XLE Options History — August 2009

In August 2009, XLE traded between $24.54 and $26.51. ATM implied volatility averaged 29.4%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.4% (HV 20d: 24.0%). Max pain ranged from $24.50 to $25.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2009-08-24: Highest Volume — 150,342 contracts
  • 2009-08-17: Largest IV spike — 13.0% change
  • 2009-08-17: Highest IV Rank — 5.0%
  • 2009-08-17: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.64$24.54$26.51$25.96$25.59
Max Pain$24.95$24.50$25.50$24.50$25.50
ATM IV29.4%27.6%32.4%31.2%30.6%
Expected Move8.6%8.0%9.3%8.9%8.8%
HV 20d24.0%21.6%26.0%25.4%23.2%
HV 60d29.5%26.8%32.6%32.6%27.1%
IV Rank2.3%0.6%5.0%3.9%3.4%
IV Percentile5.9%0.4%13.9%7.9%12.7%
Term Structure0.5%-0.3%1.8%0.4%0.4%
VWIV30.5%28.1%33.0%32.8%30.8%
Skew 25d4.7%3.8%5.7%4.3%4.9%
Skew 10d9.8%8.5%11.4%9.3%10.7%
Call IV 25d27.6%26.0%30.0%29.6%27.9%
Put IV 25d32.3%30.8%35.7%33.9%32.8%
Bid-Ask Spread %7.524.0622.3611.227.34
Gamma HHI0.080.070.100.070.09
Net GEX4.9M-11.4M16.5M11.0M-10.9M
Net DEX-195.3M-627.6M341.2M-428.9M50.3M
Net VEX-9.0M-9.8M-8.3M-9.1M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.703.371.482.95
Total Volume94,152.57145,824150,342115,226101,162
Total OI2,773,107.2382,487,3143,043,5742,650,9422,752,810

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$25.96$24.5031.2%8.9%25.4%3.9%32.8%4.3%0.4%11.0M-428.9M-9.1M1.4811.2246,50068,7261,195,9701,454,972
2009-08-04$25.91$24.5030.3%8.7%22.6%3.1%31.4%3.8%0.8%10.6M-407.4M-9.1M1.659.1226,79844,2241,210,5061,480,168
2009-08-05$25.66$24.5029.8%8.5%23.3%2.6%29.8%4.6%1.4%9.1M-290.6M-9.0M1.3322.3654,74272,8781,220,1981,492,986
2009-08-06$25.45$24.5029.3%8.4%23.9%2.2%29.9%4.3%1.8%5.6M-157.0M-9.3M2.099.3018,03037,7161,244,2581,526,212
2009-08-07$25.41$25.0028.1%8.8%23.6%1.0%30.1%4.6%0.4%4.9M-155.7M-9.2M1.005.8322,96822,8561,245,2841,545,616
2009-08-10$25.52$25.0028.1%8.7%23.3%1.0%29.9%4.6%-0.0%8.9M-249.2M-8.9M1.325.2923,08430,3681,251,9261,549,886
2009-08-11$25.16$25.0028.3%8.9%24.3%1.3%30.9%4.6%0.5%804.6K2.0M-8.9M1.496.1824,77236,8121,253,3801,558,250
2009-08-12$25.43$25.0027.6%8.6%21.6%0.6%30.1%5.0%0.4%5.5M-143.8M-8.9M3.376.6326,11088,0261,256,5681,557,520
2009-08-13$25.73$25.0029.6%8.5%21.6%2.5%30.0%4.6%0.2%8.1M-310.0M-8.7M1.165.8724,33228,3281,259,9181,594,916
2009-08-14$25.36$25.0028.6%8.2%22.5%1.5%29.1%4.5%0.9%6.6M-137.2M-8.5M1.506.3331,97648,1201,264,1701,583,798
2009-08-17$24.54$25.0032.4%9.3%25.0%5.0%33.0%5.7%0.0%-11.4M341.2M-8.4M1.426.6561,06286,6101,267,9481,591,824
2009-08-18$24.78$25.0030.2%8.7%25.1%3.0%30.9%4.9%0.4%-5.6M181.9M-8.3M0.706.5864,45645,4121,271,9101,612,652
2009-08-19$25.24$24.5030.6%8.8%25.7%3.4%31.7%4.9%0.4%5.8M-90.7M-8.4M1.205.3455,24666,2821,288,1101,623,862
2009-08-20$25.45$24.5029.4%8.4%23.8%2.2%30.0%5.3%0.2%13.3M-228.3M-8.9M1.294.0643,77456,4521,313,8061,646,946
2009-08-21$26.18$25.0029.2%8.4%25.6%2.1%29.6%4.5%-0.3%16.5M-627.6M-9.8M0.835.9543,56836,0241,343,3681,700,206
2009-08-24$26.51$25.0028.4%8.0%25.9%1.3%28.1%4.8%0.7%10.3M-439.7M-8.9M1.025.3374,47675,8661,146,3601,340,954
2009-08-25$26.11$25.0029.1%8.3%26.0%2.0%29.8%5.2%0.4%9.9M-297.3M-9.1M2.105.9632,65468,7141,205,3361,376,234
2009-08-26$26.23$25.5029.1%8.4%24.2%2.0%30.2%4.5%0.3%5.7M-283.6M-9.2M2.926.4124,54271,5581,198,0021,416,092
2009-08-27$26.14$25.5028.5%8.2%24.0%1.4%29.2%4.9%1.1%1.8M-252.5M-9.2M1.238.0857,26470,6341,207,1681,460,136
2009-08-28$26.09$25.5029.0%8.3%23.8%1.9%32.2%4.7%0.9%-3.4M-178.1M-9.5M2.008.0321,38242,7001,218,2201,506,806
2009-08-31$25.59$25.5030.6%8.8%23.2%3.4%30.8%4.9%0.4%-10.9M50.3M-9.4M2.957.3425,59675,5661,221,1681,531,642