XLE Options History — May 2011

In May 2011, XLE traded between $36.62 and $39.73. ATM implied volatility averaged 24.8%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.6% (HV 20d: 23.2%). Max pain ranged from $37.50 to $39.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2011-05-13: Highest Volume — 629,634 contracts
  • 2011-05-06: Largest IV drop — 11.5% change
  • 2011-05-05: Highest IV Rank — 45.6%
  • 2011-05-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$36.62$39.73$39.73$38.55
Max Pain$38.10$37.50$39.00$39.00$37.50
ATM IV24.8%20.8%30.7%23.6%20.8%
Expected Move6.8%6.0%7.8%6.1%6.0%
HV 20d23.2%21.0%25.2%21.0%22.6%
HV 60d22.7%21.2%23.2%21.2%22.4%
IV Rank29.0%17.8%45.6%25.6%17.8%
IV Percentile64.4%32.1%88.1%59.1%32.1%
Term Structure0.2%-0.6%1.1%1.1%0.1%
VWIV24.4%20.9%27.0%20.9%21.8%
Skew 25d4.3%3.1%5.3%3.1%3.6%
Skew 10d9.3%6.6%11.6%6.6%8.7%
Call IV 25d22.1%19.4%25.3%19.9%19.6%
Put IV 25d26.4%23.0%29.9%23.0%23.2%
Bid-Ask Spread %11.296.0031.359.549.10
Gamma HHI0.100.070.130.090.08
Net GEX-113.4M-187.8M-16.8M-81.5M-16.8M
Net DEX1.15B-600.7M2.60B-205.8M-600.7M
Net VEX-17.4M-18.5M-15.3M-15.3M-17.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.804.311.021.25
Total Volume248,783.8152,480629,634125,40852,480
Total OI3,309,384.6672,791,5683,855,7462,791,5683,336,574

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$39.73$39.0023.6%6.1%21.0%25.6%20.9%3.1%1.1%-81.5M-205.8M-15.3M1.029.5462,06263,346870,5281,921,040
2011-05-03$38.70$39.0025.8%6.7%22.9%31.8%23.0%3.9%0.4%-124.4M641.5M-16.2M1.8510.13111,218205,794912,0121,932,792
2011-05-04$38.02$39.0027.7%6.6%23.5%37.2%23.0%3.4%1.1%-156.6M1.38B-16.7M1.626.37144,498233,746943,9262,045,428
2011-05-05$37.23$38.5030.7%7.8%24.2%45.6%26.5%4.6%-0.1%-152.6M2.02B-17.3M3.6111.9285,208307,4061,016,5602,140,604
2011-05-06$37.40$38.0027.2%7.2%24.3%35.7%25.8%5.3%0.1%-141.9M1.81B-17.0M1.5611.36134,090209,2461,048,1802,092,758
2011-05-09$38.05$38.0026.7%6.8%25.2%34.3%24.9%4.4%0.1%-123.7M1.06B-16.9M1.5017.2264,06695,9681,088,1082,119,914
2011-05-10$38.23$38.0026.2%6.6%24.5%32.8%23.4%3.9%0.1%-110.6M777.3M-16.5M3.476.2434,398119,3741,060,0742,062,232
2011-05-11$37.13$38.0025.9%7.3%24.0%32.0%26.5%4.3%-0.1%-145.4M1.87B-16.2M1.328.77126,190166,0261,070,7142,053,206
2011-05-12$37.08$38.0025.4%7.3%24.0%30.7%27.0%4.5%0.0%-147.1M1.82B-16.8M1.5710.4295,318149,7401,149,6082,119,092
2011-05-13$36.90$38.0025.7%7.4%23.7%31.5%26.3%4.8%-0.0%-140.6M2.07B-16.9M1.0416.12308,440321,1941,187,9202,194,674
2011-05-16$36.62$38.0026.6%7.6%23.4%33.9%26.8%4.9%-0.6%-168.2M2.45B-18.2M2.656.8780,630213,5681,413,5022,344,216
2011-05-17$36.62$38.0025.4%7.3%22.8%30.8%26.6%5.0%-0.1%-187.8M2.60B-18.5M4.3112.4965,026280,4081,456,5182,399,228
2011-05-18$37.35$38.0023.8%6.8%23.8%26.4%24.8%4.5%0.1%-149.0M1.50B-18.5M0.8031.35185,962148,7541,459,3302,303,478
2011-05-19$37.36$38.0023.2%6.7%21.7%24.6%24.5%4.4%0.3%-144.0M1.32B-18.4M1.247.4655,85669,2101,501,6082,255,016
2011-05-20$37.22$38.0023.6%6.8%21.6%25.7%24.5%5.2%0.2%-125.3M1.52B-18.1M1.2519.2498,000122,5361,519,0342,254,880
2011-05-23$36.73$38.0024.9%7.1%21.9%29.3%25.2%4.8%-0.2%-82.2M1.34B-17.9M1.7412.8463,226109,8401,262,7761,891,252
2011-05-24$37.21$38.0023.5%6.7%22.1%25.4%23.5%4.5%-0.1%-72.2M870.7M-18.0M1.496.0045,44467,5401,287,0761,923,078
2011-05-25$37.86$38.0021.8%6.2%23.3%20.5%23.5%3.8%0.4%-51.3M257.4M-18.1M1.256.17111,828140,1261,311,0581,907,410
2011-05-26$38.08$37.5021.2%6.1%23.4%19.0%22.4%4.7%0.2%-29.1M-121.1M-18.4M1.117.9432,51235,9481,371,1761,935,046
2011-05-27$38.20$37.5020.9%6.0%22.6%18.2%21.7%3.7%0.0%-30.8M-197.8M-18.3M1.509.5783,270124,9681,386,5621,948,890
2011-05-31$38.55$37.5020.8%6.0%22.6%17.8%21.8%3.6%0.1%-16.8M-600.7M-17.6M1.259.1023,31629,1641,400,6101,935,964