XLE Options History — August 2010

In August 2010, XLE traded between $25.39 and $28.16. ATM implied volatility averaged 25.7%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.1% (HV 20d: 21.6%). Max pain ranged from $26.50 to $28.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.68.

Notable Days

  • 2010-08-25: Highest Volume — 123,712 contracts
  • 2010-08-11: Largest IV spike — 18.9% change
  • 2010-08-12: Highest IV Rank — 35.7%
  • 2010-08-12: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.77$25.39$28.16$27.86$25.60
Max Pain$27.43$26.50$28.00$26.50$28.00
ATM IV25.7%21.3%28.9%22.2%27.5%
Expected Move7.5%6.3%8.3%6.4%7.9%
HV 20d21.6%19.6%24.3%23.4%19.6%
HV 60d29.7%25.0%32.8%32.8%25.0%
IV Rank25.9%12.5%35.7%15.4%31.3%
IV Percentile48.4%21.8%72.6%24.2%61.9%
Term Structure0.8%-0.2%2.4%2.4%0.6%
VWIV26.7%22.3%29.9%24.0%28.7%
Skew 25d6.1%4.1%7.2%4.3%6.7%
Skew 10d13.9%9.3%18.6%10.0%13.3%
Call IV 25d23.6%20.0%25.9%20.9%24.4%
Put IV 25d29.7%24.3%32.9%25.2%31.1%
Bid-Ask Spread %9.786.0815.916.0815.91
Gamma HHI0.090.070.200.090.09
Net GEX-17.6M-46.9M9.0M7.7M-21.3M
Net DEX554.3M-244.6M1.19B-125.7M1.05B
Net VEX-9.5M-10.7M-8.2M-10.7M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.143.481.290.14
Total Volume64,066.36424,590123,712101,076107,958
Total OI2,441,371.3642,235,2762,573,0322,390,4402,411,044

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$27.86$26.5022.2%6.4%23.4%15.4%24.0%4.3%2.4%7.7M-125.7M-10.7M1.296.0844,15056,9261,088,9241,301,516
2010-08-03$27.85$26.5022.2%6.4%23.5%15.3%23.2%4.7%2.1%7.0M-131.6M-10.7M1.219.4013,95416,9321,091,3161,297,510
2010-08-04$28.07$26.5022.1%6.4%20.8%15.2%22.3%4.7%2.2%9.0M-241.6M-10.5M1.829.8024,95845,4921,088,4301,295,802
2010-08-05$28.16$27.0022.0%6.3%20.5%14.7%24.0%4.1%2.4%3.9M-244.6M-10.7M2.649.2115,87241,9241,104,4501,330,706
2010-08-06$27.82$27.5021.3%7.0%21.2%12.5%25.8%6.2%0.6%-559.7K-36.1M-10.6M1.988.5321,65042,8601,099,5781,354,936
2010-08-09$27.93$27.5021.6%7.0%21.1%13.4%25.3%6.1%0.6%221.9K-102.4M-10.5M3.457.0310,29035,4661,103,7941,372,000
2010-08-10$27.70$27.5022.5%7.2%21.2%16.2%24.9%6.3%0.4%-2.0M37.1M-10.4M1.769.0114,65025,7801,106,6681,373,152
2010-08-11$26.88$27.5026.7%8.0%24.1%29.1%29.0%7.2%0.3%-19.3M569.2M-10.0M1.739.8042,51273,3581,110,9221,379,498
2010-08-12$26.72$27.5028.9%8.3%24.3%35.7%29.3%7.2%0.1%-25.7M704.0M-10.0M1.389.9116,74423,1461,125,0381,411,470
2010-08-13$26.68$27.5028.6%8.2%22.5%34.8%28.0%7.1%0.5%-28.4M725.5M-9.8M3.428.0514,30248,9401,124,1101,409,830
2010-08-16$26.67$27.5028.8%8.2%22.4%35.2%29.7%7.0%0.1%-30.1M725.1M-9.7M1.569.189,62014,9701,129,3541,412,532
2010-08-17$27.11$27.5026.3%7.6%21.8%27.9%26.9%6.2%0.4%-15.7M457.6M-9.7M1.958.7312,91225,1921,136,9541,426,508
2010-08-18$26.86$27.5026.2%7.5%21.2%27.5%27.6%5.8%0.6%-28.7M648.1M-9.3M3.4811.9111,53240,1261,135,3481,392,034
2010-08-19$26.42$27.5028.2%8.1%20.5%33.5%29.8%6.7%0.4%-46.9M909.9M-9.2M1.288.2042,85054,7881,136,6341,410,444
2010-08-20$26.09$27.5027.4%7.8%20.9%31.0%27.5%6.7%0.4%-46.1M1.08B-8.8M1.607.8124,97039,8921,150,3621,422,670
2010-08-23$26.11$27.5026.7%7.6%20.5%28.8%26.0%5.9%0.4%-26.8M913.9M-8.6M0.978.6524,08823,296996,4761,238,800
2010-08-24$25.70$27.5028.7%8.3%21.1%35.0%27.1%7.1%-0.2%-27.8M1.07B-8.4M0.409.6245,52018,3821,005,6561,256,698
2010-08-25$25.62$27.5027.4%7.8%21.1%31.1%27.8%6.4%0.1%-26.5M1.09B-8.3M1.2110.2656,00267,7101,030,2821,261,848
2010-08-26$25.39$28.0027.5%7.9%21.1%31.4%29.9%6.5%0.7%-25.8M1.19B-8.2M1.0213.0034,93235,7621,072,4321,296,534
2010-08-27$26.05$28.0025.2%7.2%23.5%24.4%24.2%6.2%1.2%-20.2M861.0M-8.7M0.6512.8734,49022,2901,096,1381,321,090
2010-08-30$25.67$28.0027.4%7.9%19.7%31.1%26.6%6.0%1.1%-22.2M1.06B-8.2M2.1212.1910,33621,9361,098,7361,301,946
2010-08-31$25.60$28.0027.5%7.9%19.6%31.3%28.7%6.7%0.6%-21.3M1.05B-8.3M0.1415.9194,44813,5101,097,9261,313,118