XLE Options History — July 2009 In July 2009, XLE traded between $22.26 and $25.68. ATM implied volatility averaged 31.5%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.4% (HV 20d: 29.1%). Max pain ranged from $23.00 to $25.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.36.
Notable Days 2009-07-15 : Highest Volume — 218,916 contracts2009-07-06 : Largest IV spike — 15.8% change2009-07-07 : Highest IV Rank — 10.3%2009-07-08 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $24.01 $22.26 $25.68 $24.05 $25.31 Max Pain $23.95 $23.00 $25.50 $25.50 $24.50 ATM IV 31.5% 27.7% 38.1% 27.9% 28.6% Expected Move 9.1% 8.0% 10.9% 8.0% 8.2% HV 20d 29.1% 25.0% 32.5% 28.2% 25.0% HV 60d 34.9% 32.3% 36.0% 35.5% 32.3% IV Rank 4.2% 0.7% 10.3% 0.8% 1.5% IV Percentile 8.2% 0.4% 31.3% 0.4% 2.4% Term Structure 1.3% 0.1% 3.8% 3.8% 1.6% VWIV 32.3% 28.3% 38.6% 28.3% 29.8% Skew 25d 4.4% 3.0% 5.4% 3.7% 3.2% Skew 10d 9.1% 5.3% 10.4% 5.3% 10.0% Call IV 25d 29.8% 25.6% 35.9% 26.3% 27.4% Put IV 25d 34.3% 30.0% 40.9% 30.0% 30.7% Bid-Ask Spread % 9.16 5.24 12.06 7.89 10.47 Gamma HHI 0.08 0.06 0.12 0.09 0.07 Net GEX -10.0M -33.9M 10.6M -15.8M 5.1M Net DEX 461.9M -328.7M 1.32B 578.3M -116.6M Net VEX -8.3M -9.0M -7.8M -8.5M -9.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.66 2.85 1.11 1.42 Total Volume 126,061.182 47,786 218,916 133,688 70,368 Total OI 2,671,666.091 2,266,142 3,081,828 2,553,150 2,623,028
Daily Data (22 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 2009-07-01 $24.05 $25.50 27.9% 8.0% 28.2% 0.8% 28.3% 3.7% 3.8% -15.8M 578.3M -8.5M 1.11 7.89 63,480 70,208 1,198,562 1,354,588 2009-07-02 $23.08 $25.50 30.1% 8.6% 29.5% 2.9% 30.7% 3.0% 3.5% -21.6M 919.9M -8.2M 1.53 11.57 69,272 105,992 1,229,536 1,377,214 2009-07-06 $22.84 $23.50 34.8% 10.2% 29.5% 7.3% 36.0% 5.0% 0.8% -25.9M 1.07B -8.0M 1.27 7.69 70,198 88,880 1,256,732 1,429,254 2009-07-07 $22.26 $23.50 38.1% 10.7% 30.2% 10.3% 38.6% 5.0% 0.8% -25.7M 1.25B -7.8M 2.85 6.27 53,486 152,330 1,271,024 1,447,152 2009-07-08 $22.27 $23.50 37.6% 10.9% 29.7% 9.9% 38.3% 5.0% 0.1% -33.0M 1.32B -8.0M 1.01 8.00 108,824 109,882 1,292,440 1,544,230 2009-07-09 $22.50 $23.50 34.9% 10.5% 29.8% 7.4% 36.4% 5.4% 0.9% -31.4M 1.17B -8.2M 0.83 5.24 68,730 57,090 1,337,906 1,574,638 2009-07-10 $22.34 $23.00 33.8% 10.4% 27.9% 6.4% 35.9% 5.4% 0.8% -33.9M 1.30B -8.1M 0.66 11.19 75,226 49,534 1,357,280 1,588,894 2009-07-13 $22.68 $23.00 36.9% 10.2% 29.3% 9.2% 35.7% 4.9% 1.0% -30.7M 1.13B -8.1M 1.42 6.96 41,508 58,760 1,393,298 1,605,972 2009-07-14 $22.98 $23.00 32.8% 9.8% 29.3% 5.4% 34.1% 4.6% 1.0% -28.7M 984.0M -8.1M 0.74 10.47 69,774 51,590 1,398,804 1,609,478 2009-07-15 $23.80 $23.00 32.7% 9.5% 32.1% 5.3% 34.7% 5.1% 0.9% -13.6M 554.4M -8.4M 1.62 9.39 83,708 135,208 1,413,496 1,615,214 2009-07-16 $24.09 $23.50 32.2% 9.2% 32.2% 4.8% 32.2% 4.5% 1.2% -10.2M 453.5M -8.5M 0.95 9.12 57,680 54,534 1,423,356 1,658,472 2009-07-17 $24.23 $23.50 31.5% 9.0% 32.3% 4.2% 31.3% 4.2% 1.4% 4.6M 337.1M -8.2M 0.79 12.06 66,372 52,454 1,400,192 1,624,626 2009-07-20 $24.64 $23.50 30.0% 8.6% 32.5% 2.8% 30.6% 4.0% 0.9% 1.4M 40.1M -8.1M 1.32 10.35 48,320 63,632 1,038,780 1,227,362 2009-07-21 $24.86 $24.00 28.7% 8.2% 26.4% 1.6% 29.5% 4.6% 1.2% 3.8M -37.3M -8.2M 1.38 8.98 54,548 75,266 1,056,330 1,242,406 2009-07-22 $24.63 $24.00 28.8% 8.3% 26.7% 1.7% 28.7% 4.1% 1.2% -423.9K 95.8M -8.3M 1.22 9.68 38,608 47,136 1,080,706 1,282,164 2009-07-23 $25.33 $24.50 28.2% 8.1% 28.2% 1.2% 29.5% 4.3% 1.2% 5.5M -159.6M -8.4M 1.03 8.38 65,354 67,560 1,088,410 1,297,394 2009-07-24 $25.59 $24.50 27.7% 8.0% 27.6% 0.7% 29.1% 4.7% 1.5% 8.5M -272.1M -8.4M 1.40 8.70 30,224 42,360 1,118,516 1,332,346 2009-07-27 $25.68 $24.50 28.8% 8.2% 27.4% 1.7% 29.3% 4.3% 1.0% 10.6M -328.7M -8.4M 1.59 8.25 18,470 29,316 1,129,726 1,329,346 2009-07-28 $25.30 $24.50 28.5% 8.2% 28.0% 1.5% 29.3% 4.1% 0.9% 6.3M -129.2M -8.3M 1.69 10.55 23,242 39,386 1,132,754 1,338,326 2009-07-29 $24.72 $24.50 30.0% 8.6% 29.3% 2.8% 30.7% 4.0% 1.2% 731.3K 72.4M -8.3M 2.12 9.43 43,034 91,186 1,140,494 1,347,716 2009-07-30 $25.07 $24.50 30.0% 8.6% 29.7% 2.8% 31.2% 4.4% 1.4% 3.7M -70.5M -8.8M 1.98 10.93 37,084 73,532 1,168,798 1,399,694 2009-07-31 $25.31 $24.50 28.6% 8.2% 25.0% 1.5% 29.8% 3.2% 1.6% 5.1M -116.6M -9.0M 1.42 10.47 29,086 41,282 1,185,428 1,437,600
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