5 Interesting Stats on the Energy Select Sector SPDR ETF (XLE)

The Energy Select Sector SPDR ETF (XLE) is crumbling in step with the broader equities market

Jan 20, 2016 at 3:11 PM
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Wall Street is in panic mode today, as oil pans 12-year lows on continued oversupply fears. Specifically, February crude futures -- which expired this afternoon -- settled down 6.7% at $26.55 per barrel, after earlier hitting their lowest point since May 2003. Echoing this negative price action is the Energy Select Sector SPDR ETF (NYSEARCA:XLE), which was last seen off 4.2% at $50.97. With all eyes on oil, Schaeffer's Quantitative Analyst Chris Prybal -- who recently offered up some interesting stock market indicators at extremes -- highlighted five interesting facts about the exchange-traded fund (ETF) that tracks S&P 500 Index (SPX) stocks in the energy sector.

  1. The XLE's all-time high of $101.52 -- hit in June 2014 -- is roughly five times the ETF's all-time low of $19.38, tagged in July 2002.

  2. 150120xle1

  3. The ETF's 2008 peak near $90 was followed by a 50% retracement to $45 in short order.

  4. 150120xle2

  5. XLE's 2014 peak around $100 has been followed by a quick 50% retracement, last seen at $50.78.

  6. 150120xle3

  7. Per the chart below -- courtesy of amCharts -- the XLE's 5% out-of-the-money put/call skew has plummeted to levels last seen in 2011.

  8. 150120xle4

  9. XLE's Schaeffer's put/call open interest ratio (SOIR) of 0.70 sits in the lowest percentile of its annual range, indicating short-term speculators are more call-heavy now than at any other point in the past year. Meanwhile, the ETF's 10-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) put/call volume ratio of 0.61 sits lower than 98% of all similar readings taken in the last 12 months. In other words, puts have rarely been bought to open over calls at a slower pace over the previous 52 weeks.

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