XLE Options History — July 2011

In July 2011, XLE traded between $37.40 and $39.87. ATM implied volatility averaged 22.7%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.0% (HV 20d: 21.6%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2011-07-26: Highest Volume — 441,324 contracts
  • 2011-07-11: Largest IV spike — 35.2% change
  • 2011-07-29: Highest IV Rank — 100.0%
  • 2011-07-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.53$37.40$39.87$37.77$38.23
Max Pain$37.58$36.00$39.00$36.50$39.00
ATM IV22.7%16.9%31.6%17.3%31.6%
Expected Move6.6%5.1%8.0%5.1%8.0%
HV 20d21.6%19.5%24.1%24.1%19.7%
HV 60d22.2%21.5%22.8%22.6%21.5%
IV Rank49.6%13.6%100.0%13.6%100.0%
IV Percentile54.5%2.8%100.0%3.2%100.0%
Term Structure1.1%-0.7%2.0%1.8%-0.6%
VWIV23.7%19.4%28.3%19.4%28.3%
Skew 25d4.4%2.1%6.3%2.1%6.3%
Skew 10d9.3%4.8%11.6%4.8%11.1%
Call IV 25d21.2%17.5%25.5%17.5%25.5%
Put IV 25d25.6%19.6%31.8%19.6%31.8%
Bid-Ask Spread %19.5214.6730.8417.0521.31
Gamma HHI0.100.060.370.080.06
Net GEX29.7M-25.7M179.7M33.1M-19.1M
Net DEX-70.9M-803.2M626.9M-128.2M626.9M
Net VEX-15.0M-16.8M-14.1M-15.1M-15.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.065.401.052.16
Total Volume148,526.249,646441,32488,162168,142
Total OI2,900,543.22,628,8343,284,5182,762,0403,173,872

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$37.77$36.5017.3%5.1%24.1%13.6%19.4%2.1%1.8%33.1M-128.2M-15.1M1.0517.0543,07245,0901,216,5041,545,536
2011-07-05$38.34$36.0022.9%6.0%23.2%44.2%21.9%3.9%1.5%45.4M-321.4M-14.6M1.1017.8223,59026,0561,209,1001,548,650
2011-07-06$38.18$36.0019.3%6.2%23.3%29.6%22.7%4.2%1.4%42.5M-230.0M-14.5M2.0814.6719,56840,7061,211,3901,555,508
2011-07-07$38.66$36.0018.0%6.1%23.6%22.0%22.9%3.7%1.5%72.1M-725.2M-14.4M1.3515.8760,54281,4401,246,1381,593,132
2011-07-08$38.45$36.5016.9%6.0%23.3%15.4%22.1%3.9%1.6%73.1M-400.6M-14.8M2.4616.4629,14671,7201,280,9101,643,920
2011-07-11$37.62$37.0022.9%6.7%23.4%52.1%24.4%4.5%1.1%15.7M406.4M-14.4M2.9316.0621,99464,4681,255,8281,634,138
2011-07-12$37.40$37.0023.3%6.8%22.8%54.1%24.3%4.8%1.2%-1.1M594.7M-14.2M1.1917.9740,13247,8901,259,1301,644,272
2011-07-13$37.64$37.0021.2%6.7%21.6%41.7%23.8%4.7%1.6%11.9M413.1M-14.3M1.3516.1239,47053,2781,260,4181,655,368
2011-07-14$37.58$37.0024.4%7.0%19.5%61.3%24.6%5.0%1.2%9.3M447.4M-14.1M1.0029.71108,204107,9201,275,7421,665,028
2011-07-15$38.49$37.5023.2%6.6%21.0%53.8%23.5%4.7%1.4%179.7M-362.6M-14.7M0.4716.04168,66278,4281,300,3541,687,046
2011-07-18$38.23$37.5024.6%7.0%21.0%62.3%24.9%5.2%1.2%16.8M121.5M-15.0M5.4017.0626,136141,1001,170,8981,457,936
2011-07-19$39.00$38.0021.9%6.3%21.8%46.0%23.7%4.7%2.0%16.2M-137.7M-15.0M0.4730.7691,05242,7381,141,1721,521,270
2011-07-20$38.94$38.0022.0%6.3%21.3%46.2%22.9%4.4%1.9%22.6M-124.5M-15.1M1.0117.3026,49626,7081,212,3001,535,304
2011-07-21$39.73$38.0021.7%6.2%21.9%44.5%22.3%3.5%1.9%43.9M-688.0M-15.0M1.2420.5571,75089,3101,223,9841,539,012
2011-07-22$39.87$38.5022.2%6.4%21.2%47.8%23.3%4.3%1.3%37.1M-803.2M-15.3M2.5919.4173,126189,4781,261,8721,602,016
2011-07-25$39.75$39.0023.9%6.9%19.8%58.4%24.7%4.4%0.8%14.4M-533.0M-15.7M5.3019.2323,834126,4401,282,6561,718,124
2011-07-26$39.45$39.0023.6%6.8%20.4%56.1%24.2%4.4%0.5%-1.5M-272.4M-15.6M0.0630.84416,74624,5781,275,4741,735,684
2011-07-27$38.74$39.0025.5%7.3%20.0%68.1%24.6%4.7%0.1%7.5M161.7M-16.8M1.1618.0167,53278,3341,533,9841,750,534
2011-07-28$38.61$39.0026.7%7.6%19.8%75.2%26.4%5.0%-0.7%-25.7M537.6M-15.7M1.8818.0740,12275,5261,395,6601,791,000
2011-07-29$38.23$39.0031.6%8.0%19.7%100.0%28.3%6.3%-0.6%-19.1M626.9M-15.6M2.1621.3153,230114,9121,413,8141,760,058