XLE Options History — June 2013

In June 2013, XLE traded between $38.51 and $40.75. ATM implied volatility averaged 19.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.5% (HV 20d: 18.1%). Max pain ranged from $39.50 to $40.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2013-06-20: Highest Volume — 290,966 contracts
  • 2013-06-20: Largest IV spike — 22.6% change
  • 2013-06-12: Highest IV Rank — 25.2%
  • 2013-06-24: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.86$38.51$40.75$40.64$39.19
Max Pain$40.02$39.50$40.50$40.00$39.50
ATM IV19.7%16.8%22.6%19.1%16.8%
Expected Move5.5%5.0%6.2%5.5%5.2%
HV 20d18.1%15.3%21.0%15.3%19.5%
HV 60d18.1%16.9%19.3%16.9%18.9%
IV Rank18.1%11.1%25.2%16.6%11.1%
IV Percentile68.0%32.5%88.9%65.1%32.5%
Term Structure0.6%-1.0%1.6%-0.5%1.2%
VWIV20.4%18.2%22.8%21.4%18.2%
Skew 25d4.6%3.7%5.3%4.7%3.7%
Skew 10d9.8%7.8%12.6%10.9%8.2%
Call IV 25d17.6%16.1%19.7%16.9%16.3%
Put IV 25d22.2%20.0%24.7%21.6%20.0%
Bid-Ask Spread %19.2212.2851.5916.8947.38
Gamma HHI0.080.060.150.070.07
Net GEX-2.1M-55.6M50.5M14.2M-35.3M
Net DEX308.0M-272.3M1.13B-75.1M615.1M
Net VEX-8.4M-9.1M-7.8M-9.1M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.594.991.452.05
Total Volume105,854.940,212290,96679,82054,536
Total OI1,836,174.71,432,0602,059,8221,813,7201,545,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$40.64$40.0019.1%5.5%15.3%16.6%21.4%4.7%-0.5%14.2M-75.1M-9.1M1.4516.8932,53447,286750,6701,063,050
2013-06-04$40.30$40.0019.1%5.5%15.5%16.8%20.5%4.9%-0.3%11.6M31.3M-8.9M1.6515.2023,68239,176758,7721,068,342
2013-06-05$39.83$40.0020.3%5.8%15.8%19.4%19.8%5.3%-0.6%-9.0M342.0M-9.0M1.7518.6327,53648,170766,0001,080,468
2013-06-06$40.20$40.0022.3%5.9%16.2%24.3%22.8%5.0%-1.0%950.2K140.5M-9.0M0.8926.2358,46252,240767,2081,101,842
2013-06-07$40.65$40.0018.6%5.2%16.7%15.5%19.1%3.8%0.3%27.5M-164.1M-8.7M1.1312.6947,33053,296796,6501,112,654
2013-06-10$40.54$40.5019.6%5.2%16.6%17.9%18.7%4.7%1.1%32.1M-160.5M-8.4M2.3512.8312,00028,212796,5181,114,830
2013-06-11$39.92$40.5022.4%5.6%17.5%24.7%20.8%4.9%0.9%1.3M270.0M-8.4M4.9915.8045,922229,206799,9981,120,594
2013-06-12$39.60$40.5022.6%6.0%16.9%25.2%22.4%5.0%0.1%-20.7M722.4M-8.8M1.6014.5526,55442,398821,6221,203,266
2013-06-13$40.34$40.5018.6%5.3%18.3%15.4%20.8%4.8%1.3%25.2M41.0M-8.7M1.6214.1927,83845,120824,5961,172,006
2013-06-14$39.91$40.5019.2%5.5%18.5%17.0%20.5%4.7%1.2%1.5M366.4M-8.5M1.6517.7430,92651,172831,9601,180,428
2013-06-17$40.53$40.5019.0%5.4%18.3%16.4%20.3%4.6%1.0%37.1M-105.0M-8.5M0.9912.9964,46863,968828,6961,162,732
2013-06-18$40.75$40.0018.4%5.3%17.6%15.1%20.5%4.4%1.3%50.5M-272.3M-8.5M0.8315.8760,75250,728841,8641,166,900
2013-06-19$40.36$40.0017.4%5.0%17.9%12.6%18.9%4.0%1.6%42.2M-35.2M-8.3M0.5917.4051,85230,716869,0161,179,006
2013-06-20$39.26$40.0021.3%6.1%19.7%22.0%22.6%5.0%0.1%-31.1M726.8M-7.9M1.1422.26135,844155,122858,9401,171,034
2013-06-21$39.10$40.0020.3%5.8%19.7%19.5%20.5%4.9%1.1%-55.6M1.13B-7.9M1.3551.5967,90291,760826,4381,233,384
2013-06-24$38.51$39.5021.7%6.2%20.2%22.9%21.7%5.1%0.2%-36.3M859.3M-7.8M2.2214.3733,44074,298592,740839,320
2013-06-25$39.02$39.5020.3%5.8%20.7%19.7%21.6%4.7%0.3%-35.9M661.2M-8.1M2.0413.3134,83870,898602,894860,644
2013-06-26$39.24$39.5018.8%5.4%20.9%16.0%19.0%4.0%0.9%-32.6M558.0M-8.1M1.2012.2819,74423,638617,876881,362
2013-06-27$39.31$39.5017.7%5.1%21.0%13.3%18.2%3.9%1.2%-28.8M509.5M-8.1M2.4612.2918,34245,192624,208889,886
2013-06-28$39.19$39.5016.8%5.2%19.5%11.1%18.2%3.7%1.2%-35.3M615.1M-8.1M2.0547.3817,90636,630628,618916,462