XLE Options History — June 2009

In June 2009, XLE traded between $23.38 and $27.02. ATM implied volatility averaged 34.3%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.9% (HV 20d: 35.3%). Max pain ranged from $24.50 to $26.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2009-06-18: Highest Volume — 1,710,744 contracts
  • 2009-06-29: Largest IV spike — 59.4% change
  • 2009-06-29: Highest IV Rank — 16.1%
  • 2009-06-22: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.32$23.38$27.02$26.79$24.02
Max Pain$25.43$24.50$26.00$24.50$25.50
ATM IV34.3%27.0%43.0%35.1%28.3%
Expected Move9.7%8.1%10.7%10.1%8.1%
HV 20d35.3%30.9%41.1%40.3%30.9%
HV 60d39.0%35.8%42.1%41.0%35.8%
IV Rank8.2%1.2%16.1%8.9%1.2%
IV Percentile16.8%0.4%44.4%19.4%0.4%
Term Structure1.9%-0.2%4.2%-0.0%3.6%
VWIV34.1%28.6%37.3%35.6%28.6%
Skew 25d4.6%3.5%5.3%4.6%3.5%
Skew 10d8.8%7.2%10.2%9.0%8.0%
Call IV 25d32.2%27.1%35.0%33.6%27.1%
Put IV 25d36.7%30.6%40.1%38.2%30.6%
Bid-Ask Spread %8.635.7312.077.697.88
Gamma HHI0.100.060.280.070.12
Net GEX3.9M-39.8M37.7M22.4M-32.8M
Net DEX-225.5M-1.27B796.3M-1.02B649.8M
Net VEX-9.1M-9.5M-8.6M-9.1M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.092.100.561.27
Total Volume224,208.63670,7561,710,744226,006161,528
Total OI2,954,9712,614,2463,317,1642,736,6702,913,022

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$26.79$24.5035.1%10.1%40.3%8.9%35.6%4.6%-0.0%22.4M-1.02B-9.1M0.567.69144,85481,1521,267,8881,468,782
2009-06-02$26.72$25.0035.9%10.3%38.5%9.7%34.8%4.8%-0.2%25.9M-1.03B-9.3M0.737.8772,12852,6081,332,4701,504,458
2009-06-03$25.69$25.0035.9%10.3%41.1%9.7%35.7%5.0%0.6%18.3M-542.4M-9.5M1.557.5260,47093,8741,357,2481,514,412
2009-06-04$26.27$25.0034.2%9.8%39.6%8.1%35.3%4.3%0.4%21.8M-818.6M-9.5M0.726.3545,59632,7901,363,2241,551,066
2009-06-05$26.05$25.0034.1%9.8%39.4%8.0%33.7%4.9%0.5%23.2M-779.6M-9.5M0.846.5949,63441,7681,384,2301,552,146
2009-06-08$26.00$25.0034.3%9.9%36.6%8.2%36.0%4.4%0.4%22.9M-732.6M-9.3M1.685.7339,99067,0021,389,9061,564,702
2009-06-09$26.25$25.0032.1%9.4%34.8%6.2%33.7%4.6%1.2%25.7M-875.7M-9.2M1.046.5639,19040,8321,399,8561,606,718
2009-06-10$26.48$25.5031.0%9.6%34.9%5.2%34.0%4.6%2.8%28.4M-992.3M-9.2M0.839.0338,59832,1581,406,9901,613,916
2009-06-11$27.02$25.5034.2%9.8%32.6%8.1%34.4%4.7%2.9%32.2M-1.27B-9.1M0.6911.58153,690106,1221,415,5601,622,228
2009-06-12$26.75$25.5033.8%9.7%33.1%7.7%34.0%4.7%2.3%37.7M-1.14B-9.2M1.1611.4546,03053,5761,490,7501,641,138
2009-06-15$26.05$26.0036.1%10.3%33.7%9.8%35.7%4.4%1.3%25.4M-707.2M-9.2M0.658.3151,77233,7501,493,3001,668,740
2009-06-16$25.49$26.0037.0%10.6%32.9%10.6%36.4%4.6%1.2%18.2M-432.9M-8.9M1.479.5544,75865,9201,497,6261,665,376
2009-06-17$25.07$26.0036.9%10.6%33.4%10.5%36.3%4.6%1.7%2.6M-105.6M-8.8M1.1312.07117,296132,2721,506,5761,704,816
2009-06-18$24.98$25.5036.0%10.3%33.4%9.7%34.8%5.3%2.4%8.8M-111.7M-8.8M0.099.581,563,458147,2861,549,5421,713,162
2009-06-19$24.61$26.0033.8%9.7%32.1%7.8%34.1%4.6%4.2%-39.8M650.1M-9.2M1.539.19124,702191,3141,487,2241,829,940
2009-06-22$23.38$26.0037.2%10.7%37.0%10.8%37.3%5.1%1.2%-15.1M782.3M-8.6M1.448.01111,308160,3741,246,0721,368,174
2009-06-23$23.52$25.5036.2%10.4%36.1%9.9%35.9%4.9%2.0%-23.2M789.1M-8.8M1.088.1772,75478,7901,229,5121,439,768
2009-06-24$23.61$25.5032.8%9.4%36.1%6.8%33.7%4.5%3.7%-26.5M796.3M-8.8M2.107.7754,244114,0381,245,3541,476,114
2009-06-25$24.11$25.5030.6%8.8%34.8%4.8%30.4%4.7%3.8%-24.6M621.1M-9.0M1.2010.0392,952111,7941,246,9221,532,350
2009-06-26$23.95$25.5027.0%8.5%33.9%1.5%30.1%3.8%4.0%-35.2M716.4M-8.9M0.9410.8942,24239,7441,290,1621,576,684
2009-06-29$24.17$25.5043.0%8.5%30.9%16.1%29.8%3.7%2.8%-30.4M603.3M-8.7M1.037.9963,07265,1601,293,1381,588,100
2009-06-30$24.02$25.5028.3%8.1%30.9%1.2%28.6%3.5%3.6%-32.8M649.8M-8.6M1.277.8871,28290,2461,311,5981,601,424