XLE Options History — January 2013

In January 2013, XLE traded between $36.43 and $39.02. ATM implied volatility averaged 14.7%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 5.0% (HV 20d: 19.7%). Max pain ranged from $35.75 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2013-01-18: Highest Volume — 201,532 contracts
  • 2013-01-28: Largest IV spike — 25.5% change
  • 2013-01-30: Highest IV Rank — 14.4%
  • 2013-01-07: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.45$36.43$39.02$36.51$38.73
Max Pain$36.57$35.75$37.50$36.00$37.50
ATM IV14.7%12.1%18.2%16.1%15.6%
Expected Move4.2%3.7%4.7%4.3%4.3%
HV 20d19.7%10.6%21.8%21.3%10.6%
HV 60d18.5%17.5%19.5%19.5%17.5%
IV Rank3.9%0.0%14.4%4.2%8.2%
IV Percentile3.8%0.0%31.0%2.8%7.9%
Term Structure2.0%1.5%2.4%1.8%1.6%
VWIV15.3%13.5%16.9%16.1%16.6%
Skew 25d2.6%2.1%3.1%2.7%2.9%
Skew 10d5.7%4.3%7.5%7.5%6.6%
Call IV 25d13.5%11.9%15.0%14.0%13.7%
Put IV 25d16.1%14.3%18.0%16.7%16.6%
Bid-Ask Spread %19.0511.6725.1213.8522.96
Gamma HHI0.120.080.340.080.08
Net GEX41.0M5.6M99.4M25.6M10.4M
Net DEX-508.5M-1.07B-81.0M-189.9M-648.8M
Net VEX-4.7M-5.8M-4.2M-4.7M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.273.821.741.40
Total Volume89,394.76246,438201,532116,05681,846
Total OI1,403,750.857934,6721,685,5041,441,0221,272,482

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$36.51$36.0016.1%4.3%21.3%4.2%16.1%2.7%1.8%25.6M-189.9M-4.7M1.7413.8542,38473,672614,730826,292
2013-01-03$36.49$36.0015.2%4.2%21.2%2.0%14.7%2.1%1.9%28.4M-237.0M-4.6M1.2811.6735,40045,192626,616851,084
2013-01-04$36.91$35.7513.4%4.5%21.4%0.0%16.9%2.9%1.6%53.6M-492.2M-4.5M1.9217.3027,26052,210643,580869,780
2013-01-07$36.59$35.7515.7%4.7%21.7%5.6%16.1%3.1%1.9%26.9M-223.0M-4.5M1.3812.7555,60076,818630,888861,870
2013-01-08$36.52$36.0015.1%4.6%21.7%4.1%16.6%2.9%1.9%19.2M-158.9M-4.6M2.6312.1420,48853,976663,364911,502
2013-01-09$36.43$36.0013.3%4.5%21.7%0.0%16.2%3.0%2.1%5.6M-81.0M-4.6M0.9117.6231,33828,496664,858923,160
2013-01-10$36.80$36.0015.6%4.5%21.8%5.5%15.0%2.9%2.1%55.1M-438.5M-4.7M0.6815.8128,62619,544688,636938,942
2013-01-11$36.80$36.0015.2%4.3%21.8%4.5%16.3%2.8%2.3%86.1M-493.1M-4.6M2.6218.5112,82433,614708,548942,724
2013-01-14$36.76$36.0015.4%4.4%21.5%5.1%16.5%2.8%1.9%66.2M-444.4M-4.4M1.7919.1619,23434,496700,290921,446
2013-01-15$36.98$36.0014.6%4.2%21.5%3.1%15.7%2.6%2.4%70.8M-558.2M-4.4M0.7621.4130,59023,262702,398942,178
2013-01-16$37.10$36.0014.7%4.2%21.3%3.3%14.8%2.6%2.2%75.9M-631.5M-4.4M0.2721.7957,70615,416704,364953,900
2013-01-17$37.41$36.2514.2%4.1%20.6%2.1%14.3%2.5%2.3%99.4M-873.4M-4.3M0.4319.46100,75443,528706,296949,104
2013-01-18$37.64$36.2513.4%3.8%20.4%0.2%13.5%2.5%2.1%92.1M-1.07B-4.2M1.2623.6488,980112,552718,854966,650
2013-01-22$38.11$37.5013.1%3.8%20.6%0.0%14.2%2.6%2.1%22.3M-485.0M-4.4M1.5222.1842,59464,632410,474524,198
2013-01-23$37.98$37.5012.8%3.7%19.6%0.0%13.8%2.4%2.0%18.5M-442.0M-4.8M2.6419.5316,82444,426435,530563,422
2013-01-24$38.10$37.5013.3%3.8%19.2%1.2%14.5%2.4%2.0%15.2M-501.8M-4.8M2.1123.4636,25676,430443,336590,782
2013-01-25$38.45$37.5012.1%3.7%19.1%0.0%14.0%2.1%2.2%21.3M-605.6M-4.9M3.8225.1218,94272,418466,130627,462
2013-01-28$38.41$37.5015.2%4.0%19.0%7.4%15.1%2.5%1.8%19.3M-574.7M-5.0M1.9320.0418,21835,154470,894660,036
2013-01-29$39.02$37.5016.4%3.9%15.5%10.3%14.3%2.4%1.8%29.6M-824.3M-4.8M0.6021.5570,46642,202478,940677,986
2013-01-30$38.74$37.5018.2%4.3%12.3%14.4%15.8%2.9%1.5%19.5M-700.2M-5.5M1.7820.1933,45459,468521,470703,572
2013-01-31$38.73$37.5015.6%4.3%10.6%8.2%16.6%2.9%1.6%10.4M-648.8M-5.8M1.4022.9634,09447,752536,144736,338