XLE Options History — June 2015

In June 2015, XLE traded between $37.37 and $39.37. ATM implied volatility averaged 15.8%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.3% (HV 20d: 12.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-06-04: Highest Volume — 273,990 contracts
  • 2015-06-29: Largest IV spike — 19.8% change
  • 2015-06-04: Highest IV Rank — 29.0%
  • 2015-06-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.51$37.37$39.37$39.10$37.65
Max Pain$39.47$39.00$40.00$40.00$39.00
ATM IV15.8%13.4%18.3%17.2%17.2%
Expected Move4.6%3.8%5.7%5.4%5.0%
HV 20d12.4%10.8%14.2%13.3%13.5%
HV 60d14.6%13.9%15.3%15.3%14.0%
IV Rank19.7%10.8%29.0%24.9%25.1%
IV Percentile25.7%10.7%43.7%32.5%31.0%
Term Structure0.1%-0.6%0.7%0.1%0.2%
VWIV16.6%13.1%20.6%19.3%16.9%
Skew 25d2.9%1.9%4.3%3.1%3.9%
Skew 10d5.4%3.8%7.4%5.3%7.2%
Call IV 25d14.7%12.3%17.2%15.6%16.1%
Put IV 25d17.6%14.8%20.5%18.7%20.0%
Bid-Ask Spread %11.666.7225.906.727.57
Gamma HHI0.160.080.720.080.10
Net GEX-142.7M-433.0M-56.5M-121.4M-81.9M
Net DEX1.06B686.7M1.76B987.5M999.7M
Net VEX-7.9M-9.0M-7.2M-9.0M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.563.501.522.20
Total Volume121,424.27371,984273,990117,226104,250
Total OI1,806,7491,252,1302,113,6281,916,2981,365,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$39.10$40.0017.2%5.4%13.3%24.9%19.3%3.1%0.1%-121.4M987.5M-9.0M1.526.7246,55070,676652,9661,263,332
2015-06-02$39.37$40.0017.4%5.4%13.7%25.9%19.2%3.4%-0.4%-109.9M796.6M-8.7M3.5011.1434,836121,992671,2641,270,096
2015-06-03$39.09$40.0017.7%5.7%13.4%26.9%20.1%2.9%-0.3%-128.0M962.7M-8.9M2.118.3739,59483,546684,9861,289,404
2015-06-04$38.55$39.5018.3%5.1%13.9%29.0%20.6%3.2%-0.6%-154.4M1.39B-8.7M2.7614.2472,838201,152696,4961,302,680
2015-06-05$38.87$39.5016.0%4.6%14.2%20.5%15.9%2.3%-0.3%-176.3M1.13B-8.5M0.8117.1871,27857,552724,1901,389,438
2015-06-08$38.66$39.5016.7%4.8%12.6%23.3%19.1%3.3%0.3%-137.1M1.14B-8.4M1.4010.4052,72673,602690,2561,287,340
2015-06-09$38.63$39.5016.1%4.8%10.8%20.8%18.8%2.5%0.3%-143.8M1.14B-8.3M1.4110.8755,16677,514707,5041,308,290
2015-06-10$39.08$39.5015.2%4.4%11.5%17.5%15.9%3.2%0.1%-110.3M800.6M-8.3M2.1110.9241,81488,410722,5221,335,744
2015-06-11$38.88$39.5014.4%4.2%11.5%14.9%14.2%2.3%0.4%-144.3M931.2M-8.2M1.329.8646,79261,672724,1281,357,292
2015-06-12$38.51$39.5015.1%4.3%11.9%17.4%14.9%1.9%0.1%-211.7M1.29B-8.0M1.0210.2443,86044,688720,9481,350,640
2015-06-15$38.38$39.5015.7%4.5%11.6%19.4%17.3%2.5%0.4%-196.8M1.35B-7.7M2.1213.8944,24293,926697,7921,325,534
2015-06-16$38.65$39.5015.7%4.5%12.1%19.4%16.3%3.0%0.2%-168.6M1.14B-7.7M1.569.6933,84852,944713,8461,356,214
2015-06-17$38.62$39.5015.5%4.4%12.1%18.7%16.5%3.6%0.7%-195.2M1.18B-7.7M1.5725.9044,26869,684720,1201,366,050
2015-06-18$38.58$39.5014.8%4.3%11.5%16.3%14.6%2.7%0.0%-197.9M1.20B-7.6M0.8615.5492,69479,692724,9661,372,346
2015-06-19$38.02$39.5014.6%4.1%11.7%15.4%14.6%2.8%0.5%-433.0M1.76B-7.3M2.0812.6345,07093,852704,2761,366,266
2015-06-22$38.40$39.5013.6%3.8%12.5%11.6%13.8%2.5%0.3%-63.0M738.6M-7.3M0.919.5241,75837,896465,236786,894
2015-06-23$38.55$39.5013.4%3.8%11.6%10.8%13.1%2.5%0.5%-56.5M686.7M-7.3M0.568.2853,34829,844476,858802,632
2015-06-24$38.34$39.2513.8%3.9%11.7%12.5%13.4%2.7%0.3%-60.1M743.2M-7.3M0.9713.1436,60235,382502,686807,914
2015-06-25$37.93$39.0014.8%4.3%12.2%16.4%15.4%2.7%0.2%-81.0M948.8M-7.3M2.0511.6432,23666,166514,706818,490
2015-06-26$38.02$39.0015.2%4.4%12.2%17.8%16.4%3.1%0.0%-82.0M940.4M-7.4M1.297.6834,46244,476523,370849,138
2015-06-29$37.37$39.0018.3%5.4%13.4%28.9%19.1%4.3%-0.1%-86.9M1.14B-7.2M2.1211.0337,96880,468508,498829,626
2015-06-30$37.65$39.0017.2%5.0%13.5%25.1%16.9%3.9%0.2%-81.9M999.7M-7.4M2.207.5732,60271,648525,280840,224