XLE Options History — January 2011

In January 2011, XLE traded between $33.90 and $36.58. ATM implied volatility averaged 18.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.8% (HV 20d: 11.8%). Max pain ranged from $32.00 to $35.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2011-01-12: Highest Volume — 270,492 contracts
  • 2011-01-13: Largest IV spike — 29.4% change
  • 2011-01-20: Highest IV Rank — 17.9%
  • 2011-01-20: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.96$33.90$36.58$34.38$36.58
Max Pain$34.60$32.00$35.50$32.00$35.50
ATM IV18.5%14.4%20.8%18.5%19.9%
Expected Move5.5%5.0%6.0%5.3%5.7%
HV 20d11.8%8.1%17.6%8.1%17.6%
HV 60d15.9%15.4%17.2%15.5%17.2%
IV Rank9.8%0.0%17.9%6.8%15.3%
IV Percentile12.2%0.0%29.8%6.7%21.8%
Term Structure1.8%0.9%3.0%2.4%1.8%
VWIV20.3%18.2%23.2%18.9%21.2%
Skew 25d4.0%2.7%5.2%2.9%4.1%
Skew 10d9.0%5.7%12.1%6.3%8.7%
Call IV 25d17.7%16.0%19.3%17.8%18.4%
Put IV 25d21.7%19.3%24.3%20.7%22.5%
Bid-Ask Spread %13.498.4922.9519.4216.92
Gamma HHI0.150.070.420.190.07
Net GEX13.7M-19.2M62.2M23.9M3.2M
Net DEX-1.09B-1.74B-283.6M-1.20B-1.02B
Net VEX-6.5M-7.9M-5.8M-5.8M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.343.290.771.96
Total Volume123,43934,012270,49254,618258,842
Total OI2,054,041.81,276,5362,558,6822,079,1161,659,460

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$34.38$32.0018.5%5.3%8.1%6.8%18.9%2.9%2.4%23.9M-1.20B-5.8M0.7719.4230,92223,696735,4481,343,668
2011-01-04$34.09$32.0018.7%5.4%8.9%7.3%19.9%3.0%3.0%18.7M-991.6M-6.2M0.7919.7951,01040,324736,7561,355,962
2011-01-05$34.22$32.0017.9%5.1%8.7%4.9%18.2%2.7%2.8%22.5M-1.12B-5.9M1.6222.0817,65028,512750,3261,378,488
2011-01-06$33.90$32.0018.1%5.2%9.4%5.6%19.6%2.9%2.7%18.5M-914.0M-6.3M1.5422.9519,69030,336765,5101,393,668
2011-01-07$34.14$34.5016.8%5.8%9.6%1.8%20.8%4.1%1.3%27.1M-1.07B-6.3M1.5310.4913,42820,584775,9221,411,780
2011-01-10$34.01$34.5017.3%5.8%9.7%3.2%21.1%4.5%1.2%28.6M-1.05B-6.0M2.019.3621,42843,116780,6901,423,576
2011-01-11$34.57$34.5015.9%5.2%10.8%0.0%19.6%3.8%2.4%32.0M-1.38B-5.8M1.279.3660,44277,038783,1441,444,118
2011-01-12$35.05$34.5014.4%5.1%11.3%0.0%18.6%3.7%2.2%32.5M-1.60B-5.8M3.298.4963,016207,476810,3261,491,080
2011-01-13$34.95$35.5018.7%5.4%11.1%11.9%19.8%3.8%1.9%28.5M-1.45B-6.5M2.159.1831,73868,308846,6801,555,274
2011-01-14$35.33$35.5018.0%5.2%11.4%10.0%19.2%3.5%1.7%9.5M-1.52B-6.5M1.329.3721,07027,744841,5501,594,200
2011-01-18$35.55$35.5019.3%5.5%11.1%13.5%20.0%4.0%1.5%4.5M-1.74B-5.8M0.798.5151,69840,806833,3061,589,032
2011-01-19$35.12$35.5020.5%5.9%12.4%17.1%23.2%4.9%1.0%14.9M-1.53B-6.2M0.7610.2891,47469,664858,2321,601,602
2011-01-20$34.87$35.5020.8%6.0%12.6%17.9%21.7%5.0%0.9%19.4M-1.42B-6.5M0.648.55120,46677,070896,9361,626,370
2011-01-21$35.05$35.5020.7%5.9%12.6%17.6%21.2%5.2%1.0%62.2M-1.53B-6.7M0.349.0874,54225,668912,7301,645,952
2011-01-24$35.18$35.5018.9%5.4%12.6%12.6%19.8%4.8%1.1%-9.6M-367.6M-6.5M2.969.7828,21083,598502,022774,514
2011-01-25$35.08$35.5018.9%5.4%12.6%12.4%21.3%5.2%1.7%-17.1M-283.6M-6.7M1.3518.0766,16889,552519,642820,424
2011-01-26$35.92$35.5017.5%5.0%14.7%8.6%19.7%3.7%1.7%-9.9M-632.4M-7.0M2.4818.9157,184141,980567,454884,610
2011-01-27$35.71$35.5019.3%5.5%14.8%13.5%19.8%4.2%1.2%-19.2M-561.3M-7.2M0.799.9572,35857,502596,870959,388
2011-01-28$35.55$35.5020.2%5.8%15.0%16.0%21.8%4.7%1.4%-17.2M-505.7M-7.9M2.0219.2854,538109,932643,346970,780
2011-01-31$36.58$35.5019.9%5.7%17.6%15.3%21.2%4.1%1.8%3.2M-1.02B-7.7M1.9616.9287,516171,326678,310981,150