XLE Options History — September 2009

In September 2009, XLE traded between $24.95 and $27.95. ATM implied volatility averaged 29.0%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.8% (HV 20d: 23.2%). Max pain ranged from $25.50 to $27.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2009-09-17: Highest Volume — 1,038,074 contracts
  • 2009-09-28: Largest IV spike — 13.9% change
  • 2009-09-02: Highest IV Rank — 4.8%
  • 2009-09-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.74$24.95$27.95$25.14$26.96
Max Pain$26.26$25.50$27.00$25.50$27.00
ATM IV29.0%27.1%32.2%31.8%28.5%
Expected Move8.3%7.8%9.2%9.1%8.2%
HV 20d23.2%20.6%26.2%24.0%20.6%
HV 60d25.6%22.9%27.6%27.3%22.9%
IV Rank1.9%0.2%4.8%4.5%1.4%
IV Percentile8.0%0.4%21.0%14.7%8.3%
Term Structure1.7%0.9%2.8%1.2%2.0%
VWIV29.7%28.0%33.9%33.9%29.2%
Skew 25d5.0%4.4%5.4%5.1%5.4%
Skew 10d10.0%8.3%12.1%11.5%12.1%
Call IV 25d27.0%25.2%30.2%29.9%26.9%
Put IV 25d32.0%30.6%35.4%34.9%32.2%
Bid-Ask Spread %10.266.9032.807.0223.79
Gamma HHI0.090.050.130.100.06
Net GEX-930.4K-19.5M30.9M-18.2M-11.8M
Net DEX-284.0M-1.18B384.3M310.7M-74.1M
Net VEX-9.7M-10.4M-9.0M-9.6M-10.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.123.172.973.17
Total Volume173,539.8146,9841,038,074191,652362,324
Total OI2,862,629.1432,479,3123,121,7502,801,0422,806,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$25.14$25.5031.8%9.1%24.0%4.5%33.9%5.1%1.2%-18.2M310.7M-9.6M2.977.0248,306143,3461,227,0421,574,000
2009-09-02$24.95$25.5032.2%9.2%23.9%4.8%33.1%5.2%0.9%-19.5M384.3M-9.7M1.866.9032,71260,8121,238,7441,601,648
2009-09-03$25.13$25.5031.2%8.9%23.9%3.9%31.1%5.3%1.6%-18.3M299.6M-9.9M2.317.1629,95669,0661,256,4401,626,022
2009-09-04$25.48$25.5028.4%8.1%24.4%1.3%29.0%4.8%1.9%-15.3M115.7M-9.9M1.688.1334,97058,8901,272,7321,645,310
2009-09-08$26.18$25.5027.2%8.3%26.2%0.2%30.0%4.8%1.1%-3.3M-248.8M-9.7M1.128.6422,18424,8001,282,1441,668,704
2009-09-09$26.24$25.5027.1%8.5%25.5%0.2%30.2%5.0%2.5%-1.0M-309.5M-9.5M1.008.9344,60244,8141,283,5101,664,306
2009-09-10$26.70$25.5028.7%8.2%25.9%1.6%29.8%4.9%2.5%9.0M-547.2M-9.5M1.178.5775,83089,0421,301,5161,678,466
2009-09-11$26.80$26.0027.9%8.0%25.7%0.8%28.4%4.9%2.8%11.6M-599.1M-9.6M0.757.87109,26481,7521,339,6061,728,988
2009-09-14$27.00$26.0028.0%8.0%25.0%1.0%28.9%4.9%2.7%10.9M-660.4M-9.3M1.639.4231,56851,3581,330,7941,744,570
2009-09-15$27.27$26.0027.3%7.8%21.1%0.3%28.6%4.9%2.4%21.5M-833.4M-9.1M1.428.3949,31270,0921,330,5781,756,458
2009-09-16$27.95$26.0027.7%7.9%22.1%0.7%29.6%4.5%1.6%30.9M-1.18B-9.0M1.139.1264,50872,6981,340,4601,772,792
2009-09-17$27.81$26.5028.6%8.2%21.9%1.5%29.7%4.4%1.7%28.2M-1.08B-9.1M0.128.82925,512112,5621,330,9901,790,760
2009-09-18$27.59$26.5029.6%8.5%22.3%2.5%30.2%5.1%1.3%12.5M-332.4M-9.5M1.8632.8047,56488,4761,126,1861,837,772
2009-09-21$27.36$27.0028.8%8.3%20.9%1.7%29.9%4.8%1.2%-5.2M-251.2M-9.5M1.576.9742,19266,2401,015,9301,463,382
2009-09-22$27.79$27.0028.3%8.1%21.1%1.3%29.1%4.9%1.0%-867.0K-425.0M-9.8M1.169.1556,15265,3061,044,7401,493,226
2009-09-23$27.20$27.0028.5%8.2%21.8%1.4%28.0%4.7%1.8%-6.9M-210.0M-10.0M1.339.7465,83887,7761,078,3341,528,540
2009-09-24$26.82$27.0028.5%8.2%22.5%1.4%28.6%5.3%1.8%-13.8M19.3M-10.3M2.538.9644,834113,3481,110,4041,570,080
2009-09-25$26.78$27.0027.5%8.4%22.5%0.5%30.3%5.2%1.6%-14.2M26.4M-10.4M2.898.1232,14692,8641,125,7221,598,188
2009-09-28$27.21$27.0031.3%8.2%23.1%4.0%28.1%5.2%1.5%-7.2M-209.6M-10.2M1.219.9527,02032,7901,138,1041,619,378
2009-09-29$27.14$27.0031.3%8.0%21.7%4.0%28.0%5.4%1.6%-8.6M-161.2M-10.1M2.206.9922,32449,1861,150,3121,622,104
2009-09-30$26.96$27.0028.5%8.2%20.6%1.4%29.2%5.4%2.0%-11.8M-74.1M-10.2M3.1723.7986,880275,4441,159,6441,646,586