XLE Options History — September 2010

In September 2010, XLE traded between $26.55 and $28.03. ATM implied volatility averaged 22.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.7% (HV 20d: 22.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2010-09-16: Highest Volume — 1,318,578 contracts
  • 2010-09-27: Largest IV spike — 15.0% change
  • 2010-09-28: Highest IV Rank — 30.3%
  • 2010-09-07: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.55$28.03$26.55$28.03
Max Pain$26.98$26.00$28.00$28.00$27.00
ATM IV22.7%20.9%27.1%24.2%22.1%
Expected Move6.3%5.9%6.9%6.9%6.3%
HV 20d22.0%14.9%25.2%24.1%14.9%
HV 60d23.0%20.5%25.9%25.9%20.5%
IV Rank16.9%11.3%30.3%21.2%14.9%
IV Percentile30.5%17.9%64.3%36.1%26.6%
Term Structure2.2%0.7%3.8%0.7%1.2%
VWIV22.9%21.0%25.9%25.2%22.6%
Skew 25d4.3%3.1%5.1%5.0%3.1%
Skew 10d9.3%7.1%13.3%10.6%7.4%
Call IV 25d20.5%19.2%22.2%22.2%20.8%
Put IV 25d24.8%22.6%27.2%27.2%23.8%
Bid-Ask Spread %11.627.9415.8712.129.11
Gamma HHI0.080.070.110.090.07
Net GEX281.2K-28.4M15.4M-9.3M14.8M
Net DEX133.9M-278.7M611.9M542.7M-278.7M
Net VEX-8.7M-9.1M-8.2M-9.0M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.119.020.350.69
Total Volume139,350.76225,6401,318,57865,540100,996
Total OI2,442,185.2381,970,9382,888,0562,497,0942,222,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$26.55$28.0024.2%6.9%24.1%21.2%25.2%5.0%0.7%-9.3M542.7M-9.0M0.3512.1248,61616,9241,183,5701,313,524
2010-09-02$26.77$28.0022.7%6.5%24.3%16.9%25.9%4.8%1.8%-3.1M397.9M-9.1M2.4213.4516,72840,4041,209,6001,319,320
2010-09-03$27.10$28.0021.4%6.1%24.6%12.9%22.8%3.9%1.5%-1.8M183.7M-9.1M1.0112.0935,87236,1881,212,1921,344,788
2010-09-07$26.70$28.0024.2%6.9%25.0%21.4%22.3%4.3%1.1%-2.5M470.5M-8.7M0.7211.5914,87210,7681,230,6381,351,392
2010-09-08$26.93$28.0023.0%6.5%25.2%17.8%24.3%4.5%1.5%1.4M299.0M-8.8M0.638.8227,35417,1921,236,5021,350,992
2010-09-09$26.98$26.0023.4%6.7%22.7%18.9%24.4%5.0%3.3%5.5M274.8M-8.7M9.0211.1121,514193,9541,250,0561,359,512
2010-09-10$27.26$26.0022.2%6.4%22.9%15.4%23.0%4.8%3.4%-28.4M119.3M-8.9M0.858.6420,93017,7721,261,8881,523,834
2010-09-13$27.48$26.5022.7%6.5%23.0%16.7%24.7%4.4%3.0%-9.3M-139.2M-8.5M2.277.9411,11225,2301,265,6561,529,292
2010-09-14$27.39$26.5022.2%6.4%23.1%15.3%23.7%4.5%3.3%-13.2M-55.6M-8.5M0.249.8167,52416,1721,265,7561,535,106
2010-09-15$27.33$26.5022.4%6.4%22.4%16.0%23.6%4.6%2.9%-405.0K-37.1M-8.4M1.6511.6738,21463,0561,302,4761,534,094
2010-09-16$27.20$26.5021.9%6.3%22.1%14.4%21.5%4.2%3.8%2.2M65.9M-8.2M0.1113.391,185,912132,6661,306,8281,581,228
2010-09-17$26.95$26.5021.5%6.2%21.6%13.1%22.8%5.1%3.6%-7.3M611.9M-8.2M1.7614.3535,41862,4821,205,2201,674,086
2010-09-20$27.40$26.5020.9%6.0%21.7%11.3%21.1%4.5%2.3%9.4M52.0M-8.4M0.3815.8769,65426,176965,5921,005,346
2010-09-21$27.42$26.5021.0%6.0%21.7%11.5%21.6%4.5%1.8%11.0M57.5M-8.4M1.6814.3933,42255,992980,6321,020,986
2010-09-22$27.22$27.0022.0%6.3%20.9%14.7%22.3%4.2%2.2%2.0M188.2M-8.5M5.3213.0321,690115,362975,3261,058,098
2010-09-23$27.05$27.0022.4%6.4%21.1%15.8%22.3%4.7%2.0%-3.9M311.6M-8.7M1.1614.7030,61835,444983,9121,127,970
2010-09-24$27.64$27.0021.1%6.0%21.6%11.9%21.2%3.5%2.4%8.7M-14.3M-9.0M0.9610.0828,20626,976999,2521,139,340
2010-09-27$27.53$27.0024.3%6.3%20.2%21.5%22.5%3.9%1.2%6.5M55.5M-8.8M1.249.8320,42425,4101,000,6021,146,498
2010-09-28$27.73$27.0027.1%5.9%19.2%30.3%21.0%3.4%2.4%8.1M-36.8M-8.7M0.7910.8730,01623,570997,3061,150,634
2010-09-29$28.02$27.0024.6%6.3%19.1%22.4%22.3%3.7%1.5%15.4M-257.5M-8.9M0.6411.1076,50849,0281,013,9521,150,236
2010-09-30$28.03$27.0022.1%6.3%14.9%14.9%22.6%3.1%1.2%14.8M-278.7M-9.1M0.699.1159,87441,1221,049,6521,173,006