XLE Options History — May 2014

In May 2014, XLE traded between $46.70 and $47.69. ATM implied volatility averaged 13.2%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.9% (HV 20d: 10.3%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.31.

Notable Days

  • 2014-05-08: Highest Volume — 266,192 contracts
  • 2014-05-08: Largest IV spike — 8.3% change
  • 2014-05-08: Highest IV Rank — 36.9%
  • 2014-05-22: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.12$46.70$47.69$46.77$47.65
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV13.2%12.1%14.6%13.8%12.3%
Expected Move5.0%4.8%5.2%5.1%5.0%
HV 20d10.3%9.1%12.8%12.8%9.7%
HV 60d11.4%10.8%12.0%12.0%10.8%
IV Rank25.5%16.8%36.9%30.1%18.5%
IV Percentile9.7%0.4%42.5%16.3%1.6%
Term Structure0.2%-0.5%0.9%-0.1%-0.2%
VWIV18.1%13.9%20.4%17.4%17.0%
Skew 25d3.0%2.7%3.3%3.1%2.8%
Skew 10d6.4%5.4%7.1%6.0%6.3%
Call IV 25d12.0%10.8%13.4%12.5%11.1%
Put IV 25d15.0%13.6%16.7%15.7%13.9%
Bid-Ask Spread %10.778.2114.2910.739.92
Gamma HHI0.130.080.160.100.15
Net GEX-98.7M-179.1M-44.4M-95.8M-62.0M
Net DEX-269.4M-708.8M118.1M-301.1M-537.9M
Net VEX-6.9M-8.1M-6.0M-6.7M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.5213.831.993.50
Total Volume65,395.71418,304266,19265,29067,744
Total OI1,613,294.9521,446,0321,917,5641,446,0321,552,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$46.77$44.0013.8%5.1%12.8%30.1%17.4%3.1%-0.1%-95.8M-301.1M-6.7M1.9910.7321,81243,478389,6541,056,378
2014-05-02$46.88$44.0013.5%5.1%12.7%27.7%18.1%3.2%0.2%-80.5M-382.2M-6.8M2.4910.5511,71629,122405,2961,077,026
2014-05-05$47.08$44.0013.5%5.1%12.6%27.7%17.9%3.1%0.1%-65.1M-533.1M-6.0M3.3212.4214,24447,322400,9741,055,654
2014-05-06$47.20$44.0013.4%5.1%10.6%27.0%19.1%3.2%0.1%-62.9M-558.9M-6.1M3.6412.8019,14269,698407,5381,087,568
2014-05-07$47.56$44.0013.5%5.0%10.6%28.1%19.0%3.0%0.1%-44.4M-708.8M-6.1M4.4511.5115,01866,898423,3641,126,960
2014-05-08$46.88$44.0014.6%5.1%12.2%36.9%19.2%3.3%0.0%-110.2M-259.7M-6.8M11.3810.5921,494244,698428,6021,157,880
2014-05-09$46.86$44.0014.0%5.1%10.7%32.2%18.6%3.2%0.8%-179.1M118.1M-8.1M13.838.218,360115,588435,7481,372,606
2014-05-12$47.16$44.0013.3%5.1%10.6%26.0%18.2%3.1%0.9%-143.1M-157.7M-7.5M7.509.168,49063,696432,3161,366,286
2014-05-13$47.42$44.0012.8%5.0%10.0%22.2%19.4%2.8%0.9%-88.0M-382.5M-7.1M1.4910.5312,08618,004436,4421,414,706
2014-05-14$47.38$44.0012.8%4.9%9.3%22.3%13.9%2.7%0.5%-107.7M-348.7M-7.3M1.059.0118,44819,430443,0321,424,774
2014-05-15$46.82$44.0013.7%5.0%9.7%29.7%19.2%3.0%0.4%-145.3M41.6M-7.6M4.3211.3721,81094,144445,4381,425,586
2014-05-16$46.70$44.0013.5%5.0%9.3%28.2%18.6%3.1%0.6%-135.8M102.9M-7.6M1.769.9528,58450,404449,6001,467,964
2014-05-19$46.83$44.0013.1%4.9%9.1%24.8%17.1%2.9%0.5%-117.9M17.4M-7.2M1.239.3315,95619,602396,4501,093,082
2014-05-20$46.73$44.0013.5%4.9%9.1%27.6%19.3%3.2%-0.3%-123.7M79.8M-7.2M0.728.8410,6267,678405,2341,095,902
2014-05-21$47.22$44.0012.7%4.9%9.6%21.3%18.2%3.0%-0.1%-95.4M-269.1M-6.7M1.0110.4319,30819,596411,5561,097,916
2014-05-22$47.17$44.0013.2%5.2%9.6%25.4%17.5%2.9%-0.2%-86.4M-251.5M-6.9M1.4714.2918,66827,390420,0121,107,982
2014-05-23$47.04$44.0012.8%4.9%9.5%22.0%17.5%3.2%0.3%-106.0M-138.9M-7.3M0.5212.9415,6908,180429,3401,126,498
2014-05-27$47.22$44.0012.5%4.8%9.5%20.4%17.1%2.8%-0.1%-82.9M-283.1M-6.6M1.3910.4014,69820,488424,3261,094,188
2014-05-28$47.31$44.0012.5%4.8%9.4%19.7%20.4%3.1%-0.5%-84.9M-332.1M-6.8M1.7012.967,80013,272437,5281,103,812
2014-05-29$47.69$44.0012.1%4.9%9.8%16.8%16.4%2.7%0.1%-55.5M-570.8M-6.3M0.6710.2013,7329,196439,9921,111,256
2014-05-30$47.65$44.0012.3%5.0%9.7%18.5%17.0%2.8%-0.2%-62.0M-537.9M-6.4M3.509.9215,06452,680437,6521,115,076