XLE Options History — May 2015

In May 2015, XLE traded between $39.23 and $41.42. ATM implied volatility averaged 18.2%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.9% (HV 20d: 14.3%). Max pain ranged from $40.00 to $40.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2015-05-07: Highest Volume — 176,156 contracts
  • 2015-05-08: Largest IV drop — 9.8% change
  • 2015-05-07: Highest IV Rank — 35.6%
  • 2015-05-07: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.24$39.23$41.42$41.42$39.23
Max Pain$40.02$40.00$40.50$40.50$40.00
ATM IV18.2%16.8%20.1%17.3%17.5%
Expected Move5.4%4.9%6.0%4.9%5.3%
HV 20d14.3%12.8%17.3%15.0%13.4%
HV 60d15.6%15.1%16.4%15.9%15.3%
IV Rank28.7%23.5%35.6%25.4%26.2%
IV Percentile42.6%33.7%51.6%40.1%35.7%
Term Structure0.1%-0.8%1.3%1.2%-0.1%
VWIV19.4%16.9%21.9%17.8%19.5%
Skew 25d3.1%1.1%4.1%3.1%3.1%
Skew 10d6.1%2.0%7.7%5.8%7.5%
Call IV 25d16.9%15.5%18.6%15.9%16.5%
Put IV 25d20.0%17.8%22.3%18.9%19.7%
Bid-Ask Spread %9.966.0317.269.317.68
Gamma HHI0.070.050.110.060.07
Net GEX-77.9M-127.5M3.6M3.6M-127.5M
Net DEX406.9M-389.8M1.05B-389.8M1.05B
Net VEX-9.4M-10.2M-8.0M-9.6M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.784.210.782.48
Total Volume116,532.776,550176,156118,076105,058
Total OI1,890,287.51,704,7602,033,3521,814,3021,979,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$41.42$40.5017.3%4.9%15.0%25.4%17.8%3.1%1.2%3.6M-389.8M-9.6M0.789.3166,48651,590645,3641,168,938
2015-05-04$41.33$40.0018.3%5.5%14.2%29.2%20.1%3.3%0.1%-7.7M-298.1M-9.6M2.8213.5520,02856,522637,2201,152,920
2015-05-05$40.84$40.0019.1%5.6%15.1%31.9%20.1%3.7%-0.1%-40.6M63.4M-9.6M2.0812.1541,97087,308642,3741,191,586
2015-05-06$40.62$40.0019.9%5.8%15.1%35.0%21.5%3.7%-0.2%-53.4M244.0M-9.9M2.2811.0844,960102,662650,9581,223,430
2015-05-07$40.23$40.0020.1%6.0%15.0%35.6%21.9%3.8%-0.2%-62.2M520.1M-10.2M2.7011.0647,638128,518662,0321,249,734
2015-05-08$40.88$40.0018.1%5.4%15.9%28.4%20.3%2.8%-0.1%-33.0M41.6M-9.9M1.3517.2641,97256,746669,9621,263,898
2015-05-11$40.08$40.0019.3%5.8%17.3%32.6%21.9%4.1%1.3%-69.7M484.7M-9.7M2.9912.6732,42296,826655,7461,246,096
2015-05-12$40.33$40.0018.6%5.5%16.3%30.3%20.1%3.3%0.3%-89.2M384.5M-9.7M1.9010.4234,02864,664655,7341,293,894
2015-05-13$40.20$40.0018.2%5.5%13.7%28.8%19.5%3.1%1.1%-103.4M465.4M-9.4M1.529.8943,39065,834661,4361,289,812
2015-05-14$40.19$40.0017.7%5.3%13.7%27.0%20.2%3.0%1.1%-119.1M467.2M-9.4M2.0210.5740,04480,706674,4501,311,778
2015-05-15$40.35$40.0016.8%4.9%13.4%23.5%17.6%3.1%0.3%-63.6M330.7M-9.1M1.087.1049,66053,646679,7621,353,590
2015-05-18$40.37$40.0017.5%5.1%13.3%26.1%18.7%3.1%-0.2%-69.0M260.8M-9.0M4.219.8422,63095,310577,4761,127,284
2015-05-19$40.37$40.0016.9%4.9%12.8%24.0%16.9%1.1%-0.0%-102.7M277.0M-8.0M0.9411.5564,33860,782587,6001,191,238
2015-05-20$39.89$40.0018.2%5.2%13.2%28.7%18.2%2.9%-0.4%-104.1M623.7M-9.4M1.298.8037,74248,742629,1041,226,858
2015-05-21$40.23$40.0017.6%5.1%13.3%26.4%18.0%2.8%-0.8%-76.1M344.0M-9.3M1.076.6271,13476,288639,7281,236,766
2015-05-22$40.10$40.0017.5%5.1%13.2%26.2%17.8%2.5%-0.5%-84.9M449.5M-9.6M1.288.5734,79444,586671,2301,268,202
2015-05-26$39.48$40.0018.5%5.5%14.1%29.8%19.0%3.4%-0.6%-111.0M848.9M-9.3M1.528.1043,87866,732641,1461,231,068
2015-05-27$39.43$40.0018.5%5.5%13.9%29.7%19.6%3.6%-0.5%-117.7M921.3M-9.3M1.686.0338,08864,024643,3741,247,844
2015-05-28$39.25$40.0018.2%5.5%13.4%28.7%19.7%3.2%-0.1%-127.2M1.05B-9.3M2.276.9145,534103,374655,8341,270,612
2015-05-29$39.23$40.0017.5%5.3%13.4%26.2%19.5%3.1%-0.1%-127.5M1.05B-9.3M2.487.6830,21274,846668,9861,310,686