XLE Options History — September 2014

In September 2014, XLE traded between $45.30 and $48.88. ATM implied volatility averaged 15.6%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.0% (HV 20d: 12.6%). Max pain ranged from $46.00 to $47.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.21.

Notable Days

  • 2014-09-24: Highest Volume — 405,004 contracts
  • 2014-09-22: Largest IV spike — 11.8% change
  • 2014-09-30: Highest IV Rank — 80.6%
  • 2014-09-30: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.09$45.30$48.88$48.74$45.30
Max Pain$46.86$46.00$47.50$47.00$46.00
ATM IV15.6%13.2%19.6%13.2%19.6%
Expected Move4.9%4.5%5.4%4.7%5.4%
HV 20d12.6%10.1%14.5%12.8%14.1%
HV 60d13.6%13.1%14.1%13.1%14.1%
IV Rank46.7%27.1%80.6%27.1%80.6%
IV Percentile70.0%21.8%98.8%21.8%98.8%
Term Structure0.1%-0.5%0.6%0.2%-0.1%
VWIV17.2%16.0%19.2%16.2%19.2%
Skew 25d3.2%2.4%4.8%3.0%4.7%
Skew 10d6.3%4.2%10.2%5.4%7.3%
Call IV 25d14.4%11.9%17.6%12.0%17.6%
Put IV 25d17.6%14.6%22.3%15.1%22.3%
Bid-Ask Spread %26.1717.0273.0817.8221.14
Gamma HHI0.180.110.280.270.11
Net GEX-263.5M-351.8M-163.6M-163.6M-200.9M
Net DEX1.62B461.1M2.38B536.9M2.24B
Net VEX-8.6M-9.8M-7.9M-8.2M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.9610.384.352.44
Total Volume121,822.09517,056405,00475,976119,134
Total OI1,700,541.5241,266,9121,897,8101,624,7941,720,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$48.74$47.0013.2%4.7%12.8%27.1%16.2%3.0%0.2%-163.6M536.9M-8.2M4.3517.8214,21261,764361,3221,263,472
2014-09-03$48.88$47.5013.3%4.5%10.1%27.5%16.9%2.6%0.1%-181.8M461.1M-8.2M4.5418.523,07613,980362,8241,307,652
2014-09-04$48.22$47.0013.9%4.7%11.4%32.5%16.0%3.0%-0.1%-235.8M1.02B-8.4M5.6221.1116,54293,028362,8861,312,178
2014-09-05$48.54$47.5013.5%4.5%11.3%29.3%16.0%3.1%-0.3%-316.6M794.9M-8.4M4.8617.0219,25893,638370,1561,340,710
2014-09-08$47.82$47.0014.3%4.7%11.8%36.2%16.7%2.8%-0.3%-296.6M1.47B-8.5M4.4820.5120,70892,688371,4621,356,494
2014-09-09$47.63$47.0014.0%4.7%11.7%33.5%17.2%3.8%0.5%-333.0M1.74B-8.7M3.0121.1815,88447,736375,3281,401,384
2014-09-10$47.45$47.0014.9%4.7%11.5%41.3%17.1%3.6%0.0%-324.7M1.83B-8.5M10.3817.1417,450181,204383,2641,387,126
2014-09-11$47.49$47.0014.8%4.8%11.4%40.4%17.4%3.3%0.1%-351.8M1.85B-8.8M10.0217.1612,708127,332394,7081,452,206
2014-09-12$46.78$47.0015.9%4.9%12.4%49.4%17.1%3.2%-0.4%-296.5M2.38B-8.5M4.2120.9126,156110,100400,1481,411,294
2014-09-15$47.11$47.0015.9%4.8%12.3%49.9%17.6%3.1%0.4%-348.0M2.13B-8.6M5.8719.9732,404190,080397,9441,463,086
2014-09-16$47.68$47.0015.2%4.9%13.1%43.6%16.6%2.6%-0.0%-317.7M1.39B-8.2M0.9664.9054,28852,338417,5501,448,834
2014-09-17$47.42$47.0014.8%4.7%12.9%40.2%16.9%2.6%0.6%-317.8M1.67B-8.2M4.3628.4312,12652,836441,6441,456,166
2014-09-18$47.17$47.0015.3%4.9%12.9%45.0%16.7%2.4%-0.2%-316.4M1.99B-7.9M3.0873.0817,98855,452440,4881,429,696
2014-09-19$46.90$47.0014.7%4.8%12.9%39.7%16.9%2.8%0.5%-288.2M2.01B-8.0M2.6019.4017,49645,502427,9201,449,470
2014-09-22$46.20$47.0016.4%5.0%13.6%54.2%17.5%2.9%0.1%-182.0M1.51B-7.9M5.5122.8026,012143,446266,2561,000,656
2014-09-23$46.07$47.0017.1%5.0%13.0%59.6%17.4%3.7%-0.5%-206.2M1.69B-8.5M2.1720.3727,87260,368282,6481,088,422
2014-09-24$46.12$47.0016.8%5.0%12.7%56.6%17.7%2.9%-0.1%-200.2M1.64B-8.7M6.1633.2956,544348,460302,5401,095,318
2014-09-25$45.43$46.0018.4%5.2%13.4%70.2%18.4%3.2%0.1%-213.4M2.14B-9.5M1.1625.6552,78061,426330,2121,283,822
2014-09-26$45.97$46.0017.0%5.2%14.5%59.0%17.9%3.2%0.3%-221.2M1.76B-9.6M1.6426.5544,22472,508369,5901,302,178
2014-09-29$45.88$46.0017.8%5.2%14.1%65.3%18.1%4.8%0.1%-222.1M1.84B-9.7M0.9822.7523,99223,524372,6301,309,494
2014-09-30$45.30$46.0019.6%5.4%14.1%80.6%19.2%4.7%-0.1%-200.9M2.24B-9.8M2.4421.1434,67484,460392,4101,327,784