XLE Options History — August 2013

In August 2013, XLE traded between $39.94 and $41.88. ATM implied volatility averaged 15.2%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.5% (HV 20d: 11.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.92.

Notable Days

  • 2013-08-27: Highest Volume — 135,586 contracts
  • 2013-08-15: Largest IV spike — 38.0% change
  • 2013-08-29: Highest IV Rank — 13.9%
  • 2013-08-29: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.95$39.94$41.88$41.88$40.78
Max Pain$41.11$39.00$42.00$40.00$40.00
ATM IV15.2%12.2%17.9%14.8%17.1%
Expected Move4.6%3.7%5.1%4.1%4.9%
HV 20d11.7%9.3%13.4%13.4%12.4%
HV 60d15.5%14.9%16.1%16.0%15.0%
IV Rank7.3%0.1%13.9%6.5%12.0%
IV Percentile25.0%0.4%61.9%13.9%49.2%
Term Structure0.2%-0.4%2.3%1.8%0.8%
VWIV17.1%14.7%19.6%15.6%19.3%
Skew 25d3.7%2.4%5.9%2.4%5.9%
Skew 10d7.1%4.6%10.0%4.6%10.0%
Call IV 25d14.6%11.9%16.8%13.5%16.0%
Put IV 25d18.3%14.5%21.8%15.9%21.8%
Bid-Ask Spread %27.3113.4772.7727.2370.28
Gamma HHI0.090.060.180.120.13
Net GEX-5.7M-72.7M46.9M43.3M-72.7M
Net DEX187.6M-380.2M700.7M-380.2M328.8M
Net VEX-7.6M-8.4M-7.1M-8.1M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.485.651.351.54
Total Volume59,739.18227,426135,58639,61240,538
Total OI1,628,8361,482,5481,745,7821,596,4501,736,352

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$41.88$40.0014.8%4.1%13.4%6.5%15.6%2.4%1.8%43.3M-380.2M-8.1M1.3527.2316,88222,730676,386920,064
2013-08-02$41.71$40.0012.4%3.7%12.2%0.8%14.7%2.6%2.3%46.9M-268.3M-8.1M1.5272.7719,69630,014679,608925,694
2013-08-05$41.57$42.0013.8%4.3%12.4%3.9%16.3%3.2%0.2%39.8M-205.2M-7.7M0.4814.2037,51017,952683,636926,084
2013-08-06$41.34$42.0015.1%4.4%12.2%7.1%17.9%3.3%0.1%28.1M-81.8M-7.8M3.1813.796,56220,864696,802932,544
2013-08-07$41.24$42.0013.9%4.5%12.0%4.3%18.8%3.4%0.1%12.8M22.3M-7.7M3.2313.479,05829,254697,964943,634
2013-08-08$41.42$42.0012.3%4.2%11.7%0.3%15.2%3.4%0.1%26.3M-125.7M-7.6M0.7714.3121,59816,580701,280954,474
2013-08-09$41.27$42.0012.8%4.3%11.7%1.7%16.9%3.5%0.0%-36.9M-27.7M-7.5M1.9065.7215,36229,240708,274962,928
2013-08-12$41.12$42.0013.6%4.4%11.8%3.6%15.6%3.7%0.1%6.1M59.7M-7.5M0.7316.1221,83815,966700,508971,980
2013-08-13$41.20$42.0012.5%4.4%11.5%1.0%16.0%3.5%0.2%12.0M4.3M-7.4M1.0516.8122,89423,936709,496978,974
2013-08-14$40.98$42.0012.2%4.4%11.5%0.1%16.3%3.5%0.2%-2.4M111.0M-7.4M1.6716.3315,57026,044719,840994,890
2013-08-15$40.75$42.0016.8%4.8%11.2%11.2%17.5%3.8%-0.2%-23.0M290.5M-7.5M2.1220.1419,80441,938719,5641,008,698
2013-08-16$40.59$42.0016.0%4.6%9.3%9.2%16.5%4.1%0.1%-44.9M381.1M-7.4M1.4371.6837,36453,538724,0701,021,712
2013-08-19$40.02$41.5016.6%4.8%10.3%10.7%17.1%4.2%-0.1%-29.0M635.5M-7.1M1.5516.6822,49634,778604,398878,150
2013-08-20$40.22$41.0016.6%4.8%10.5%10.7%17.1%3.8%-0.3%-26.5M564.0M-7.2M1.1716.1813,21415,454611,020894,506
2013-08-21$39.94$41.0016.9%4.8%10.1%11.4%17.1%3.6%-0.4%-35.0M700.7M-7.2M1.5818.2220,81632,800619,202904,716
2013-08-22$40.59$41.0016.1%4.6%11.6%9.5%18.0%3.5%-0.3%-13.8M394.6M-7.3M3.6717.8714,35052,730620,644919,312
2013-08-23$40.88$41.0015.2%4.3%11.8%7.3%16.4%3.4%-0.3%-4.4M277.6M-7.3M0.6035.6623,97214,474625,946939,286
2013-08-26$40.81$41.0016.2%4.7%11.7%9.8%17.7%4.1%-0.1%-6.6M320.3M-7.3M3.3614.4521,87873,510625,918936,098
2013-08-27$40.53$39.0017.6%5.0%11.9%13.2%18.6%4.4%0.4%-22.6M482.9M-7.7M5.6517.8220,374115,212634,674981,166
2013-08-28$41.21$39.5017.1%4.9%13.3%12.0%17.8%4.0%0.3%1.4M200.0M-7.9M2.0214.7631,34263,354646,0261,014,710
2013-08-29$40.80$39.5017.9%5.1%12.4%13.9%19.6%4.5%0.2%-24.7M442.6M-8.2M1.5916.2250,49080,286654,6001,028,564
2013-08-30$40.78$40.0017.1%4.9%12.4%12.0%19.3%5.9%0.8%-72.7M328.8M-8.4M1.5470.2815,98024,558674,7241,061,628