XLE Options History — October 2010

In October 2010, XLE traded between $28.05 and $29.79. ATM implied volatility averaged 20.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.9% (HV 20d: 16.1%). Max pain ranged from $27.50 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 1.17.

Notable Days

  • 2010-10-22: Highest Volume — 164,700 contracts
  • 2010-10-14: Largest IV spike — 19.3% change
  • 2010-10-29: Highest IV Rank — 17.3%
  • 2010-10-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.29$28.05$29.79$28.41$29.62
Max Pain$28.55$27.50$29.50$27.50$29.50
ATM IV20.9%18.6%22.9%20.1%22.9%
Expected Move6.2%5.8%6.7%5.8%6.6%
HV 20d16.1%15.0%17.3%15.3%15.0%
HV 60d20.1%18.8%21.3%20.5%18.8%
IV Rank11.5%4.5%17.3%8.8%17.3%
IV Percentile22.5%4.8%44.0%12.7%44.0%
Term Structure2.1%1.0%3.1%2.0%1.0%
VWIV22.3%20.2%24.7%20.7%23.3%
Skew 25d3.9%3.0%5.0%3.0%3.6%
Skew 10d8.6%6.7%11.6%6.7%7.9%
Call IV 25d20.1%18.2%21.5%19.4%21.4%
Put IV 25d24.0%22.2%26.5%22.4%25.0%
Bid-Ask Spread %30.278.0153.6012.3653.60
Gamma HHI0.070.070.080.080.08
Net GEX26.4M15.5M36.1M23.0M19.3M
Net DEX-913.7M-1.23B-325.9M-476.7M-924.2M
Net VEX-9.7M-10.0M-9.1M-9.1M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.264.020.781.19
Total Volume87,205.42938,898164,700107,99696,338
Total OI2,339,0622,065,1662,470,7222,065,1662,462,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$28.41$27.5020.1%5.8%15.3%8.8%20.7%3.0%2.0%23.0M-476.7M-9.1M0.7812.3660,75247,244986,1101,079,056
2010-10-04$28.05$27.5022.3%6.7%15.8%15.7%23.6%5.0%2.2%20.1M-325.9M-9.3M0.8410.2842,65435,6921,028,9241,105,008
2010-10-05$28.71$27.5021.5%6.5%16.3%13.1%23.1%4.7%2.5%26.5M-684.3M-9.4M0.7811.3084,45065,9021,045,5621,126,536
2010-10-06$28.96$28.0020.1%6.4%16.3%9.0%22.7%4.3%2.5%28.7M-821.3M-9.7M0.688.0157,99039,2701,088,1321,172,658
2010-10-07$28.82$28.0020.2%6.4%16.6%9.1%24.7%4.4%2.6%30.8M-790.5M-9.9M1.4810.7432,85648,6501,115,3281,193,222
2010-10-08$29.18$28.0019.7%6.4%16.7%7.7%23.0%3.9%3.1%32.0M-976.2M-9.9M1.719.9344,28475,6761,124,0981,207,486
2010-10-11$29.26$28.0020.5%6.3%16.6%10.0%23.5%4.0%2.7%32.4M-1.04B-9.9M1.0711.1035,60038,0201,151,9841,235,360
2010-10-12$29.21$28.0020.4%6.5%16.5%9.8%23.4%3.9%1.9%31.7M-981.0M-9.8M1.4712.2138,81856,9581,158,0661,243,012
2010-10-13$29.57$28.5018.6%6.2%16.7%4.5%22.5%4.0%1.8%33.5M-1.20B-9.7M1.2322.3069,10484,8861,162,5501,271,822
2010-10-14$29.52$28.5022.2%6.4%16.5%15.4%23.2%4.3%1.8%32.1M-1.20B-9.7M0.4838.2626,93612,9981,167,3421,294,186
2010-10-15$29.61$28.5021.3%6.1%15.7%12.5%21.4%4.2%2.2%28.3M-1.23B-9.6M0.7738.0865,14450,0501,171,4121,298,434
2010-10-18$29.68$29.0020.5%5.9%15.1%10.1%20.5%4.1%2.1%21.5M-1.01B-9.5M1.0742.2519,42620,7061,069,1921,171,176
2010-10-19$29.09$29.0021.4%6.1%17.3%13.0%21.3%4.0%2.1%15.5M-640.4M-9.8M1.1040.1733,50236,9081,088,7681,184,974
2010-10-20$29.47$29.0020.3%5.8%17.2%9.6%20.2%3.7%2.5%20.6M-847.9M-9.7M0.2652.7460,01015,7901,100,0201,193,708
2010-10-21$29.45$29.0021.1%6.1%16.9%12.1%21.8%3.8%1.9%23.9M-882.1M-9.8M1.3240.1416,78622,1121,132,6221,199,096
2010-10-22$29.65$29.0020.5%5.9%15.6%10.1%20.5%3.1%2.0%27.5M-1.04B-9.6M0.7145.0496,07268,6281,139,2061,209,496
2010-10-25$29.73$29.0021.4%6.1%15.4%12.9%21.8%3.3%1.6%36.1M-1.15B-10.0M1.2249.4422,55227,6121,223,9261,246,796
2010-10-26$29.79$29.0020.6%5.9%15.4%10.5%21.8%3.6%1.8%26.4M-1.08B-9.5M1.2830.9127,04234,7501,151,8461,248,872
2010-10-27$29.66$29.5021.8%6.2%15.4%13.9%22.6%3.6%1.9%23.2M-967.6M-9.9M4.0250.0314,08056,5841,157,9381,269,392
2010-10-28$29.60$29.5022.4%6.4%15.5%15.8%23.0%3.3%1.8%20.4M-921.8M-10.0M1.1946.8222,13826,3441,160,2101,284,606
2010-10-29$29.62$29.5022.9%6.6%15.0%17.3%23.3%3.6%1.0%19.3M-924.2M-9.9M1.1953.6044,01052,3281,167,7861,294,384