XLE Options History — July 2014

In July 2014, XLE traded between $48.31 and $50.29. ATM implied volatility averaged 13.5%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 12.1%). Max pain ranged from $44.00 to $49.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 5.08.

Notable Days

  • 2014-07-31: Highest Volume — 365,640 contracts
  • 2014-07-31: Largest IV spike — 19.5% change
  • 2014-07-31: Highest IV Rank — 63.0%
  • 2014-07-07: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.71$48.31$50.29$50.09$48.31
Max Pain$45.63$44.00$49.50$44.00$46.50
ATM IV13.5%12.1%17.5%13.1%17.5%
Expected Move4.7%4.4%5.1%4.8%4.9%
HV 20d12.1%10.6%14.2%10.6%14.1%
HV 60d10.4%9.6%11.8%10.9%11.8%
IV Rank29.6%17.8%63.0%26.6%63.0%
IV Percentile26.6%3.2%94.8%15.5%94.8%
Term Structure0.1%-0.4%0.6%0.1%-0.4%
VWIV17.7%15.3%19.5%18.2%17.4%
Skew 25d2.8%2.4%3.4%2.7%2.8%
Skew 10d5.6%4.5%7.1%5.5%5.9%
Call IV 25d12.6%11.3%16.5%12.0%16.5%
Put IV 25d15.3%14.0%19.3%14.8%19.3%
Bid-Ask Spread %14.909.8920.2312.7520.23
Gamma HHI0.150.130.330.150.13
Net GEX-169.1M-352.9M-63.4M-145.5M-186.7M
Net DEX437.5M32.6M1.36B154.0M1.36B
Net VEX-8.5M-9.6M-7.8M-8.6M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.080.6522.3914.4722.39
Total Volume74,25020,704365,640117,588365,640
Total OI1,797,775.8181,372,2282,120,4641,950,1501,550,938

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$50.09$44.0013.1%4.8%10.6%26.6%18.2%2.7%0.1%-145.5M154.0M-8.6M14.4712.757,600109,988343,9021,606,248
2014-07-02$50.01$44.0012.6%4.8%10.7%22.3%19.3%2.6%0.3%-121.2M174.6M-8.6M0.9412.5715,57414,686345,8641,604,892
2014-07-03$50.22$44.0012.1%4.8%10.6%17.8%17.2%2.6%0.4%-63.4M41.2M-8.5M1.8412.417,29213,412350,2961,606,836
2014-07-07$49.81$44.0013.3%5.1%10.9%27.7%17.8%2.6%-0.2%-150.3M302.8M-8.3M16.9417.6711,060187,314337,1881,592,908
2014-07-08$49.73$44.0013.4%4.7%11.0%28.8%18.4%2.5%0.2%-209.0M544.6M-9.1M7.1911.045,31838,258344,7061,668,554
2014-07-09$50.05$44.0012.9%4.7%11.1%24.7%18.2%2.4%0.2%-179.9M311.3M-8.6M1.7915.9913,97425,038345,4721,686,596
2014-07-10$49.58$44.0013.7%4.8%11.7%31.6%18.0%2.9%0.0%-248.4M668.9M-9.2M6.1814.016,95442,996354,4761,697,460
2014-07-11$49.18$44.0014.0%4.8%12.1%33.5%19.3%3.1%0.3%-255.0M983.0M-9.1M3.6211.4918,83468,162355,9801,688,450
2014-07-14$49.63$44.0013.2%4.8%12.0%27.3%16.7%2.8%0.0%-170.4M490.9M-8.3M1.5212.6619,52829,758357,7761,713,384
2014-07-15$49.41$44.0013.1%4.8%12.0%26.5%19.3%2.9%0.5%-245.2M722.7M-8.8M3.699.8915,33456,596359,9281,725,726
2014-07-16$50.19$45.0012.7%4.8%13.2%22.5%19.2%2.4%0.2%-109.0M32.6M-7.9M1.8611.7319,84036,854362,5061,753,248
2014-07-17$49.39$45.0014.3%4.9%14.2%36.4%17.7%3.3%0.3%-206.9M681.6M-8.8M1.0418.4339,78041,516365,0921,749,322
2014-07-18$49.48$45.0013.3%4.8%13.9%27.7%18.7%2.7%0.6%-352.9M617.8M-8.6M2.0514.6110,28621,094362,7321,757,732
2014-07-21$49.48$0.0013.3%4.5%13.7%27.7%0.0%3.0%-0.2%-133.8M441.4M-8.1M2.9518.5911,76634,752288,7821,083,446
2014-07-22$49.88$0.0013.1%4.5%14.0%26.5%15.7%2.7%0.2%-124.2M252.2M-7.8M2.4116.1421,17251,036292,1061,092,244
2014-07-23$50.23$49.5012.9%4.4%11.8%24.6%15.3%2.6%0.1%-110.8M133.7M-8.2M3.3716.297,05823,812306,8761,131,210
2014-07-24$50.29$49.5012.9%4.4%11.5%24.3%16.3%2.6%0.1%-108.2M72.8M-8.0M0.6517.1529,85419,308309,4501,146,004
2014-07-25$49.92$49.5013.2%4.5%11.9%27.1%19.5%2.7%0.0%-152.1M263.6M-8.1M3.6117.537,12625,722315,2661,157,790
2014-07-28$49.80$49.5013.8%4.6%11.9%32.3%16.7%3.4%-0.0%-136.8M320.0M-8.1M2.5814.5911,73630,228312,7821,141,308
2014-07-29$49.67$46.5013.8%4.6%11.9%32.3%16.4%2.6%-0.2%-140.1M412.9M-8.2M4.0415.078,43634,100319,7041,161,112
2014-07-30$49.35$46.5014.7%4.6%12.1%39.2%17.1%2.8%-0.3%-171.2M642.9M-8.8M6.7117.059,68465,024323,2501,181,526
2014-07-31$48.31$46.5017.5%4.9%14.1%63.0%17.4%2.8%-0.4%-186.7M1.36B-9.6M22.3920.2315,632350,008326,9861,223,952