XLE Options History — April 2010

In April 2010, XLE traded between $29.27 and $31.05. ATM implied volatility averaged 19.7%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.0% (HV 20d: 17.6%). Max pain ranged from $28.50 to $29.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-04-28: Highest Volume — 186,828 contracts
  • 2010-04-15: Largest IV spike — 15.1% change
  • 2010-04-30: Highest IV Rank — 32.5%
  • 2010-04-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.04$29.27$31.05$29.27$29.95
Max Pain$29.14$28.50$29.50$28.50$29.50
ATM IV19.7%17.2%25.6%17.2%25.6%
Expected Move5.9%4.9%7.3%4.9%7.3%
HV 20d17.6%15.9%20.4%17.1%20.3%
HV 60d20.3%19.7%20.8%20.4%19.8%
IV Rank9.7%0.0%32.5%0.0%32.5%
IV Percentile9.8%0.0%36.5%0.0%36.5%
Term Structure2.1%1.0%9.2%3.3%1.0%
VWIV21.1%18.0%25.6%18.0%25.6%
Skew 25d3.6%2.0%5.3%2.0%5.3%
Skew 10d8.1%4.0%16.0%4.0%10.0%
Call IV 25d19.4%17.2%23.6%17.2%23.6%
Put IV 25d22.9%19.3%28.9%19.3%28.9%
Bid-Ask Spread %14.256.7399.3212.4217.41
Gamma HHI0.100.080.150.090.08
Net GEX25.8M4.1M50.0M19.8M10.5M
Net DEX-608.0M-977.8M-231.3M-282.1M-336.7M
Net VEX-11.2M-12.6M-10.7M-11.0M-12.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.163.300.771.00
Total Volume107,970.76257,276186,82899,09275,818
Total OI2,214,306.4762,031,7062,429,6082,044,0502,370,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$29.27$28.5017.2%4.9%17.1%0.0%18.0%2.0%3.3%19.8M-282.1M-11.0M0.7712.4256,09243,000880,8761,163,174
2010-04-05$29.79$28.5019.0%5.8%17.0%6.5%20.3%3.8%1.5%33.1M-636.6M-10.7M0.637.7753,78034,076909,2781,173,564
2010-04-06$29.79$28.5019.2%5.9%17.0%7.7%20.3%4.0%1.0%37.8M-669.9M-10.9M0.627.2283,79651,760940,8241,182,916
2010-04-07$29.50$29.0019.4%6.1%17.4%8.4%21.8%4.0%1.2%31.8M-448.0M-11.1M1.509.1455,49483,044970,7781,210,712
2010-04-08$29.60$29.0019.1%6.1%17.2%7.1%20.6%3.7%1.3%37.7M-536.7M-11.0M0.637.5385,53654,056970,7781,210,712
2010-04-09$29.91$29.0017.4%5.9%17.6%0.9%21.1%3.7%1.2%41.4M-755.3M-11.1M0.977.0750,45249,0141,009,1261,268,396
2010-04-12$29.98$29.0018.8%5.9%17.6%6.2%20.4%3.8%1.4%46.0M-835.1M-10.8M3.306.7326,85288,5181,010,6041,273,410
2010-04-13$29.88$29.0017.4%6.0%17.1%1.1%21.9%3.5%1.4%37.2M-672.4M-11.0M1.978.2629,13657,5041,016,9301,323,090
2010-04-14$30.16$29.0017.5%5.9%17.2%1.3%20.8%3.6%1.3%34.3M-887.7M-10.8M0.636.9966,97642,4901,018,3781,327,512
2010-04-15$30.16$29.0020.2%5.8%16.8%11.1%20.5%3.5%1.5%50.0M-977.8M-10.9M0.7510.5749,39237,0741,057,3801,334,958
2010-04-16$29.65$29.0020.9%6.0%17.1%14.5%22.8%3.9%1.8%8.9M-597.3M-11.2M1.6914.4748,16681,6381,075,1361,354,472
2010-04-19$29.69$29.0020.1%5.8%15.9%11.3%20.5%3.2%1.9%4.1M-231.3M-11.0M0.8012.3556,64445,534842,9241,188,782
2010-04-20$30.27$29.5017.9%5.1%17.0%2.7%19.2%3.2%3.6%14.6M-527.9M-11.0M0.8912.5250,52244,720853,5001,206,008
2010-04-21$30.24$29.5019.3%5.5%17.1%8.2%19.4%2.9%1.9%12.7M-486.6M-11.0M0.548.8346,12024,846868,0681,232,046
2010-04-22$30.32$29.5018.4%5.3%16.8%4.8%19.4%2.6%2.2%14.8M-537.9M-11.1M0.6213.0135,40021,876895,6681,243,768
2010-04-23$31.05$29.5019.0%5.5%16.5%7.3%19.1%3.4%1.9%25.5M-924.0M-10.8M0.408.3364,78826,102891,9901,245,274
2010-04-26$30.94$29.5019.9%5.7%16.7%10.5%20.0%3.2%1.7%32.6M-942.2M-10.8M0.168.28111,04817,502928,9501,257,304
2010-04-27$29.99$29.5021.2%6.1%20.2%15.8%24.2%2.0%9.2%13.4M-375.6M-11.8M0.8599.3254,82646,498951,1641,261,332
2010-04-28$30.30$29.5023.3%6.7%20.4%23.9%24.7%4.8%1.6%17.8M-559.9M-11.6M1.429.6277,256109,572961,2781,278,208
2010-04-29$30.33$29.5022.8%6.5%20.4%21.7%23.5%4.5%2.0%17.3M-547.7M-12.3M0.7011.3576,92253,546996,4761,344,182
2010-04-30$29.95$29.5025.6%7.3%20.3%32.5%25.6%5.3%1.0%10.5M-336.7M-12.6M1.0017.4137,96437,8541,020,4321,350,078