XLE Options History — May 2010

In May 2010, XLE traded between $25.93 and $30.30. ATM implied volatility averaged 33.5%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.9% (HV 20d: 29.5%). Max pain ranged from $28.50 to $29.50. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.75.

Notable Days

  • 2010-05-21: Highest Volume — 253,964 contracts
  • 2010-05-20: Largest IV spike — 28.3% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$25.93$30.30$30.30$26.52
Max Pain$28.95$28.50$29.50$29.50$28.50
ATM IV33.5%24.7%44.3%24.7%31.9%
Expected Move9.5%7.1%12.7%7.1%9.2%
HV 20d29.5%19.7%35.9%19.7%35.9%
HV 60d22.1%17.8%25.9%17.8%25.9%
IV Rank61.9%29.1%100.0%29.1%54.5%
IV Percentile80.7%32.9%100.0%32.9%81.7%
Term Structure-0.6%-3.1%0.5%0.5%-1.0%
VWIV33.8%25.7%43.7%25.7%33.1%
Skew 25d8.6%4.4%15.9%4.4%8.5%
Skew 10d19.4%9.4%37.0%9.4%17.2%
Call IV 25d29.7%23.4%37.0%23.4%28.3%
Put IV 25d38.3%27.8%52.9%27.8%36.8%
Bid-Ask Spread %11.687.9920.8410.2011.98
Gamma HHI0.090.070.130.090.10
Net GEX-32.8M-67.3M15.2M15.2M-47.2M
Net DEX880.5M-507.6M1.72B-507.6M1.34B
Net VEX-11.7M-12.8M-10.1M-12.4M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.524.570.524.57
Total Volume110,138.541,680253,96461,44087,742
Total OI2,580,764.92,392,1842,798,5402,392,1842,535,684

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$30.30$29.5024.7%7.1%19.7%29.1%25.7%4.4%0.5%15.2M-507.6M-12.4M0.5210.2040,52620,9141,022,3621,369,822
2010-05-04$29.48$29.5029.3%8.4%22.1%46.9%28.9%6.0%-0.7%943.1K-85.3M-12.6M0.7912.6386,78268,3501,040,8861,358,448
2010-05-05$29.02$29.5030.3%8.7%22.5%51.1%30.5%5.9%-0.0%-6.6M194.8M-12.7M1.459.2056,93482,4101,087,3701,382,556
2010-05-06$28.02$29.5035.6%10.2%25.5%71.5%36.2%5.2%-3.1%-26.4M745.7M-12.6M1.5120.8469,908105,7681,105,0141,422,326
2010-05-07$27.50$29.0041.5%10.8%25.6%94.2%36.6%9.1%-0.1%-29.5M980.3M-12.4M1.0713.9880,99486,5301,121,2121,445,044
2010-05-10$28.67$29.0032.4%8.8%30.3%59.2%29.9%8.7%0.1%-19.3M482.6M-12.8M0.6413.8462,57240,0961,147,4481,479,196
2010-05-11$28.48$29.0030.5%8.8%30.4%51.8%29.7%8.3%-0.3%-22.8M547.1M-12.5M0.9112.9938,62035,2761,166,5581,460,498
2010-05-12$28.88$29.0026.9%7.9%30.6%37.6%29.5%7.4%0.1%-15.1M313.4M-12.4M2.078.6513,57228,1081,171,0341,467,794
2010-05-13$28.69$29.0028.7%8.2%30.6%44.8%28.1%7.1%-0.1%-21.5M429.7M-12.2M0.9110.2726,88424,5841,169,1421,465,592
2010-05-14$28.12$29.0031.6%9.1%30.9%55.8%32.4%8.6%-0.2%-35.2M793.2M-12.0M2.0212.1231,50463,7201,177,1781,472,302
2010-05-17$27.83$29.0031.9%9.1%30.9%57.0%34.7%8.2%0.4%-47.5M992.5M-11.8M2.379.6923,72656,1621,186,7721,505,434
2010-05-18$27.61$29.0035.4%10.2%29.8%70.7%36.2%9.9%-1.5%-47.3M1.06B-11.7M1.8610.5624,66445,9841,193,4141,509,798
2010-05-19$27.30$29.0034.5%9.9%29.8%67.3%33.7%10.3%-0.3%-58.3M1.27B-11.5M0.7210.3739,43028,5281,195,4841,528,628
2010-05-20$26.08$29.0044.3%12.7%33.0%100.0%43.7%15.9%-1.7%-48.0M1.72B-10.6M4.3113.6538,278165,0661,204,6021,524,664
2010-05-21$26.54$28.5039.4%11.3%32.2%82.1%41.7%12.8%-0.5%-67.3M1.64B-10.9M3.2612.0359,556194,4081,214,9481,583,592
2010-05-24$25.93$28.5038.8%11.3%32.6%79.7%39.5%10.9%-1.2%-39.7M1.47B-10.4M2.2710.2835,13879,7921,008,1061,418,498
2010-05-25$25.99$28.5036.9%10.6%31.7%72.8%38.8%9.7%-0.2%-45.2M1.51B-10.3M1.347.9951,08468,2361,008,9441,441,288
2010-05-26$25.93$28.5034.9%9.9%31.1%65.3%37.0%8.4%-1.4%-47.5M1.56B-10.1M1.5611.1231,43048,8941,035,5461,464,662
2010-05-27$27.04$28.5029.7%8.5%35.6%46.1%30.1%7.4%-0.4%-48.2M1.15B-10.8M0.9111.1631,66628,9341,048,1621,475,290
2010-05-28$26.52$28.5031.9%9.2%35.9%54.5%33.1%8.5%-1.0%-47.2M1.34B-10.5M4.5711.9815,75271,9901,063,5661,472,118