 60,378 39,936 1,033,612 1,352,262 2009-04-20 $21.78 $23.00 43.0% 12.3% 47.0% 22.8% 43.1% 5.2% -0.8% -10.9M 609.9M -7.0M 0.87 11.58 56,182 48,628 877,150 1,153,274 2009-04-21 $22.21 $23.00 40.7% 11.7% 37.6% 20.9% 40.2% 6.3% 0.5% -8.8M 482.5M -7.1M 1.56 13.28 46,394 72,314 900,882 1,176,872 2009-04-22 $21.98 $23.00 40.3% 11.6% 37.2% 20.5% 40.2% 7.2% 0.1% -10.8M 582.0M -7.2M 1.08 7.47 51,528 55,780 921,098 1,221,838 2009-04-23 $22.39 $23.00 37.5% 10.8% 37.9% 18.2% 38.1% 5.7% 0.9% -9.4M 497.3M -7.5M 0.88 11.82 47,636 41,756 946,426 1,254,984 2009-04-24 $23.04 $23.00 36.1% 10.4% 39.2% 17.0% 37.5% 7.2% 1.3% -3.0M 248.1M -7.7M 1.10 8.37 43,348 47,692 966,244 1,268,416 2009-04-27 $22.60 $23.00 40.7% 11.7% 38.3% 20.9% 42.1% 6.9% -0.7% -6.4M 400.1M -7.6M 2.41 12.74 27,924 67,250 984,602 1,272,266 2009-04-28 $22.65 $23.00 38.7% 11.1% 35.4% 19.1% 39.1% 7.1% 0.0% -7.1M 418.7M -7.7M 1.57 7.79 54,630 85,698 995,712 1,302,716 2009-04-29 $23.27 $22.50 34.6% 9.9% 36.2% 15.7% 36.1% 7.7% 0.2% -1.4M 190.2M -7.8M 1.43 11.22 55,766 79,886 1,016,916 1,334,818 2009-04-30 $22.89 $22.50 36.3% 10.4% 36.4% 17.1% 35.8% 5.6% 0.9% -7.2M 401.6M -7.8M 1.74 12.04 34,098 59,190 1,036,838 1,377,302
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