XLE Options History — January 2015

In January 2015, XLE traded between $36.43 and $39.83. ATM implied volatility averaged 29.6%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.3% (HV 20d: 29.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-01-05: Highest Volume — 301,504 contracts
  • 2015-01-28: Largest IV spike — 18.5% change
  • 2015-01-15: Highest IV Rank — 90.6%
  • 2015-01-15: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.91$36.43$39.83$39.83$37.74
Max Pain$38.40$38.00$40.00$40.00$38.00
ATM IV29.6%24.4%35.1%27.1%29.5%
Expected Move8.4%6.9%9.8%7.6%8.7%
HV 20d29.2%26.4%33.0%29.5%30.8%
HV 60d29.8%29.2%30.7%29.6%29.9%
IV Rank70.3%51.4%90.6%61.3%70.3%
IV Percentile92.0%81.7%98.8%92.9%90.9%
Term Structure-0.2%-1.2%0.5%-0.0%-0.3%
VWIV30.6%25.2%35.8%28.6%31.6%
Skew 25d6.2%4.5%8.1%6.9%4.9%
Skew 10d12.0%8.4%15.5%13.6%11.3%
Call IV 25d27.1%22.5%33.5%24.3%27.4%
Put IV 25d33.3%28.0%39.1%31.2%32.3%
Bid-Ask Spread %17.3011.8222.8520.7319.17
Gamma HHI0.150.090.570.110.11
Net GEX-108.1M-311.4M-18.8M-78.4M-70.0M
Net DEX2.03B552.4M3.81B1.60B1.16B
Net VEX-9.2M-10.7M-8.5M-10.7M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.644.084.081.33
Total Volume170,628.746,932301,504160,128189,628
Total OI2,521,669.41,636,2843,334,1023,019,1321,956,978

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$39.83$40.0027.1%7.6%29.5%61.3%28.6%6.9%-0.0%-78.4M1.60B-10.7M4.0820.7331,546128,5821,159,9501,859,182
2015-01-05$38.16$40.0031.1%9.0%32.9%76.0%31.6%5.9%0.0%-156.0M2.95B-10.0M2.2822.8591,828209,6761,142,8741,885,578
2015-01-06$37.55$39.0032.2%9.1%33.0%80.2%32.2%6.6%-0.7%-157.6M3.18B-9.6M1.4321.45103,136147,9481,168,2201,828,010
2015-01-07$37.64$38.5030.3%8.7%29.8%73.1%30.1%5.1%0.2%-140.6M2.89B-9.4M1.2120.8368,89683,2061,217,1101,771,568
2015-01-08$38.47$38.5028.6%8.1%30.6%66.7%30.0%6.8%0.2%-121.1M2.27B-9.9M1.1818.3666,59478,4381,253,4041,801,270
2015-01-09$38.22$38.5028.5%8.3%28.2%66.6%29.3%6.6%0.1%-136.1M2.51B-9.7M1.6019.1137,76060,2561,263,6721,836,676
2015-01-12$37.12$38.5031.3%8.9%30.1%76.8%32.1%6.1%0.1%-159.5M3.43B-8.6M2.0611.8273,398150,9741,245,6701,829,434
2015-01-13$36.76$38.5034.6%9.7%29.6%88.7%34.1%7.0%-0.7%-149.9M3.55B-8.5M2.0213.9387,804177,7701,270,9841,832,892
2015-01-14$36.92$38.0034.7%9.6%29.5%89.2%35.8%7.6%-1.2%-165.9M3.55B-8.9M0.9012.39144,070130,1741,306,2361,926,162
2015-01-15$36.43$38.0035.1%9.8%29.7%90.6%33.9%4.5%-0.7%-142.8M3.81B-8.8M1.3115.7764,42284,1841,367,3681,966,734
2015-01-16$37.59$38.0031.6%8.9%28.0%77.8%33.0%8.1%-0.5%-311.4M2.84B-9.1M0.6419.10122,42478,2061,378,3121,941,306
2015-01-20$37.66$38.0030.4%8.7%27.3%73.3%31.7%7.3%-0.6%-47.4M1.04B-8.8M3.6515.9727,33899,726625,7441,010,540
2015-01-21$38.41$38.0027.4%7.9%27.0%62.6%28.2%7.1%-0.1%-43.6M814.7M-9.1M1.1616.6162,62872,554640,1341,087,326
2015-01-22$38.59$38.0025.8%7.4%27.0%56.4%28.6%5.3%0.5%-29.4M658.4M-9.1M1.4415.5765,58694,716682,5921,098,500
2015-01-23$38.38$38.0025.3%7.3%26.4%54.6%28.7%5.1%-0.1%-18.8M714.7M-9.1M1.2015.3049,42859,428688,2421,113,080
2015-01-26$38.95$38.0024.4%6.9%27.0%51.4%25.2%5.2%0.1%-38.9M552.4M-8.9M1.2418.0831,63039,206659,3101,116,120
2015-01-27$38.94$38.0025.0%7.1%27.0%53.5%26.2%5.9%-0.3%-38.8M565.2M-9.0M1.3520.2619,94826,984674,7761,131,986
2015-01-28$37.33$38.0029.6%8.9%30.6%70.4%29.8%4.5%-0.4%-71.5M1.28B-8.7M2.0213.7352,128105,370685,3361,130,362
2015-01-29$37.42$38.5028.8%8.3%30.6%67.6%30.6%7.5%-0.1%-85.1M1.35B-8.9M2.1015.0462,998131,986701,1761,178,574
2015-01-30$37.74$38.0029.5%8.7%30.8%70.3%31.6%4.9%-0.3%-70.0M1.16B-9.3M1.3319.1781,512108,116721,8601,235,118