XLE Options History — January 2014

In January 2014, XLE traded between $41.73 and $43.85. ATM implied volatility averaged 14.8%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.7% (HV 20d: 13.1%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2014-01-13: Highest Volume — 368,622 contracts
  • 2014-01-24: Largest IV spike — 14.3% change
  • 2014-01-31: Highest IV Rank — 60.3%
  • 2014-01-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.96$41.73$43.85$43.55$41.73
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV14.8%12.5%17.6%15.6%17.6%
Expected Move5.6%5.4%5.8%5.8%5.8%
HV 20d13.1%10.9%15.0%11.7%13.7%
HV 60d11.9%11.3%12.4%12.2%12.2%
IV Rank37.8%19.9%60.3%44.5%60.3%
IV Percentile34.5%2.8%81.0%51.6%81.0%
Term Structure0.1%-0.4%1.5%-0.0%-0.4%
VWIV21.3%17.5%26.2%19.0%22.6%
Skew 25d2.9%2.3%3.8%3.2%3.8%
Skew 10d6.1%3.9%8.2%6.4%7.5%
Call IV 25d13.6%11.5%16.2%14.0%16.2%
Put IV 25d16.5%13.8%19.9%17.2%19.9%
Bid-Ask Spread %9.424.7339.388.386.08
Gamma HHI0.220.080.380.240.11
Net GEX-125.4M-210.6M13.1M-130.9M-131.1M
Net DEX787.3M100.0M1.42B482.0M1.15B
Net VEX-5.5M-6.4M-4.8M-5.6M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.804.201.801.35
Total Volume117,675.90535,584368,62276,670196,140
Total OI1,426,234.571901,4481,782,0321,579,7701,206,486

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$43.55$44.0015.6%5.8%11.7%44.5%19.0%3.2%-0.0%-130.9M482.0M-5.6M1.808.3827,42849,242438,7321,141,038
2014-01-03$43.48$44.0014.8%5.7%11.7%38.4%25.5%3.0%0.3%-160.9M599.6M-5.5M1.895.9721,21040,092450,6681,170,072
2014-01-06$43.52$44.0014.9%5.7%11.6%39.0%21.4%3.3%-0.2%-166.3M586.0M-5.4M3.7026.5032,640120,906449,5301,174,758
2014-01-07$43.85$44.0013.7%5.6%11.8%29.2%21.2%2.7%0.1%-120.8M311.8M-5.0M1.034.7317,55218,032474,3181,164,346
2014-01-08$43.53$44.0014.5%5.6%12.2%36.1%17.5%2.8%-0.4%-147.5M586.4M-5.2M1.715.7718,79832,210483,0621,166,014
2014-01-09$43.41$44.0014.4%5.6%12.2%35.1%24.3%2.7%-0.3%-166.3M689.6M-5.0M4.205.0910,88845,722482,4661,169,368
2014-01-10$43.44$44.0014.1%5.5%10.9%32.4%20.9%2.6%-0.2%-177.7M575.5M-4.9M4.005.0421,51486,086483,7301,155,394
2014-01-13$42.59$44.0015.3%5.7%13.0%42.3%19.7%2.9%-0.4%-181.0M1.42B-5.0M3.9039.3875,256293,366487,2661,187,818
2014-01-14$43.14$44.0014.1%5.5%13.8%33.0%24.6%2.5%-0.1%-197.4M934.3M-5.3M0.807.2160,89248,742540,9421,197,348
2014-01-15$43.02$44.0014.2%5.5%13.5%33.2%25.2%2.5%-0.4%-194.8M1.08B-5.3M1.015.3136,82437,078555,0061,197,920
2014-01-16$43.02$44.0013.7%5.5%13.3%29.3%20.1%2.7%-0.3%-210.6M1.19B-5.1M2.645.4733,59288,580563,0341,218,998
2014-01-17$43.03$44.0013.6%5.5%12.4%28.8%26.2%2.7%-0.3%-57.1M1.21B-4.8M1.694.8099,698168,032571,0961,208,340
2014-01-21$43.34$44.0012.8%5.4%12.6%22.3%19.9%2.5%1.3%-3.8M210.0M-4.8M1.876.0323,17443,222349,608551,840
2014-01-22$43.55$44.0012.5%5.4%12.7%19.9%19.1%2.3%1.5%13.1M100.0M-4.9M1.987.7689,128176,516360,114568,836
2014-01-23$43.06$44.0013.6%5.4%13.4%28.8%19.5%2.4%0.4%-95.5M553.1M-6.0M2.179.1616,29835,388425,702720,368
2014-01-24$42.19$44.0015.6%5.6%15.0%44.0%19.1%3.3%0.3%-100.0M1.03B-5.9M3.455.9031,088107,138384,812718,596
2014-01-27$41.99$44.0015.9%5.6%14.6%47.0%19.9%3.5%0.4%-100.5M1.04B-5.9M1.2310.7020,43625,220369,674712,482
2014-01-28$42.35$44.0015.9%5.6%14.9%46.8%23.1%3.1%0.0%-95.2M859.0M-6.0M1.126.1539,71644,426377,904724,854
2014-01-29$42.18$44.0016.4%5.7%14.8%50.9%19.9%3.5%0.7%-94.4M926.9M-6.3M2.6711.4424,88266,482403,472746,532
2014-01-30$42.08$44.0016.7%5.7%14.3%53.0%18.7%3.5%0.3%-114.8M994.5M-6.4M1.0410.8923,32824,232412,496785,886
2014-01-31$41.73$44.0017.6%5.8%13.7%60.3%22.6%3.8%-0.4%-131.1M1.15B-6.3M1.356.0883,570112,570429,730776,756