XLE Options History — August 2015

In August 2015, XLE traded between $29.95 and $35.27. ATM implied volatility averaged 28.2%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.5% (HV 20d: 27.6%). Max pain ranged from $36.50 to $37.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-08-26: Highest Volume — 396,328 contracts
  • 2015-08-24: Largest IV spike — 26.6% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.32$29.95$35.27$33.96$33.29
Max Pain$37.06$36.50$37.50$36.50$36.50
ATM IV28.2%22.1%45.4%22.3%32.0%
Expected Move8.4%6.4%13.9%6.6%10.2%
HV 20d27.6%20.4%38.1%21.6%37.9%
HV 60d19.8%15.9%26.0%16.7%26.0%
IV Rank59.2%42.9%100.0%43.7%61.8%
IV Percentile79.8%60.3%100.0%61.5%91.7%
Term Structure-0.3%-2.5%1.4%-0.1%0.5%
VWIV29.6%22.1%46.7%23.2%36.6%
Skew 25d6.0%3.4%10.4%3.4%7.3%
Skew 10d11.9%6.8%21.3%7.4%14.8%
Call IV 25d25.7%20.5%39.4%21.3%29.5%
Put IV 25d31.7%24.6%49.7%24.7%36.8%
Bid-Ask Spread %10.785.9918.778.2913.93
Gamma HHI0.100.070.140.090.09
Net GEX-71.9M-111.5M-46.1M-64.7M-57.5M
Net DEX2.01B1.33B2.82B1.87B1.72B
Net VEX-6.9M-8.0M-5.7M-6.2M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.841.003.941.231.87
Total Volume183,596.85784,268396,32885,166195,344
Total OI1,975,453.6191,619,7542,229,5941,619,7542,151,982

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$33.96$36.5022.3%6.6%21.6%43.7%23.2%3.4%-0.1%-64.7M1.87B-6.2M1.238.2938,15247,014632,524987,230
2015-08-04$33.80$36.5022.1%6.4%21.0%42.9%22.7%4.1%-0.5%-66.0M1.95B-6.1M1.337.7539,54252,584650,6381,003,670
2015-08-05$33.58$36.5022.6%6.6%20.4%44.7%22.1%3.6%-0.2%-63.5M1.99B-5.9M1.005.9973,88673,818661,0541,008,710
2015-08-06$34.15$37.5023.4%7.0%21.5%47.9%26.0%4.9%-0.2%-61.7M1.80B-6.6M2.6011.4077,378201,512691,8141,037,338
2015-08-07$33.48$37.5025.1%7.5%22.0%54.1%26.1%4.4%-0.4%-82.4M2.13B-6.8M1.6710.5559,07698,650726,2961,166,200
2015-08-10$34.59$37.5022.7%6.9%25.4%45.2%25.2%4.3%1.2%-81.5M1.72B-7.3M1.029.3352,78254,058709,4721,199,528
2015-08-11$34.65$37.5023.4%7.0%25.2%47.8%25.9%4.4%0.9%-77.4M1.65B-7.5M1.3312.4747,49462,990728,5501,219,186
2015-08-12$35.27$37.5023.7%7.1%25.7%48.8%26.1%4.9%0.9%-68.1M1.33B-8.0M1.3212.1170,93893,566746,9181,252,570
2015-08-13$34.80$37.5023.8%7.2%26.0%49.2%25.6%5.1%1.3%-81.5M1.61B-7.9M1.1410.4075,07885,926764,7241,304,656
2015-08-14$34.66$37.5023.9%7.1%25.8%49.6%25.5%4.8%1.4%-87.4M1.71B-7.9M1.5711.2145,36871,298782,0601,345,134
2015-08-17$34.73$37.5023.7%6.9%25.5%48.7%24.7%5.0%0.0%-96.6M1.73B-7.5M1.1110.5639,90844,360755,0021,332,460
2015-08-18$34.64$37.5023.8%6.9%25.4%49.4%24.5%4.6%-0.2%-98.7M1.79B-7.3M1.489.5835,42052,496761,8561,344,232
2015-08-19$33.59$37.5026.8%7.7%27.4%60.0%27.7%4.8%-1.0%-111.5M2.35B-7.0M3.7517.4060,542226,904767,5101,355,460
2015-08-20$32.93$37.5029.8%8.6%28.1%71.1%29.1%5.1%-1.3%-90.8M2.48B-6.6M1.4710.0176,670112,426787,3981,297,422
2015-08-21$31.80$37.0035.9%10.4%29.8%93.6%36.4%7.4%-1.8%-56.7M2.82B-6.4M3.4518.7773,888255,264811,3841,331,284
2015-08-24$30.29$36.5045.4%13.9%33.6%100.0%46.7%10.3%-0.9%-46.1M2.47B-5.9M2.988.9177,552231,436695,4561,193,548
2015-08-25$29.95$36.5038.2%11.5%31.0%79.2%36.2%10.4%-1.0%-48.8M2.58B-5.7M1.329.3363,47883,674724,0381,226,394
2015-08-26$30.57$36.5036.1%11.1%31.7%73.3%38.4%9.3%-0.8%-53.7M2.51B-5.8M3.949.5680,230316,098738,5821,235,142
2015-08-27$32.08$36.7533.9%10.3%37.4%67.0%37.5%9.2%-1.2%-59.5M2.21B-7.1M1.3910.2390,978126,184784,0481,343,462
2015-08-28$32.83$36.5033.3%10.2%38.1%65.4%36.0%9.0%-2.5%-56.4M1.90B-7.8M1.568.6574,686116,886817,5001,412,094
2015-08-31$33.29$36.5032.0%10.2%37.9%61.8%36.6%7.3%0.5%-57.5M1.72B-7.7M1.8713.9368,030127,314780,0281,371,954