XLE Options History — March 2014

In March 2014, XLE traded between $43.15 and $44.53. ATM implied volatility averaged 14.8%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.8% (HV 20d: 12.0%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2014-03-27: Highest Volume — 114,680 contracts
  • 2014-03-04: Largest IV drop — 11.9% change
  • 2014-03-14: Highest IV Rank — 57.5%
  • 2014-03-14: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.72$43.15$44.53$43.56$44.53
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV14.8%13.3%17.3%17.0%13.7%
Expected Move5.4%5.3%5.7%5.5%5.3%
HV 20d12.0%10.2%15.5%15.5%11.1%
HV 60d13.9%13.6%14.1%13.8%13.6%
IV Rank38.2%26.5%57.5%55.6%29.8%
IV Percentile35.4%7.1%76.2%73.4%13.9%
Term Structure0.1%-1.4%0.9%-1.4%0.1%
VWIV20.4%17.1%32.8%20.4%20.5%
Skew 25d3.6%2.9%4.7%4.1%3.3%
Skew 10d7.2%5.0%9.7%9.7%6.9%
Call IV 25d13.6%12.4%15.9%14.5%12.7%
Put IV 25d17.2%15.3%20.5%18.5%16.0%
Bid-Ask Spread %4.263.026.244.174.14
Gamma HHI0.080.060.120.070.08
Net GEX-1.1M-65.1M53.6M11.6M-8.3M
Net DEX-19.0M-332.8M311.8M-107.5M-186.2M
Net VEX-6.9M-7.5M-6.6M-6.7M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.215.721.001.13
Total Volume57,41017,476114,68060,23261,350
Total OI1,225,099.9051,020,4961,367,6561,154,4721,130,038

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$43.56$44.0017.0%5.5%15.5%55.6%20.4%4.1%-1.4%11.6M-107.5M-6.7M1.004.1730,06630,166439,322715,150
2014-03-04$43.99$44.0015.0%5.4%13.1%39.6%18.7%4.0%0.0%28.6M-299.9M-6.7M1.104.3334,75638,364455,168729,434
2014-03-05$43.61$44.0015.8%5.5%13.5%45.9%22.5%3.8%-0.1%16.5M-106.6M-7.1M1.523.7020,32030,824476,134752,638
2014-03-06$43.94$44.0015.0%5.5%12.7%39.4%0.0%3.5%0.1%30.6M-272.4M-7.0M0.914.889,1668,310475,780770,398
2014-03-07$44.01$44.0014.7%5.4%12.1%37.4%17.1%3.6%0.3%53.6M-327.9M-7.0M1.714.1312,05820,588478,640770,858
2014-03-10$44.08$44.0015.1%5.5%11.6%40.5%21.1%3.6%-0.5%37.6M-332.8M-6.8M2.084.9813,03227,098468,652768,570
2014-03-11$43.55$44.0015.8%5.5%12.5%46.0%19.2%4.1%-0.3%14.5M-18.2M-7.0M3.256.2419,99264,968469,888778,156
2014-03-12$43.59$44.0015.4%5.5%11.8%42.7%20.6%3.9%-0.3%5.7M16.2M-7.2M1.333.6914,96419,870477,420830,234
2014-03-13$43.15$44.0016.4%5.6%12.4%50.7%19.6%4.3%-0.2%-24.9M288.3M-7.3M2.173.7621,16845,868476,012835,674
2014-03-14$43.16$44.0017.3%5.7%12.4%57.5%25.2%4.7%-0.1%-33.0M311.8M-7.5M1.106.2326,39628,932479,696863,476
2014-03-17$43.42$44.0015.4%5.5%11.8%42.6%19.6%3.6%0.5%-11.4M128.2M-7.1M0.983.2422,36621,848465,986851,436
2014-03-18$43.77$44.0014.0%5.4%11.9%31.5%17.4%3.4%0.9%21.0M-115.5M-7.0M0.903.0229,38026,298478,518860,826
2014-03-19$43.45$44.0014.1%5.4%12.1%32.7%19.9%3.3%0.6%-3.1M139.0M-7.0M1.085.9135,59238,506486,040873,668
2014-03-20$43.48$44.0013.8%5.4%12.1%30.6%18.8%3.3%0.6%16.3M-7.1M-6.9M0.473.5859,71428,290485,864881,792
2014-03-21$43.54$44.0013.7%5.4%11.6%29.4%20.4%3.2%0.7%-65.1M262.3M-6.9M1.144.1020,55223,460404,926896,796
2014-03-24$43.44$44.0014.0%5.4%10.2%31.5%18.5%3.2%0.5%-52.7M240.6M-6.6M0.883.2122,87820,182340,822679,674
2014-03-25$43.80$44.0013.3%5.3%10.7%26.5%32.8%2.9%0.5%-32.1M91.2M-6.7M2.843.4016,04845,566355,690692,346
2014-03-26$43.63$44.0013.6%5.4%10.4%28.3%19.6%2.9%0.5%-41.3M159.3M-6.6M0.214.3938,2447,870367,490699,082
2014-03-27$43.98$44.0014.4%5.4%10.8%35.0%18.1%3.5%0.2%-9.1M-27.7M-6.7M5.724.1217,05897,622396,264693,618
2014-03-28$44.53$44.0013.7%5.3%11.4%29.2%18.5%3.1%0.5%21.2M-233.7M-6.7M0.594.3035,21820,662407,386767,536
2014-03-31$44.53$44.0013.7%5.3%11.1%29.8%20.5%3.3%0.1%-8.3M-186.2M-6.6M1.134.1428,77032,580386,746743,292