XLE Options History — November 2009

In November 2009, XLE traded between $27.80 and $29.39. ATM implied volatility averaged 28.5%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.0% (HV 20d: 27.6%). Max pain ranged from $26.50 to $29.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2009-11-19: Highest Volume — 154,520 contracts
  • 2009-11-27: Largest IV spike — 15.2% change
  • 2009-11-02: Highest IV Rank — 16.2%
  • 2009-11-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.69$27.80$29.39$27.80$28.41
Max Pain$27.23$26.50$29.00$29.00$27.50
ATM IV28.5%24.2%34.9%34.9%28.5%
Expected Move8.3%6.8%10.0%10.0%8.2%
HV 20d27.6%20.8%29.5%29.1%20.8%
HV 60d25.0%24.4%25.8%25.7%24.8%
IV Rank7.4%1.2%16.2%16.2%9.0%
IV Percentile15.2%0.8%40.9%40.9%19.0%
Term Structure0.3%-0.2%1.3%0.2%0.2%
VWIV30.0%24.5%38.6%35.0%38.6%
Skew 25d4.7%3.3%6.6%6.6%5.5%
Skew 10d10.1%7.3%13.8%12.8%13.3%
Call IV 25d26.9%22.0%32.6%32.6%26.6%
Put IV 25d31.7%25.3%39.2%39.2%32.2%
Bid-Ask Spread %10.528.0516.9212.5910.78
Gamma HHI0.070.060.090.060.07
Net GEX5.1M-19.5M26.1M-12.1M163.2K
Net DEX-550.8M-1.01B-19.0M-19.0M-359.8M
Net VEX-10.4M-11.7M-9.3M-11.7M-9.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.712.980.771.28
Total Volume92,349.351,276154,520147,556116,154
Total OI3,400,333.43,226,1823,633,1323,290,8603,300,062

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$27.80$29.0034.9%10.0%29.1%16.2%35.0%6.6%0.2%-12.1M-19.0M-11.7M0.7712.5983,19264,3641,356,5241,934,336
2009-11-03$28.16$29.0034.3%9.8%28.3%15.3%34.1%5.9%0.1%-6.5M-206.7M-11.7M1.1216.9251,53457,7741,385,1501,946,550
2009-11-04$28.14$29.0033.2%9.5%28.2%13.8%32.2%5.7%0.4%-6.7M-212.6M-11.6M1.159.8428,41832,7521,387,5481,959,052
2009-11-05$28.61$28.5029.8%8.6%27.4%9.0%30.6%5.1%1.3%2.4M-502.0M-11.2M1.0714.7424,79426,4821,392,7261,962,176
2009-11-06$28.54$26.5028.9%8.7%27.4%7.7%30.8%5.4%0.1%1.4M-466.8M-11.0M2.089.4423,00247,7621,401,7681,968,124
2009-11-09$29.09$26.5027.4%8.4%27.8%5.5%29.9%5.5%0.2%13.5M-823.0M-10.6M1.099.6628,53431,2081,409,8441,987,288
2009-11-10$29.11$26.5026.5%8.3%27.8%4.2%29.5%5.2%0.2%14.6M-837.5M-10.5M0.719.2250,48035,8961,413,1541,994,692
2009-11-11$29.09$26.5026.0%8.2%27.2%3.5%29.2%4.7%-0.2%15.3M-831.1M-10.4M1.598.1142,86868,1421,419,8202,005,994
2009-11-12$28.45$26.5029.4%8.4%27.2%8.5%30.6%4.0%-0.1%-3.2M-375.0M-10.7M1.319.4045,26859,2801,428,0502,044,564
2009-11-13$28.64$26.5028.3%8.1%27.3%6.8%28.6%4.2%0.6%927.8K-495.7M-10.4M1.7614.1219,55834,5081,434,7142,055,140
2009-11-16$29.39$26.5028.2%8.1%28.6%6.6%29.2%4.0%0.1%22.6M-1.01B-10.1M0.959.8445,46643,3101,436,7322,067,324
2009-11-17$29.34$26.5027.9%8.0%28.5%6.2%28.9%4.0%0.1%26.1M-988.1M-10.1M1.019.4034,74634,9601,454,4782,073,294
2009-11-18$29.22$27.0028.1%8.0%28.5%6.5%29.1%3.5%-0.0%22.0M-885.4M-9.9M1.499.3844,66066,6501,459,1362,086,576
2009-11-19$28.57$27.0029.3%8.4%29.5%8.2%30.6%4.2%0.1%-8.2M-411.8M-10.0M2.989.4938,866115,6541,486,3862,119,932
2009-11-20$28.30$27.0027.4%7.9%28.9%5.6%28.3%3.9%0.9%-19.5M-160.1M-9.9M1.888.9451,69697,1081,486,9622,146,170
2009-11-23$28.66$27.0026.2%7.5%28.8%4.5%26.9%4.1%0.6%7.2M-577.2M-9.6M1.6210.7533,17453,7081,305,8781,920,304
2009-11-24$28.83$27.0024.2%6.8%28.7%1.3%24.9%4.6%0.9%12.1M-639.4M-9.4M1.409.5929,97242,0621,305,7941,934,474
2009-11-25$29.05$27.0024.2%6.9%25.9%1.2%24.5%3.3%0.3%18.0M-804.6M-9.3M0.7710.1940,24831,1421,312,2241,945,134
2009-11-27$28.51$27.5027.9%8.0%25.2%7.9%28.5%5.5%0.4%2.9M-413.9M-9.8M2.348.0521,43450,1601,328,8001,949,794
2009-11-30$28.41$27.5028.5%8.2%20.8%9.0%38.6%5.5%0.2%163.2K-359.8M-9.5M1.2810.7850,92465,2301,333,6181,966,444