XLE Options History — April 2011

In April 2011, XLE traded between $37.84 and $40.24. ATM implied volatility averaged 20.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.9% (HV 20d: 21.0%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.37.

Notable Days

  • 2011-04-13: Highest Volume — 406,314 contracts
  • 2011-04-11: Largest IV spike — 24.7% change
  • 2011-04-12: Highest IV Rank — 26.6%
  • 2011-04-13: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.25$37.84$40.24$40.01$40.24
Max Pain$39.10$38.50$40.00$38.50$38.50
ATM IV20.1%17.9%23.9%19.5%18.4%
Expected Move5.9%5.1%6.7%5.8%5.3%
HV 20d21.0%17.6%24.6%24.6%20.5%
HV 60d21.0%19.9%22.1%20.2%21.0%
IV Rank15.9%9.7%26.6%14.1%11.0%
IV Percentile24.9%4.8%61.5%19.4%7.5%
Term Structure2.0%1.0%2.8%1.0%2.5%
VWIV21.7%18.0%24.3%20.9%19.5%
Skew 25d3.9%3.4%4.7%3.5%3.5%
Skew 10d8.4%6.5%10.6%6.5%8.1%
Call IV 25d19.0%16.4%21.6%19.0%17.0%
Put IV 25d22.9%20.4%26.2%22.5%20.5%
Bid-Ask Spread %14.647.7032.7914.2420.23
Gamma HHI0.120.080.290.090.08
Net GEX-63.5M-181.8M20.8M12.7M-49.1M
Net DEX120.1M-896.4M1.67B-850.3M-663.9M
Net VEX-14.8M-16.6M-12.6M-12.6M-15.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.884.961.482.17
Total Volume160,610.732,198406,31481,958135,506
Total OI2,659,3452,279,7283,188,0742,279,7282,807,166

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$40.01$38.5019.5%5.8%24.6%14.1%20.9%3.5%1.0%12.7M-850.3M-12.6M1.4814.2433,00048,958803,1641,476,564
2011-04-04$40.02$39.5021.9%6.1%24.3%20.9%22.3%4.1%1.1%20.8M-882.8M-12.6M4.9632.7912,90064,036815,5061,483,856
2011-04-05$40.15$39.5021.1%5.9%24.0%18.6%21.6%3.4%1.3%16.5M-896.4M-12.6M0.8812.4929,76026,196815,4141,530,574
2011-04-06$39.66$39.5020.8%6.2%24.3%17.7%23.7%3.7%1.3%-5.7M-562.1M-13.0M4.3711.3334,780151,922830,0961,537,078
2011-04-07$39.73$39.5018.5%6.2%19.8%11.4%22.7%3.5%1.7%-5.9M-468.2M-13.2M2.4812.1963,448157,356835,1701,659,312
2011-04-08$39.85$40.0019.0%6.3%19.1%12.8%24.1%3.9%2.0%-7.8M-368.9M-13.5M2.9315.0764,544188,926855,7741,748,992
2011-04-11$39.08$40.0023.7%6.6%20.7%25.9%24.3%3.9%1.3%-75.5M432.9M-14.8M3.9313.5837,380147,024898,8821,901,216
2011-04-12$37.84$40.0023.9%6.6%23.8%26.6%24.0%4.7%1.6%-181.8M1.67B-15.4M1.278.92117,656149,558903,5602,018,896
2011-04-13$37.95$39.5020.6%6.7%22.9%17.4%24.1%4.6%1.5%-143.1M1.37B-15.1M2.0613.02132,862273,452953,8421,986,712
2011-04-14$38.28$39.5021.4%6.1%20.0%19.5%22.7%4.5%2.3%-154.8M1.21B-16.3M1.9524.3156,948110,964998,1642,189,910
2011-04-15$38.67$39.0021.3%6.1%19.9%19.3%21.9%4.0%2.0%-75.5M751.9M-16.0M1.237.7074,00891,3681,000,8642,180,810
2011-04-18$38.03$39.0021.4%6.1%17.6%19.4%21.6%4.5%1.8%-100.7M1.15B-16.6M2.4010.2235,82886,018785,5001,770,366
2011-04-19$38.40$39.0019.3%5.5%18.0%13.6%21.1%4.2%2.5%-101.2M899.8M-16.6M3.0912.3329,22690,208803,2241,812,074
2011-04-20$39.36$38.5018.1%5.2%20.1%10.1%19.0%3.8%2.6%-69.1M183.6M-15.9M1.1713.0989,222104,582810,4781,820,930
2011-04-21$39.50$38.5017.9%5.1%20.1%9.7%18.0%3.9%2.8%-59.1M-99.9M-15.6M1.3120.5644,42058,346826,0981,755,060
2011-04-25$39.28$38.5019.1%5.5%20.0%13.2%19.7%4.0%2.4%-71.6M63.2M-15.7M1.498.8012,92219,276831,3461,778,320
2011-04-26$39.70$38.5018.6%5.3%20.3%11.8%22.1%3.7%2.6%-66.3M-156.2M-15.4M2.2313.8041,78893,298824,0021,783,000
2011-04-27$39.64$38.5018.6%5.3%19.8%11.8%21.3%3.5%2.7%-63.0M-209.3M-15.4M2.449.9042,462103,744847,0741,793,380
2011-04-28$39.60$38.5018.9%5.4%19.7%12.5%19.4%3.4%2.2%-90.2M-176.6M-15.4M3.5418.1634,874123,448855,5041,859,022
2011-04-29$40.24$38.5018.4%5.3%20.5%11.0%19.5%3.5%2.5%-49.1M-663.9M-15.1M2.1720.2342,71092,796872,9081,934,258