XLE Options History — August 2014 In August 2014, XLE traded between $47.49 and $49.35. ATM implied volatility averaged 14.5%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.2% (HV 20d: 15.7%). Max pain ranged from $46.00 to $48.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.48.
Notable Days 2014-08-05 : Highest Volume — 99,100 contracts2014-08-29 : Largest IV drop — 16.3% change2014-08-07 : Highest IV Rank — 67.7%2014-08-07 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $48.42 $47.49 $49.35 $47.90 $49.35 Max Pain $47.21 $46.00 $48.50 $46.00 $47.00 ATM IV 14.5% 10.4% 18.1% 17.6% 10.4% Expected Move 4.8% 4.5% 5.2% 5.0% 4.5% HV 20d 15.7% 13.2% 17.3% 14.1% 13.2% HV 60d 12.7% 11.8% 13.0% 11.8% 12.9% IV Rank 38.1% 3.7% 67.7% 63.8% 3.7% IV Percentile 47.0% 0.4% 96.8% 95.2% 0.4% Term Structure 0.1% -0.5% 0.6% -0.5% 0.2% VWIV 17.6% 15.9% 21.0% 16.1% 16.1% Skew 25d 2.9% 2.0% 4.6% 3.3% 4.4% Skew 10d 5.3% 3.9% 7.1% 6.3% 6.2% Call IV 25d 13.5% 9.9% 16.7% 16.6% 9.9% Put IV 25d 16.4% 13.4% 20.6% 19.9% 14.2% Bid-Ask Spread % 20.68 15.26 30.29 30.29 20.60 Gamma HHI 0.23 0.17 0.30 0.17 0.24 Net GEX -166.5M -222.4M -115.1M -222.4M -115.1M Net DEX 910.2M 65.4M 1.89B 1.89B 65.4M Net VEX -9.3M -10.9M -7.8M -10.9M -7.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.48 0.52 8.21 2.18 2.72 Total Volume 55,064.571 17,538 99,100 93,138 28,194 Total OI 1,616,704.286 1,533,156 1,699,626 1,682,032 1,638,042
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2014-08-01 $47.90 $46.00 17.6% 5.0% 14.1% 63.8% 16.1% 3.3% -0.5% -222.4M 1.89B -10.9M 2.18 30.29 29,284 63,854 333,638 1,348,394 2014-08-04 $48.70 $46.00 15.7% 4.9% 15.4% 48.0% 16.5% 3.6% 0.1% -183.7M 911.0M -9.5M 1.75 23.21 24,724 43,216 325,174 1,223,340 2014-08-05 $47.69 $46.50 17.4% 5.2% 17.0% 62.4% 17.6% 4.6% -0.4% -193.6M 1.63B -10.0M 4.13 18.96 19,312 79,788 333,254 1,224,990 2014-08-06 $47.81 $47.50 17.8% 5.2% 16.8% 65.8% 17.5% 3.1% 0.1% -192.6M 1.52B -10.4M 1.23 23.84 33,290 40,810 345,198 1,257,612 2014-08-07 $47.49 $48.50 18.1% 5.2% 16.7% 67.7% 19.1% 3.6% -0.0% -190.8M 1.70B -10.5M 2.33 15.26 20,228 47,162 365,478 1,276,514 2014-08-08 $48.09 $47.00 17.5% 4.8% 17.3% 63.2% 21.0% 3.2% -0.3% -174.2M 1.14B -10.3M 2.27 21.73 18,986 43,072 374,660 1,269,348 2014-08-11 $48.33 $47.00 16.5% 5.1% 17.0% 54.8% 18.1% 2.7% 0.5% -179.9M 1.09B -10.0M 2.25 17.15 9,154 20,624 370,756 1,278,114 2014-08-12 $47.96 $47.50 16.5% 5.1% 17.1% 54.3% 20.4% 3.2% 0.3% -190.0M 1.37B -9.9M 0.52 16.09 22,870 11,988 376,452 1,286,616 2014-08-13 $48.10 $47.50 15.2% 5.1% 16.0% 44.1% 18.1% 2.7% 0.6% -177.4M 1.20B -9.8M 2.33 17.56 10,810 25,212 393,000 1,291,414 2014-08-14 $47.83 $47.00 14.4% 5.0% 15.2% 36.7% 19.5% 2.7% 0.2% -200.4M 1.46B -9.6M 2.50 22.05 22,900 57,162 390,518 1,288,010 2014-08-15 $48.19 $47.00 14.4% 4.9% 15.5% 37.0% 16.8% 2.9% 0.5% -174.7M 1.17B -9.8M 1.20 20.19 40,550 48,568 400,890 1,298,736 2014-08-18 $48.31 $47.50 13.6% 4.8% 15.6% 30.8% 16.0% 2.5% -0.3% -162.5M 818.6M -8.8M 2.49 26.12 18,006 44,924 333,446 1,199,710 2014-08-19 $48.69 $47.50 12.6% 4.7% 15.6% 21.7% 18.1% 2.3% -0.1% -161.7M 584.7M -8.8M 2.41 16.57 16,728 40,280 339,002 1,228,228 2014-08-20 $48.79 $47.50 12.7% 4.6% 15.3% 22.7% 17.5% 2.1% 0.1% -144.8M 485.9M -8.7M 5.83 20.45 12,108 70,642 342,554 1,226,042 2014-08-21 $48.83 $47.50 12.5% 4.6% 15.3% 21.3% 17.4% 2.0% 0.2% -153.2M 449.8M -8.7M 1.67 19.25 18,430 30,738 348,582 1,238,196 2014-08-22 $48.51 $47.50 12.6% 4.6% 15.3% 22.3% 18.8% 2.5% 0.1% -158.9M 637.2M -8.7M 0.90 23.78 9,254 8,284 360,642 1,240,174 2014-08-25 $48.94 $47.50 12.3% 4.6% 15.7% 19.2% 16.9% 2.7% -0.2% -139.6M 350.6M -8.4M 1.07 20.91 8,544 9,184 354,332 1,231,736 2014-08-26 $49.19 $47.50 12.3% 4.5% 15.8% 19.2% 16.0% 2.0% 0.2% -122.8M 182.0M -8.1M 1.47 22.69 9,296 13,708 359,394 1,238,030 2014-08-27 $49.10 $47.50 12.5% 4.5% 15.7% 21.3% 16.2% 2.3% -0.2% -125.5M 211.3M -7.8M 2.65 18.21 10,202 27,048 363,312 1,238,156 2014-08-28 $49.09 $47.00 12.4% 4.6% 13.6% 20.5% 15.9% 2.7% -0.0% -133.6M 239.0M -8.2M 8.21 19.36 5,130 42,092 369,776 1,249,330 2014-08-29 $49.35 $47.00 10.4% 4.5% 13.2% 3.7% 16.1% 4.4% 0.2% -115.1M 65.4M -7.8M 2.72 20.60 7,570 20,624 370,208 1,267,834
« Jul 2014 | All History | Sep 2014 » Home XLE History August 2014