XLE Options History — December 2009

In December 2009, XLE traded between $27.41 and $28.95. ATM implied volatility averaged 22.7%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.9% (HV 20d: 17.8%). Max pain ranged from $27.50 to $28.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2009-12-17: Highest Volume — 1,188,206 contracts
  • 2009-12-28: Largest IV spike — 17.6% change
  • 2009-12-28: Highest IV Rank — 6.4%
  • 2009-12-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.27$27.41$28.95$28.79$28.50
Max Pain$27.70$27.50$28.00$27.50$28.00
ATM IV22.7%17.5%26.6%26.6%18.0%
Expected Move6.5%5.0%7.6%7.6%5.2%
HV 20d17.8%13.3%21.8%21.2%13.4%
HV 60d23.6%21.4%24.7%24.7%21.4%
IV Rank2.6%0.0%6.4%5.5%1.0%
IV Percentile2.1%0.0%7.1%6.0%0.4%
Term Structure2.8%-0.2%4.9%0.4%4.9%
VWIV24.0%18.6%33.6%33.6%20.1%
Skew 25d4.2%3.0%5.3%5.3%3.6%
Skew 10d8.6%5.9%10.7%10.2%6.8%
Call IV 25d21.2%16.9%24.8%24.5%17.9%
Put IV 25d25.5%20.4%29.9%29.7%21.5%
Bid-Ask Spread %10.165.1967.919.4367.91
Gamma HHI0.110.070.380.070.38
Net GEX-6.7M-58.1M19.4M13.9M-58.1M
Net DEX-164.2M-648.7M316.6M-648.7M-75.8M
Net VEX-8.2M-9.2M-7.5M-9.2M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.055.281.271.62
Total Volume139,459.09127,9761,188,20653,11274,644
Total OI3,311,102.8182,836,4703,718,8983,365,0882,968,516

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$28.79$27.5026.6%7.6%21.2%5.5%33.6%5.3%0.4%13.9M-648.7M-9.2M1.279.4323,44429,6681,362,7962,002,292
2009-12-02$28.61$27.5026.6%7.6%20.9%5.6%27.0%4.7%0.5%8.5M-518.2M-9.1M0.649.8933,97821,7141,367,6982,009,342
2009-12-03$28.16$27.5026.5%7.6%21.8%5.5%27.0%5.1%0.7%-1.4M-293.4M-9.0M0.848.4135,37229,8381,379,6562,017,336
2009-12-04$27.95$27.5026.1%7.5%21.0%4.8%25.9%4.9%-0.2%-3.9M-214.9M-8.9M1.899.8544,81284,6461,390,2782,028,564
2009-12-07$27.89$27.5026.1%7.5%21.0%4.8%25.9%5.0%0.6%-12.8M-97.5M-8.8M0.947.5330,69629,0001,396,7702,066,548
2009-12-08$27.41$27.5026.6%7.6%20.3%6.3%26.6%5.1%0.4%-27.8M221.0M-8.6M1.048.1959,06661,5741,399,1162,067,196
2009-12-09$27.41$27.5024.5%7.3%20.3%2.1%29.7%5.1%0.6%-27.0M214.8M-8.5M5.288.0865,816347,5101,415,5702,073,042
2009-12-10$27.75$27.5025.9%7.4%21.0%5.2%27.1%4.6%2.7%-34.1M69.2M-8.8M1.255.1925,65232,1001,434,7102,222,118
2009-12-11$27.77$27.5024.1%6.9%19.6%1.3%25.2%4.6%4.1%-32.6M32.2M-8.6M1.267.6729,30236,9341,436,4302,207,348
2009-12-14$28.05$27.5023.2%6.7%19.9%0.0%23.0%4.1%4.0%-15.9M-217.5M-8.1M0.556.9142,98023,8061,441,7562,208,514
2009-12-15$28.14$27.5022.7%6.5%17.3%0.0%24.0%4.1%4.2%-3.3M-359.3M-7.9M1.117.8441,54245,9201,451,9522,206,148
2009-12-16$28.32$27.5022.4%6.4%17.5%0.0%22.4%3.9%3.7%4.0M-470.9M-7.9M0.977.4254,86253,3721,459,0422,218,092
2009-12-17$28.08$27.5023.0%6.6%17.7%1.5%30.9%4.0%3.8%-7.8M-241.9M-8.0M0.056.451,126,88861,3181,478,2982,240,600
2009-12-18$28.07$28.0022.2%6.4%15.9%0.0%22.2%3.7%4.4%-3.2M316.6M-7.8M1.227.3068,10483,0221,237,0962,240,848
2009-12-21$28.41$28.0020.3%5.8%16.2%0.0%21.1%4.2%3.9%-6.7M6.5M-7.7M1.326.5837,13848,9501,026,3181,810,152
2009-12-22$28.55$28.0020.0%5.7%15.6%0.0%20.3%3.0%3.8%-2.0M-85.2M-7.8M0.856.9145,76239,0881,043,5041,832,986
2009-12-23$28.77$28.0018.2%5.2%15.7%0.0%20.0%3.6%3.9%7.0M-194.1M-8.1M1.176.2419,01222,2201,071,1561,858,838
2009-12-24$28.91$28.0017.5%5.0%15.5%0.0%18.6%3.4%4.5%13.9M-297.4M-7.9M1.417.7011,71416,5141,073,6361,859,684
2009-12-28$28.95$28.0020.6%5.2%13.9%6.4%18.9%3.2%4.0%19.4M-329.1M-7.6M0.585.9225,05214,6341,074,3561,860,916
2009-12-29$28.77$28.0018.8%5.4%14.1%2.6%19.1%3.5%3.3%13.3M-227.1M-7.5M0.575.5739,66422,7961,075,3161,863,056
2009-12-30$28.73$28.0019.9%5.6%13.3%4.8%19.6%4.5%3.3%9.4M-202.1M-7.6M0.686.4716,68611,2901,091,2781,875,394
2009-12-31$28.50$28.0018.0%5.2%13.4%1.0%20.1%3.6%4.9%-58.1M-75.8M-7.5M1.6267.9128,43846,2061,091,6041,876,912