XLE Options History — April 2015

In April 2015, XLE traded between $38.74 and $41.47. ATM implied volatility averaged 18.4%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.0% (HV 20d: 16.3%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2015-04-15: Highest Volume — 357,708 contracts
  • 2015-04-17: Largest IV spike — 5.7% change
  • 2015-04-01: Highest IV Rank — 37.0%
  • 2015-04-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.45$38.74$41.47$38.74$41.31
Max Pain$39.14$38.50$40.00$38.75$40.00
ATM IV18.4%17.0%20.5%20.5%18.0%
Expected Move5.3%4.8%5.8%5.7%5.2%
HV 20d16.3%14.8%17.8%16.7%15.0%
HV 60d20.3%16.8%23.5%23.5%16.8%
IV Rank29.2%24.2%37.0%37.0%27.9%
IV Percentile46.2%39.3%52.8%52.8%44.8%
Term Structure0.4%-0.2%1.5%0.3%0.9%
VWIV19.1%16.9%21.6%21.6%18.5%
Skew 25d3.3%2.7%4.4%3.4%3.2%
Skew 10d6.4%5.0%8.2%7.8%6.8%
Call IV 25d17.1%15.7%19.0%19.0%16.5%
Put IV 25d20.4%19.1%22.5%22.4%19.7%
Bid-Ask Spread %11.608.1815.2613.6214.24
Gamma HHI0.070.050.110.080.06
Net GEX4.5M-58.4M59.1M-58.4M-1.9M
Net DEX-281.6M-1.12B400.2M400.2M-330.3M
Net VEX-9.6M-10.4M-9.0M-10.4M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.292.931.472.65
Total Volume139,522.38161,958357,70885,914140,670
Total OI1,837,506.3811,569,2722,097,8761,825,9361,777,146

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$38.74$38.7520.5%5.7%16.7%37.0%21.6%3.4%0.3%-58.4M400.2M-10.4M1.4713.6234,85051,064660,3301,165,606
2015-04-02$38.89$38.5019.5%5.8%16.7%33.5%19.7%4.4%0.4%-52.3M316.3M-10.3M1.1012.3070,88677,924668,5161,182,392
2015-04-06$39.55$38.5019.7%5.8%16.2%34.0%19.9%3.6%0.5%-9.5M-94.2M-10.2M2.4714.0670,748174,992679,1441,183,822
2015-04-07$39.62$38.5019.5%5.7%15.9%33.3%20.4%3.7%0.6%4.8M-169.9M-10.3M2.939.9029,72687,040717,2181,185,648
2015-04-08$39.39$38.5019.5%5.7%15.7%33.4%21.1%3.8%0.6%-9.9M-42.1M-9.9M1.3015.2626,99634,962722,5741,201,422
2015-04-09$39.88$38.5018.8%5.5%16.0%31.0%21.0%3.2%0.6%38.2M-374.7M-9.9M2.4910.9843,220107,534730,7361,198,442
2015-04-10$40.05$39.0018.2%5.3%15.9%28.5%19.7%3.2%0.4%59.1M-503.3M-9.9M1.3810.2144,52461,348751,9121,255,368
2015-04-13$39.69$39.0018.9%5.5%15.9%31.2%20.1%3.2%0.1%34.6M-244.5M-9.7M2.2412.0934,19876,646730,4541,241,812
2015-04-14$40.36$39.0018.3%5.3%16.4%29.0%19.1%2.9%0.4%45.4M-628.7M-9.6M1.138.6593,090105,412737,9921,269,162
2015-04-15$41.34$39.0018.2%5.2%17.8%28.6%18.7%2.7%-0.0%45.2M-1.12B-9.6M0.298.18276,62481,084774,5181,323,358
2015-04-16$41.30$39.0017.5%5.0%16.7%26.1%17.5%2.8%0.4%5.1M-681.0M-9.0M0.5511.3486,78648,018653,4781,370,330
2015-04-17$40.89$39.0018.5%5.3%16.9%29.7%18.2%2.9%0.3%-31.9M-422.2M-9.4M1.5414.0552,00279,990675,1261,397,862
2015-04-20$41.08$39.0017.8%5.1%16.8%27.2%18.7%3.5%-0.1%10.8M-327.9M-9.1M1.409.5632,27845,100586,792982,480
2015-04-21$40.66$39.5018.2%5.2%17.4%28.8%19.5%3.8%-0.1%-4.6M-88.5M-9.2M1.849.0231,24057,526592,5421,000,944
2015-04-22$40.95$39.5017.9%5.1%16.9%27.5%18.2%3.0%-0.2%-2.4M-224.6M-9.1M2.8411.7532,72892,984595,8661,023,892
2015-04-23$41.24$39.5017.3%4.9%16.6%25.4%17.9%3.0%-0.1%10.4M-393.0M-9.1M2.6210.1139,396103,372605,4701,080,418
2015-04-24$40.98$39.5017.6%5.0%16.9%26.6%19.4%3.0%-0.2%25.1M-220.7M-9.5M2.689.2737,972101,926617,2021,100,082
2015-04-27$40.93$39.7517.6%5.0%16.5%26.4%16.9%3.6%0.7%-12.2M-142.1M-9.2M1.2811.9672,78692,952598,8001,083,746
2015-04-28$41.13$40.0017.0%4.8%15.2%24.2%17.0%4.0%1.5%-6.2M-228.9M-9.4M1.0012.9947,84447,832619,2741,111,400
2015-04-29$41.47$40.0017.2%4.9%14.8%24.8%17.8%3.5%0.8%4.8M-389.9M-9.5M1.4714.0441,95261,748618,6321,115,726
2015-04-30$41.31$40.0018.0%5.2%15.0%27.9%18.5%3.2%0.9%-1.9M-330.3M-9.6M2.6514.2438,588102,082633,2621,143,884