XLE Options History — May 2013

In May 2013, XLE traded between $38.49 and $41.70. ATM implied volatility averaged 16.6%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.0% (HV 20d: 17.6%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2013-05-17: Highest Volume — 177,504 contracts
  • 2013-05-02: Largest IV drop — 22.4% change
  • 2013-05-01: Highest IV Rank — 25.3%
  • 2013-05-31: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.52$38.49$41.70$38.49$40.18
Max Pain$39.66$38.00$40.00$38.00$40.00
ATM IV16.6%13.7%22.7%22.7%19.4%
Expected Move4.9%4.4%5.6%5.1%5.6%
HV 20d17.6%13.4%22.5%21.0%16.1%
HV 60d16.9%16.1%17.5%16.8%16.8%
IV Rank10.8%3.8%25.3%25.3%17.4%
IV Percentile29.7%4.0%80.2%80.2%65.9%
Term Structure0.1%-0.5%1.6%0.4%-0.5%
VWIV18.1%17.0%20.4%18.8%20.1%
Skew 25d3.6%2.7%4.4%4.4%4.2%
Skew 10d7.3%4.9%10.4%10.1%10.4%
Call IV 25d15.6%13.8%18.0%16.0%18.0%
Put IV 25d19.2%17.1%22.2%20.4%22.2%
Bid-Ask Spread %27.116.9185.4919.0085.49
Gamma HHI0.070.060.090.060.06
Net GEX20.4M-45.7M43.5M-45.7M10.7M
Net DEX-403.0M-766.2M515.9M515.9M139.4M
Net VEX-8.5M-9.2M-8.0M-8.3M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.613.181.883.18
Total Volume78,805.63626,754177,50476,84283,308
Total OI1,787,825.0911,557,5181,955,0861,719,6021,801,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$38.49$38.0022.7%5.1%21.0%25.3%18.8%4.4%0.4%-45.7M515.9M-8.3M1.8819.0026,70250,140667,7861,051,816
2013-05-02$38.99$38.0017.6%4.8%21.5%13.1%18.1%4.1%0.8%-15.7M194.8M-8.2M1.3616.7926,09235,460677,8981,041,056
2013-05-03$39.74$38.0015.6%4.4%22.5%8.3%17.2%3.3%1.6%4.1M-210.3M-8.4M1.6343.2341,89468,232689,8241,066,892
2013-05-06$40.01$40.0016.5%4.7%22.4%10.5%17.2%4.0%-0.0%12.3M-302.9M-8.2M0.6115.3136,01222,126689,4741,083,280
2013-05-07$40.31$40.0016.3%4.6%22.4%9.9%17.4%4.0%0.0%32.1M-538.1M-8.0M0.9813.2941,48840,536707,1941,094,566
2013-05-08$40.39$40.0013.9%4.7%22.4%4.3%17.5%3.8%-0.0%31.8M-583.4M-8.1M0.9415.3146,08243,384717,6221,118,756
2013-05-09$40.33$40.0014.8%4.7%22.4%6.4%17.7%3.5%-0.0%19.8M-506.9M-8.6M1.7914.9827,87049,814740,7401,142,570
2013-05-10$40.16$40.0014.0%4.8%21.5%4.6%17.9%3.8%0.1%2.9M-437.3M-8.4M2.1954.0523,81652,156749,3821,143,436
2013-05-13$40.13$40.0015.4%4.8%15.7%7.9%18.1%3.6%0.2%17.4M-413.3M-8.3M1.7816.079,63017,124745,9041,141,700
2013-05-14$40.70$40.0014.9%4.8%16.0%6.7%17.7%3.3%-0.0%40.0M-733.7M-8.2M1.0214.8320,53020,914751,0821,148,200
2013-05-15$40.65$40.0013.7%4.8%13.4%3.8%18.8%3.4%0.1%43.5M-685.8M-8.2M0.6916.4439,34227,000756,5301,155,314
2013-05-16$40.38$40.0016.7%4.8%13.9%11.0%20.4%3.3%0.3%34.7M-570.5M-8.2M0.7015.3265,74245,988761,8401,154,496
2013-05-17$41.08$39.5016.3%4.7%14.5%10.1%18.6%3.0%0.4%36.4M-766.2M-8.4M1.2963.0777,494100,010771,3561,183,730
2013-05-20$41.67$39.5015.9%4.6%14.8%9.0%17.0%2.7%0.1%41.3M-723.0M-8.3M1.2213.8453,95065,776667,818889,700
2013-05-21$41.70$40.0016.5%4.7%14.6%10.5%17.1%2.8%0.2%36.2M-689.6M-8.3M0.8860.9228,95625,500689,224950,762
2013-05-22$41.12$40.0017.1%4.9%15.7%11.9%17.7%3.1%0.2%27.3M-464.2M-8.8M1.0716.0547,82851,358706,162962,138
2013-05-23$41.02$40.0017.3%5.0%15.8%12.5%18.6%3.4%0.1%19.9M-390.5M-9.1M1.6818.3530,32650,804718,918979,412
2013-05-24$40.92$40.0017.1%4.9%15.7%12.0%18.0%3.4%0.1%9.7M-309.2M-9.2M1.5650.2921,41033,424730,3241,004,754
2013-05-28$41.22$39.5017.8%5.1%15.6%13.6%18.5%3.7%-0.3%31.8M-494.4M-9.0M1.416.9130,77043,418730,024998,020
2013-05-29$41.20$40.0018.1%5.2%15.6%14.3%18.5%3.8%-0.4%30.0M-468.9M-9.1M1.2913.4129,84638,546748,8521,017,346
2013-05-30$41.10$40.0017.9%5.1%13.8%13.9%18.1%3.9%-0.2%27.8M-426.9M-9.0M1.7413.6115,65827,268752,1601,032,978
2013-05-31$40.18$40.0019.4%5.6%16.1%17.4%20.1%4.2%-0.5%10.7M139.4M-9.0M3.1885.4919,94063,368756,2981,044,818