XLE Options History — April 2014

In April 2014, XLE traded between $44.24 and $46.94. ATM implied volatility averaged 14.5%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.3% (HV 20d: 12.2%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.50.

Notable Days

  • 2014-04-16: Highest Volume — 123,380 contracts
  • 2014-04-07: Largest IV spike — 9.8% change
  • 2014-04-11: Highest IV Rank — 48.9%
  • 2014-04-11: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.70$44.24$46.94$44.80$46.94
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV14.5%12.9%16.2%12.9%14.0%
Expected Move5.2%5.1%5.5%5.2%5.1%
HV 20d12.2%10.1%13.3%10.8%12.6%
HV 60d13.6%12.1%14.2%13.7%12.1%
IV Rank35.6%23.4%48.9%23.4%31.6%
IV Percentile33.1%4.8%64.3%4.8%21.8%
Term Structure0.0%-0.6%0.7%0.3%0.1%
VWIV20.0%17.2%24.6%19.6%18.3%
Skew 25d3.2%2.8%3.8%3.1%3.2%
Skew 10d7.0%5.6%8.4%6.7%7.4%
Call IV 25d13.3%11.8%14.8%11.8%12.9%
Put IV 25d16.5%14.9%18.6%14.9%16.1%
Bid-Ask Spread %8.944.6313.364.6311.43
Gamma HHI0.080.070.090.070.09
Net GEX-46.1M-103.5M8.9M8.9M-82.2M
Net DEX-273.9M-762.9M467.7M-349.9M-393.1M
Net VEX-6.7M-7.7M-5.9M-6.4M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.835.661.945.66
Total Volume74,148.47631,732123,38031,73264,134
Total OI1,330,384.7621,149,1041,500,7681,149,1041,414,118

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$44.80$44.0012.9%5.2%10.8%23.4%19.6%3.1%0.3%8.9M-349.9M-6.4M1.944.6310,79020,942392,954756,150
2014-04-02$44.97$44.0013.0%5.2%10.2%24.1%20.7%2.9%0.2%6.8M-385.0M-6.5M1.455.3643,01462,450398,294768,168
2014-04-03$45.24$44.0013.9%5.3%10.1%31.0%19.2%2.9%-0.2%2.1M-454.3M-6.4M2.185.2429,43664,282383,962822,214
2014-04-04$45.08$44.0014.6%5.3%10.2%36.3%19.3%2.8%-0.0%-34.4M-302.0M-6.8M4.527.1422,286100,624392,234872,356
2014-04-07$44.38$44.0016.0%5.3%11.9%47.5%17.2%3.6%-0.4%-75.4M259.4M-7.4M3.307.3527,76491,736392,722909,558
2014-04-08$44.77$44.0015.3%5.3%11.3%42.1%24.6%3.6%-0.4%-72.1M67.7M-7.4M0.838.9919,83416,550402,426975,372
2014-04-09$44.97$44.0014.5%5.3%11.3%35.8%0.0%3.2%-0.1%-59.9M-59.2M-7.3M0.967.5016,42415,780416,032981,014
2014-04-10$44.35$44.0015.9%5.3%11.9%46.7%19.7%3.6%-0.6%-74.3M303.2M-7.6M1.439.4425,22635,974419,432981,348
2014-04-11$44.24$44.0016.2%5.5%12.0%48.9%18.5%3.8%0.7%-103.5M467.7M-7.7M1.9013.3629,64256,460433,716994,012
2014-04-14$44.83$44.0015.5%5.3%12.6%43.7%21.1%3.0%0.4%-47.2M-21.3M-7.2M1.489.1616,56824,496421,790994,200
2014-04-15$45.43$44.0014.8%5.3%13.1%37.7%21.7%3.2%0.5%-19.5M-386.3M-7.0M2.028.3524,81650,168425,634999,336
2014-04-16$45.98$44.0014.1%5.2%13.1%32.7%20.2%3.5%0.5%-14.7M-589.2M-6.3M1.6910.6045,90477,476404,4481,023,040
2014-04-17$46.40$44.0013.6%5.2%13.2%28.7%19.1%3.3%0.2%-24.7M-762.9M-6.2M1.179.5452,20260,820422,6661,078,102
2014-04-21$46.70$44.0014.2%5.2%13.3%33.0%20.8%3.2%-0.2%-29.2M-517.8M-5.9M3.449.7118,46463,454361,296832,852
2014-04-22$46.66$44.0014.3%5.2%13.2%34.0%21.2%3.2%-0.2%-46.1M-448.4M-6.2M2.148.3316,97036,386369,624887,210
2014-04-23$46.94$44.0014.0%5.1%13.1%31.4%21.5%3.0%-0.3%-46.0M-550.7M-6.1M2.479.9611,84029,212379,010914,100
2014-04-24$46.88$44.0014.1%5.1%12.9%32.8%18.5%3.2%-0.3%-45.3M-516.9M-6.1M3.339.7012,61242,054380,350927,360
2014-04-25$46.65$44.0014.7%5.2%13.2%37.4%18.6%3.4%-0.3%-59.3M-350.6M-6.7M2.9410.9517,68851,944387,584944,624
2014-04-28$46.70$44.0014.4%5.2%12.7%34.8%18.6%3.1%0.1%-79.3M-327.7M-6.3M4.8010.158,23039,506365,100964,782
2014-04-29$46.91$44.0014.3%5.1%12.7%34.3%21.8%3.1%0.1%-72.0M-434.1M-6.1M2.8810.8926,55476,406368,776980,114
2014-04-30$46.94$44.0014.0%5.1%12.6%31.6%18.3%3.2%0.1%-82.2M-393.1M-6.5M5.6611.439,63654,498387,0881,027,030